[Returnanalytics-commits] r3951 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-13 12:01:39 +0200 (Thu, 13 Aug 2015)
New Revision: 3951

Added:
   pkg/Dowd/man/NormalESHotspots.Rd
Log:
Function NormalESHotspot.R added.

Added: pkg/Dowd/man/NormalESHotspots.Rd
===================================================================
--- pkg/Dowd/man/NormalESHotspots.Rd	                        (rev 0)
+++ pkg/Dowd/man/NormalESHotspots.Rd	2015-08-13 10:01:39 UTC (rev 3951)
@@ -0,0 +1,45 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/NormalESHotspots.R
+\name{NormalESHotspots}
+\alias{NormalESHotspots}
+\title{Hotspots for normal ES}
+\usage{
+NormalESHotspots(vc.matrix, mu, skew, kurtosis, 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 ES
+}
+\description{
+Estimates the ES hotspots (or vector of incremental ESs) 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)
+   skew <- .5
+   kurtosis <- 1.2
+   positions <- c(5,2,6,10)
+   cl <- .95
+   hp <- 280
+   AdjustedNormalESHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+