[Returnanalytics-commits] r3870 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-07-29 01:01:39 +0200 (Wed, 29 Jul 2015)
New Revision: 3870

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

Added: pkg/Dowd/man/AmericanPutESBinomial.Rd
===================================================================
--- pkg/Dowd/man/AmericanPutESBinomial.Rd	                        (rev 0)
+++ pkg/Dowd/man/AmericanPutESBinomial.Rd	2015-07-28 23:01:39 UTC (rev 3870)
@@ -0,0 +1,50 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/AmericanPutESBinomial.R
+\name{AmericanPutESBinomial}
+\alias{AmericanPutESBinomial}
+\title{Estimates ES of American vanilla put using binomial tree.}
+\usage{
+AmericanPutESBinomial(amountInvested, stockPrice, strike, r, volatility,
+  maturity, numberSteps, cl, hp)
+}
+\arguments{
+\item{amountInvested}{Total amount paid for the Put Option.}
+
+\item{stockPrice}{Stock price of underlying stock.}
+
+\item{strike}{Strike price of the option.}
+
+\item{r}{Risk-free rate.}
+
+\item{volatility}{Volatility of the underlying stock.}
+
+\item{maturity}{Time to maturity of the option in days.}
+
+\item{numberSteps}{The number of time-steps considered for
+the binomial model.}
+
+\item{cl}{Confidence level for which VaR is computed.}
+
+\item{hp}{Holding period of the option in days.}
+}
+\value{
+ES of the American Put Option
+}
+\description{
+Estimates ES of American Put Option using binomial tree to price the option
+and historical method to compute the VaR.
+}
+\examples{
+# Market Risk of American Put with given parameters.
+   AmericanPutESBinomial(0.20, 27.2, 25, .16, .05, 60, 20, .95, 30)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
+
+Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles,
+Mathematics, Algorithms, Cambridge University Press, 2002.
+}
+