[Returnanalytics-commits] r3974 - pkg/Dowd/R

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

Author: dacharya
Date: 2015-08-20 10:12:40 +0200 (Thu, 20 Aug 2015)
New Revision: 3974

Modified:
   pkg/Dowd/R/AdjustedVarianceCovarianceES.R
Log:
Minor typos corrected

Modified: pkg/Dowd/R/AdjustedVarianceCovarianceES.R
===================================================================
--- pkg/Dowd/R/AdjustedVarianceCovarianceES.R	2015-08-19 22:36:35 UTC (rev 3973)
+++ pkg/Dowd/R/AdjustedVarianceCovarianceES.R	2015-08-20 08:12:40 UTC (rev 3974)
@@ -99,7 +99,7 @@
       VaR[i,j] <- - mu %*% t(positions) * hp[j] - (z[i] + adjustment[i]) * 
         sigma * (sum(positions)^2) * sqrt(hp[j]) # VaR
       # ES Estimation
-      n <- 1000 # Number of slives into which tail is divided
+      n <- 1000 # Number of slices into which tail is divided
       cl0[i] <- cl[i] # Initial confidence level
       term[i, j] <- VaR[i, j]
       delta.cl[i] <- (1 - cl[i]) / n # Increment to confidence level as each