[Returnanalytics-commits] r3941 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-12 09:01:30 +0200 (Wed, 12 Aug 2015)
New Revision: 3941

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

Added: pkg/Dowd/man/FilterStrategyLogNormalVaR.Rd
===================================================================
--- pkg/Dowd/man/FilterStrategyLogNormalVaR.Rd	                        (rev 0)
+++ pkg/Dowd/man/FilterStrategyLogNormalVaR.Rd	2015-08-12 07:01:30 UTC (rev 3941)
@@ -0,0 +1,38 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/FilterStrategyLogNormalVaR.R
+\name{FilterStrategyLogNormalVaR}
+\alias{FilterStrategyLogNormalVaR}
+\title{Log Normal VaR with filter strategy}
+\usage{
+FilterStrategyLogNormalVaR(mu, sigma, number.trials, alpha, cl, hp)
+}
+\arguments{
+\item{mu}{Mean arithmetic return}
+
+\item{sigma}{Standard deviation of arithmetic return}
+
+\item{number.trials}{Number of trials used in the simulations}
+
+\item{alpha}{Participation parameter}
+
+\item{cl}{Confidence Level}
+
+\item{hp}{Holding Period}
+}
+\value{
+Lognormal VaR
+}
+\description{
+Generates Monte Carlo lognormal VaR with filter portfolio strategy
+}
+\examples{
+# Estimates standard error of normal quantile estimate
+   FilterStrategyLogNormalVaR(0, .2, 100, 1.2, .95, 10)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+