[Returnanalytics-commits] r3924 - pkg/Dowd/man

[noreply at r-forge.r-project.org]

Author: dacharya
Date: 2015-08-07 10:19:19 +0200 (Fri, 07 Aug 2015)
New Revision: 3924

Added:
   pkg/Dowd/man/tVaRDFPerc.Rd
Log:
Function tVaRDFPerc added

Added: pkg/Dowd/man/tVaRDFPerc.Rd
===================================================================
--- pkg/Dowd/man/tVaRDFPerc.Rd	                        (rev 0)
+++ pkg/Dowd/man/tVaRDFPerc.Rd	2015-08-07 08:19:19 UTC (rev 3924)
@@ -0,0 +1,54 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/tVaRDFPerc.R
+\name{tVaRDFPerc}
+\alias{tVaRDFPerc}
+\title{Percentiles of VaR distribution function}
+\usage{
+tVaRDFPerc(...)
+}
+\arguments{
+\item{...}{The input arguments contain either return data or else mean and
+standard deviation data. Accordingly, number of input arguments is either 5
+or 7. In case there 6 input arguments, the mean, standard deviation and
+number of observations of the data is computed from return data. See examples
+for details.
+
+ returns Vector of daily geometric return data
+
+ mu Mean of daily geometric return data
+
+ sigma Standard deviation of daily geometric return data
+
+ n Sample size
+
+ perc Desired percentile
+
+ df Number of degrees of freedom in the t distribution
+
+ cl VaR confidence level and must be a scalar
+
+ hp VaR holding period and must be a a scalar
+
+ Percentiles of VaR distribution function}
+}
+\description{
+Plots the VaR of a portfolio against confidence level assuming that P/L are
+t- distributed, for specified confidence level and holding period.
+}
+\examples{
+# Estimates Percentiles of VaR distribution
+   data <- runif(5, min = 0, max = .2)
+   tVaRDFPerc(returns = data, perc = .7,
+                 df = 6, cl = .95, hp = 60)
+
+   # Computes v given mean and standard deviation of return data
+   tVaRDFPerc(mu = .012, sigma = .03, n= 10,
+                 perc = .8, df = 6, cl = .99, hp = 40)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+