[Returnanalytics-commits] r3943 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-12 09:03:04 +0200 (Wed, 12 Aug 2015)
New Revision: 3943

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

Added: pkg/Dowd/man/StopLossLogNormalVaR.Rd
===================================================================
--- pkg/Dowd/man/StopLossLogNormalVaR.Rd	                        (rev 0)
+++ pkg/Dowd/man/StopLossLogNormalVaR.Rd	2015-08-12 07:03:04 UTC (rev 3943)
@@ -0,0 +1,38 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/StopLossLogNormalVaR.R
+\name{StopLossLogNormalVaR}
+\alias{StopLossLogNormalVaR}
+\title{Log Normal VaR with stop loss limit}
+\usage{
+StopLossLogNormalVaR(mu, sigma, number.trials, loss.limit, 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{loss.limit}{Stop Loss limit}
+
+\item{cl}{Confidence Level}
+
+\item{hp}{Holding Period}
+}
+\value{
+Lognormal VaR
+}
+\description{
+Generates Monte Carlo lognormal VaR with stop-loss limit
+}
+\examples{
+# Estimates standard error of normal quantile estimate
+   StopLossLogNormalVaR(0, .2, 100, 1.2, .95, 10)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+