[Returnanalytics-commits] r3960 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-16 12:50:28 +0200 (Sun, 16 Aug 2015)
New Revision: 3960

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

Added: pkg/Dowd/man/DefaultRiskyBondVaR.Rd
===================================================================
--- pkg/Dowd/man/DefaultRiskyBondVaR.Rd	                        (rev 0)
+++ pkg/Dowd/man/DefaultRiskyBondVaR.Rd	2015-08-16 10:50:28 UTC (rev 3960)
@@ -0,0 +1,47 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/DefaultRiskyBondVaR.R
+\name{DefaultRiskyBondVaR}
+\alias{DefaultRiskyBondVaR}
+\title{VaR for default risky bond portfolio}
+\usage{
+DefaultRiskyBondVaR(r, rf, coupon, sigma, amount.invested, recovery.rate, p,
+  number.trials, hp, cl)
+}
+\arguments{
+\item{r}{Spot (interest) rate, assumed to be flat}
+
+\item{rf}{Risk-free rate}
+
+\item{coupon}{Coupon rate}
+
+\item{sigma}{Variance}
+
+\item{amount.invested}{Amount Invested}
+
+\item{recovery.rate}{Recovery rate}
+
+\item{p}{Probability of default}
+
+\item{number.trials}{Number of trials}
+
+\item{hp}{Holding period}
+
+\item{cl}{Confidence level}
+}
+\value{
+Monte Carlo VaR
+}
+\description{
+Generates Monte Carlo VaR for default risky bond portfolio in Chapter 6.4
+}
+\examples{
+# VaR for default risky bond portfolio for given parameters
+   DefaultRiskyBondVaR(.01, .01, .1, .01, 1, .1, .2, 100, 100, .95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+