[Returnanalytics-commits] r3867 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-07-28 10:19:44 +0200 (Tue, 28 Jul 2015)
New Revision: 3867

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

Added: pkg/Dowd/man/tESFigure.Rd
===================================================================
--- pkg/Dowd/man/tESFigure.Rd	                        (rev 0)
+++ pkg/Dowd/man/tESFigure.Rd	2015-07-28 08:19:44 UTC (rev 3867)
@@ -0,0 +1,46 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/tESFigure.R
+\name{tESFigure}
+\alias{tESFigure}
+\title{Figure of t - VaR and ES and pdf against L/P}
+\usage{
+tESFigure(...)
+}
+\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 geometric return data
+
+ mu Mean of daily geometric return data
+
+ sigma Standard deviation of daily geometric return data
+
+ df Number of degrees of freedom
+
+ cl VaR confidence level and should be scalar
+
+ hp VaR holding period in days and should be scalar}
+}
+\description{
+Gives figure showing the VaR and ES and probability distribution function assuming P/L is t- distributed, for specified confidence level and holding period.
+}
+\examples{
+# Plots lognormal VaR, ES and pdf against L/P data for given returns data
+   data <- runif(5, min = 0, max = .2)
+   tESFigure(returns = data, df = 10, cl = .95, hp = 90)
+
+   # Plots lognormal VaR, ES and pdf against L/P data with given parameters
+   tESFigure(mu = .012, sigma = .03, df = 10, 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.
+}
+