[Returnanalytics-commits] r3859 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-07-27 00:43:23 +0200 (Mon, 27 Jul 2015)
New Revision: 3859

Added:
   pkg/Dowd/man/NormalVaRPlot2DHP.Rd
Log:
Function NormalVaRPlot2DHP added

Added: pkg/Dowd/man/NormalVaRPlot2DHP.Rd
===================================================================
--- pkg/Dowd/man/NormalVaRPlot2DHP.Rd	                        (rev 0)
+++ pkg/Dowd/man/NormalVaRPlot2DHP.Rd	2015-07-26 22:43:23 UTC (rev 3859)
@@ -0,0 +1,42 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/NormalVaRPlot2DHP.R
+\name{NormalVaRPlot2DHP}
+\alias{NormalVaRPlot2DHP}
+\title{Plots normal VaR against holding period}
+\usage{
+NormalVaRPlot2DHP(...)
+}
+\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 VaR confidence level and must be a scalar
+
+ hp VaR holding period and must be a vector}
+}
+\description{
+Plots the VaR of a portfolio against holding period assuming that P/L are
+normally distributed, for specified confidence level and holding period.
+}
+\examples{
+# Computes VaR given P/L data
+   data <- runif(5, min = 0, max = .2)
+   NormalVaRPlot2DHP(returns = data, cl = .95, hp = 60:90)
+
+   # Computes VaR given mean and standard deviation of P/L data
+   NormalVaRPlot2DHP(mu = .012, sigma = .03, cl = .99, hp = 40:80)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+