[Returnanalytics-commits] r3931 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-09 01:07:21 +0200 (Sun, 09 Aug 2015)
New Revision: 3931

Added:
   pkg/Dowd/man/tVaRPlot3D.Rd
Log:
Function tVaRPlot3D added

Added: pkg/Dowd/man/tVaRPlot3D.Rd
===================================================================
--- pkg/Dowd/man/tVaRPlot3D.Rd	                        (rev 0)
+++ pkg/Dowd/man/tVaRPlot3D.Rd	2015-08-08 23:07:21 UTC (rev 3931)
@@ -0,0 +1,46 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/tVaRPlot3D.R
+\name{tVaRPlot3D}
+\alias{tVaRPlot3D}
+\title{Plots t VaR against confidence level and holding period}
+\usage{
+tVaRPlot3D(...)
+}
+\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 geometric return data
+
+ mu Mean of daily geometric return data
+
+ sigma Standard deviation of daily geometric return data
+
+ df Number of degrees of freedom in the t distribution
+
+ cl VaR confidence level and must be a vector
+
+ hp VaR holding period and must be a vector}
+}
+\description{
+Plots the VaR of a portfolio against confidence level and holding period
+assuming that P/L are t distributed, for specified confidence level and
+ holding period.
+}
+\examples{
+# Plots VaR against confidene level given geometric return data
+   data <- runif(5, min = 0, max = .2)
+   tVaRPlot3D(returns = data, df = 6, cl = seq(.85,.99,.01), hp = 60:90)
+
+   # Computes VaR against confidence level given mean and standard deviation of return data
+   tVaRPlot3D(mu = .012, sigma = .03, df = 6, cl = seq(.85,.99,.02), hp = 40:80)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+