[Returnanalytics-commits] r3848 - in pkg/Dowd: R man

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

Author: dacharya
Date: 2015-07-22 23:32:02 +0200 (Wed, 22 Jul 2015)
New Revision: 3848

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

Added: pkg/Dowd/R/NormalVaRConfidenceInterval.R
===================================================================
--- pkg/Dowd/R/NormalVaRConfidenceInterval.R	                        (rev 0)
+++ pkg/Dowd/R/NormalVaRConfidenceInterval.R	2015-07-22 21:32:02 UTC (rev 3848)
@@ -0,0 +1,35 @@
+#' Generates Monte Carlo 95\% Confidence Intervals for normal VaR
+#' 
+#' Generates 95\% confidence intervals for normal VaR using Monte Carlo simulation
+#' 
+#' @param mu Mean of the P/L process
+#' @param sigma Standard deviation of the P/L process
+#' @param number.trials Number of trials used in the simulations
+#' @param sample.size Sample drawn in each trial
+#' @param cl Confidence Level
+#' @param hp Holding Period
+#'
+#' @return 95\% confidence intervals for normal VaR
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
+#' 
+#' @author Dinesh Acharya
+#' @examples
+#' 
+#'    # Generates 95\% confidence intervals for normal VaR for given parameters
+#'    NormalVaRConfidenceInterval(0, .5, 20, 15, .95, 90)
+#'    
+#' 
+#' @export
+NormalVaRConfidenceInterval <- function(mu, sigma, number.trials, sample.size, cl, hp){
+  VaR <- double(number.trials)
+  for (k in 1:number.trials) {
+    z <- rnorm(sample.size)
+    x <- sigma * z + mu
+    VaR[k] <- NormalVaR(returns = x, cl = cl, hp  = hp)
+  }
+  VaR <- sort(VaR)
+  lower.order.stat <- floor(0.025 * number.trials)
+  upper.order.stat <- ceiling(0.975 * number.trials)
+  y <- c(VaR[lower.order.stat], VaR[upper.order.stat])
+  return(y)
+}

Added: pkg/Dowd/man/NormalVaRConfidenceInterval.Rd
===================================================================
--- pkg/Dowd/man/NormalVaRConfidenceInterval.Rd	                        (rev 0)
+++ pkg/Dowd/man/NormalVaRConfidenceInterval.Rd	2015-07-22 21:32:02 UTC (rev 3848)
@@ -0,0 +1,38 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/NormalVaRConfidenceInterval.R
+\name{NormalVaRConfidenceInterval}
+\alias{NormalVaRConfidenceInterval}
+\title{Generates Monte Carlo 95\% Confidence Intervals for normal VaR}
+\usage{
+NormalVaRConfidenceInterval(mu, sigma, number.trials, sample.size, cl, hp)
+}
+\arguments{
+\item{mu}{Mean of the P/L process}
+
+\item{sigma}{Standard deviation of the P/L process}
+
+\item{number.trials}{Number of trials used in the simulations}
+
+\item{sample.size}{Sample drawn in each trial}
+
+\item{cl}{Confidence Level}
+
+\item{hp}{Holding Period}
+}
+\value{
+95\% confidence intervals for normal VaR
+}
+\description{
+Generates 95\% confidence intervals for normal VaR using Monte Carlo simulation
+}
+\examples{
+# Generates 95\\\% confidence intervals for normal VaR for given parameters
+   NormalVaRConfidenceInterval(0, .5, 20, 15, .95, 90)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+