[Returnanalytics-commits] r3840 - in pkg/Dowd: R man

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

Author: dacharya
Date: 2015-07-21 23:07:05 +0200 (Tue, 21 Jul 2015)
New Revision: 3840

Added:
   pkg/Dowd/R/NormalESPlot2DCL.R
   pkg/Dowd/man/NormalESPlot2DCL.Rd
Log:
Function NormalESPlot2DCL added.

Added: pkg/Dowd/R/NormalESPlot2DCL.R
===================================================================
--- pkg/Dowd/R/NormalESPlot2DCL.R	                        (rev 0)
+++ pkg/Dowd/R/NormalESPlot2DCL.R	2015-07-21 21:07:05 UTC (rev 3840)
@@ -0,0 +1,116 @@
+#' Plots normal ES against confidence level
+#' 
+#' Plots the ES of a portfolio against confidence level assuming that P/L are 
+#' normally distributed, for specified confidence level and holding period.
+#' 
+#' @param ... The input arguments contain either return data or else mean and 
+#'  standard deviation data. Accordingly, number of input arguments is either 3 
+#'  or 4. In case there 3 input arguments, the mean and standard deviation of 
+#'  data is computed from return data. See examples for details.
+#'  
+#'  returns Vector of daily geometric return data
+#'  
+#'  mu Mean of daily geometric return data
+#'  
+#'  sigma Standard deviation of daily geometric return data
+#'  
+#'  cl ES confidence level and must be a vector
+#'  
+#'  hp ES holding period and must be a scalar
+#'  
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
+#'
+#' @author Dinesh Acharya
+#' @examples
+#' 
+#'    # Plots ES against confidence level
+#'    data <- runif(5, min = 0, max = .2)
+#'    NormalESPlot2DCL(returns = data, cl = seq(.9,.99,.01), hp = 60)
+#'    
+#'    # Plots ES against confidence level
+#'    NormalESPlot2DCL(mu = .012, sigma = .03, cl = seq(.9,.99,.01), hp = 40)
+#'
+#' @export
+NormalESPlot2DCL <- function(...){
+  # Determine if there are four or five arguments, and ensure that arguments are read as intended
+  if (nargs() < 3) {
+    stop("Too few arguments")
+  }
+  if (nargs() > 4) {
+    stop("Too many arguments")
+  }
+  args <- list(...)
+  if (nargs() == 4) {
+    mu <- args$mu
+    cl <- args$cl
+    sigma <- args$sigma
+    hp <- args$hp
+  }
+  if (nargs() == 3) {
+    mu <- mean(args$returns)
+    cl <- args$cl
+    sigma <- sd(args$returns)
+    hp <- args$hp
+  }
+  
+  # Check that inputs have correct dimensions
+  mu <- as.matrix(mu)
+  mu.row <- dim(mu)[1]
+  mu.col <- dim(mu)[2]
+  if (max(mu.row, mu.col) > 1) {
+    stop("Mean must be a scalar")
+  }
+  sigma <- as.matrix(sigma)
+  sigma.row <- dim(sigma)[1]
+  sigma.col <- dim(sigma)[2]
+  if (max(sigma.row, sigma.col) > 1) {
+    stop("Standard deviation must be a scalar")
+  }
+  cl <- as.matrix(cl)
+  cl.row <- dim(cl)[1]
+  cl.col <- dim(cl)[2]
+  if (min(cl.row, cl.col) > 1) {
+    stop("Confidence level must be a vector")
+  }
+  hp <- as.matrix(hp)
+  hp.row <- dim(hp)[1]
+  hp.col <- dim(hp)[2]
+  if (max(hp.row, hp.col) > 1) {
+    stop("Holding period must be a scalar")
+  }
+  
+  # Check that hp is read as row vector
+  if (cl.row > cl.col) {
+    cl <- t(cl)
+  }
+  
+  # Check that inputs obey sign and value restrictions
+  if (sigma < 0) {
+    stop("Standard deviation must be non-negative")
+  }
+  if (max(cl) >= 1){
+    stop("Confidence levels must be less than 1")
+  }
+  if (min(cl) <= 0){
+    stop("Confidence levels must be greater than 0")
+  }
+  if (min(hp) <= 0){
+    stop("Holding period must be greater than 0")
+  }
+
+  # ES estimation
+  v <- NormalES(mu = mu[1,1], sigma = sigma[1,1], cl = as.vector(cl), hp = hp[1,1])
+  
+  # Plotting
+  plot(cl, v, type = "l", xlab = "Holding Period", ylab = "ES")
+  title("Normal ES against holding period")
+  xmin <-min(cl)+.25*(max(cl)-min(cl))
+  text(xmin,max(v)-.1*(max(v)-min(v)),
+       'Input parameters', cex=.75, font = 2)
+  text(xmin,max(v)-.15*(max(v)-min(v)),
+       paste('Daily mean geometric return = ',round(mu[1,1],3)),cex=.75)
+  text(xmin,max(v)-.2*(max(v)-min(v)),
+       paste('Stdev. of daily geometric returns = ',round(sigma[1,1],3)),cex=.75)
+  text(xmin,max(v)-.25*(max(v)-min(v)),
+       paste('Holding Period = ',hp),cex=.75)
+}

Added: pkg/Dowd/man/NormalESPlot2DCL.Rd
===================================================================
--- pkg/Dowd/man/NormalESPlot2DCL.Rd	                        (rev 0)
+++ pkg/Dowd/man/NormalESPlot2DCL.Rd	2015-07-21 21:07:05 UTC (rev 3840)
@@ -0,0 +1,43 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/NormalESPlot2DCL.R
+\name{NormalESPlot2DCL}
+\alias{NormalESPlot2DCL}
+\title{Plots normal ES against confidence level}
+\usage{
+NormalESPlot2DCL(...)
+}
+\arguments{
+\item{...}{The input arguments contain either return data or else mean and
+ standard deviation data. Accordingly, number of input arguments is either 3
+ or 4. In case there 3 input arguments, the mean and standard deviation of
+ data is computed from return data. See examples for details.
+
+ returns Vector of daily geometric return data
+
+ mu Mean of daily geometric return data
+
+ sigma Standard deviation of daily geometric return data
+
+ cl ES confidence level and must be a vector
+
+ hp ES holding period and must be a scalar}
+}
+\description{
+Plots the ES of a portfolio against confidence level assuming that P/L are
+normally distributed, for specified confidence level and holding period.
+}
+\examples{
+# Plots ES against confidence level
+   data <- runif(5, min = 0, max = .2)
+   NormalESPlot2DCL(returns = data, cl = seq(.9,.99,.01), hp = 60)
+
+   # Plots ES against confidence level
+   NormalESPlot2DCL(mu = .012, sigma = .03, cl = seq(.9,.99,.01), hp = 40)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+