[Returnanalytics-commits] r3930 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-09 01:06:10 +0200 (Sun, 09 Aug 2015)
New Revision: 3930

Added:
   pkg/Dowd/man/tVaRPlot2DHP.Rd
Log:
Function tVaRPlot2DHP added

Added: pkg/Dowd/man/tVaRPlot2DHP.Rd
===================================================================
--- pkg/Dowd/man/tVaRPlot2DHP.Rd	                        (rev 0)
+++ pkg/Dowd/man/tVaRPlot2DHP.Rd	2015-08-08 23:06:10 UTC (rev 3930)
@@ -0,0 +1,45 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/tVaRPlot2DHP.R
+\name{tVaRPlot2DHP}
+\alias{tVaRPlot2DHP}
+\title{Plots t VaR against holding period}
+\usage{
+tVaRPlot2DHP(...)
+}
+\arguments{
+\item{...}{The input arguments contain either return data or else mean and
+ standard deviation data. Accordingly, number of input arguments is either 4
+ or 5. In case there 4 input arguments, the mean and standard deviation of
+ data is computed from return data. See examples for details.
+
+ returns Vector of daily P/L data data
+
+ mu Mean of daily P/L data data
+
+ sigma Standard deviation of daily P/L data data
+
+ 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 vector}
+}
+\description{
+Plots the VaR of a portfolio against holding period assuming that P/L are
+t- distributed, for specified confidence level and holding period.
+}
+\examples{
+# Computes VaR given P/L data data
+   data <- runif(5, min = 0, max = .2)
+   tVaRPlot2DHP(returns = data, df = 6, cl = .95, hp = 60:90)
+
+   # Computes VaR given mean and standard deviation of return data
+   tVaRPlot2DHP(mu = .012, sigma = .03, df = 6, cl = .99, hp = 40:80)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+