[Returnanalytics-commits] r3948 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-13 11:58:54 +0200 (Thu, 13 Aug 2015)
New Revision: 3948

Added:
   pkg/Dowd/man/NormalVaRHotspots.Rd
Log:
Function NormalVaRHotspot.R added.

Added: pkg/Dowd/man/NormalVaRHotspots.Rd
===================================================================
--- pkg/Dowd/man/NormalVaRHotspots.Rd	                        (rev 0)
+++ pkg/Dowd/man/NormalVaRHotspots.Rd	2015-08-13 09:58:54 UTC (rev 3948)
@@ -0,0 +1,43 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/NormalVaRHotspots.R
+\name{NormalVaRHotspots}
+\alias{NormalVaRHotspots}
+\title{Hotspots for normal VaR}
+\usage{
+NormalVaRHotspots(vc.matrix, mu, positions, cl, hp)
+}
+\arguments{
+\item{vc.matrix}{Variance covariance matrix for returns}
+
+\item{mu}{Vector of expected position returns}
+
+\item{positions}{Vector of positions}
+
+\item{cl}{Confidence level and is scalar}
+
+\item{hp}{Holding period and is scalar}
+}
+\value{
+Hotspots for normal VaR
+}
+\description{
+Estimates the VaR hotspots (or vector of incremental VaRs) for
+a portfolio assuming individual asset returns are normally distributed, for
+specified confidence level and holding period.
+}
+\examples{
+# Hotspots for ES for randomly generated portfolio
+   vc.matrix <- matrix(rnorm(16),4,4)
+   mu <- rnorm(4,.08,.04)
+   positions <- c(5,2,6,10)
+   cl <- .95
+   hp <- 280
+   NormalVaRHotspots(vc.matrix, mu, positions, cl, hp)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+