[Returnanalytics-commits] r3865 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-07-28 10:18:02 +0200 (Tue, 28 Jul 2015)
New Revision: 3865

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

Added: pkg/Dowd/man/tES.Rd
===================================================================
--- pkg/Dowd/man/tES.Rd	                        (rev 0)
+++ pkg/Dowd/man/tES.Rd	2015-07-28 08:18:02 UTC (rev 3865)
@@ -0,0 +1,55 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/tES.R
+\name{tES}
+\alias{tES}
+\title{ES for t distributed P/L}
+\usage{
+tES(...)
+}
+\arguments{
+\item{...}{The input arguments contain either return data or else mean and
+ standard deviation data. Accordingly, number of input arguments is either 4
+ or 5. In case there 4 input arguments, the mean and standard deviation of
+ data is computed from return data. See examples for details.
+
+ returns Vector of daily P/L data
+
+ mu Mean of daily geometric return data
+
+ sigma Standard deviation of daily geometric return data
+
+ df Number of degrees of freedom in the t-distribution
+
+ cl ES confidence level
+
+ hp ES holding period in days}
+}
+\value{
+Matrix of ES whose dimension depends on dimension of hp and cl. If
+cl and hp are both scalars, the matrix is 1 by 1. If cl is a vector and hp is
+ a scalar, the matrix is row matrix, if cl is a scalar and hp is a vector,
+ the matrix is column matrix and if both cl and hp are vectors, the matrix
+ has dimension length of cl * length of hp.
+}
+\description{
+Estimates the ES of a portfolio assuming that P/L are
+t-distributed, for specified confidence level and holding period.
+}
+\examples{
+# Computes ES given P/L data
+   data <- runif(5, min = 0, max = .2)
+   tES(returns = data, df = 6, cl = .95, hp = 90)
+
+   # Computes ES given mean and standard deviation of P/L data
+   tES(mu = .012, sigma = .03, df = 6, cl = .95, hp = 90)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+
+Evans, M., Hastings, M. and Peacock, B. Statistical Distributions, 3rd
+edition, New York: John Wiley, ch. 38,39.
+}
+