[Returnanalytics-commits] r3678 - in pkg/Dowd: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Jun 18 01:16:50 CEST 2015
Author: dacharya
Date: 2015-06-18 01:16:50 +0200 (Thu, 18 Jun 2015)
New Revision: 3678
Added:
pkg/Dowd/R/HSVaRDFPerc.R
pkg/Dowd/man/HSVaRDFPerc.Rd
Modified:
pkg/Dowd/NAMESPACE
pkg/Dowd/R/GumbelESPlot2DCl.R
pkg/Dowd/R/GumbelVaRPlot2DCl.R
pkg/Dowd/man/GumbelESPlot2DCl.Rd
Log:
HSVaRDFPerc : source and documentation
Modified: pkg/Dowd/NAMESPACE
===================================================================
--- pkg/Dowd/NAMESPACE 2015-06-16 15:39:42 UTC (rev 3677)
+++ pkg/Dowd/NAMESPACE 2015-06-17 23:16:50 UTC (rev 3678)
@@ -34,6 +34,7 @@
export(GumbelVaRPlot2DCl)
export(HSES)
export(HSVaR)
+export(HSVaRDFPerc)
export(HillEstimator)
export(HillPlot)
export(HillQuantileEstimator)
Modified: pkg/Dowd/R/GumbelESPlot2DCl.R
===================================================================
--- pkg/Dowd/R/GumbelESPlot2DCl.R 2015-06-16 15:39:42 UTC (rev 3677)
+++ pkg/Dowd/R/GumbelESPlot2DCl.R 2015-06-17 23:16:50 UTC (rev 3678)
@@ -15,7 +15,7 @@
#' @examples
#'
#' # Plots ES against Cl
-#' GumbelESPlot2DCl(0, 1.2, 100, c(.9,.88, .85, .8), 280)
+#' GumbelESPlot2DCl(0, 1.2, 100, seq(0.8,0.99,0.02), 280)
#'
#' @export
GumbelESPlot2DCl<- function(mu, sigma, n, cl, hp){
@@ -68,20 +68,10 @@
# Plotting
plot(cl0, v, xlab = "Confidence Level", ylab = "ES", type = "l")
-
- text(mean(cl0),
- max(v) - .1*(max(v) - min(v)),
- 'Input parameters')
- text(mean(cl0),
- max(v)-.2*(max(v)-min(v)),
- paste('Location parameter for daily L/P = ', mu))
- text(mean(cl0),
- max(v) - .3 * (max(v) - min(v)),
- paste('Scale parameter for daily L/P = ', sigma))
- text(mean(cl0),
- max(v) - .4 * (max(v) - min(v)),
- paste('Holding period = ', hp, ' days'))
-
+ legend("topleft",c('Input parameters',
+ paste('Location parameter for daily L/P = ', mu),
+ paste('Scale parameter for daily L/P = ', sigma),
+ paste('Holding period = ', hp, ' days')), bty="n")
title("Gumbel ES against confidence level")
}
\ No newline at end of file
Modified: pkg/Dowd/R/GumbelVaRPlot2DCl.R
===================================================================
--- pkg/Dowd/R/GumbelVaRPlot2DCl.R 2015-06-16 15:39:42 UTC (rev 3677)
+++ pkg/Dowd/R/GumbelVaRPlot2DCl.R 2015-06-17 23:16:50 UTC (rev 3678)
@@ -10,7 +10,6 @@
#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
-#'
#' @author Dinesh Acharya
#' @examples
#'
@@ -56,19 +55,10 @@
# Plotting
plot(cl, VaR, xlab = "Confidence Level", ylab = "VaR", type = "l")
- text(mean(cl),
- max(VaR) - .1*(max(VaR) - min(VaR)),
- 'Input parameters')
- text(mean(cl),
- max(VaR)-.2*(max(VaR)-min(VaR)),
- paste('Location parameter for daily L/P = ', mu))
- text(mean(cl),
- max(VaR) - .3 * (max(VaR) - min(VaR)),
- paste('Scale parameter for daily L/P = ', sigma))
- text(mean(cl),
- max(VaR) - .4 * (max(VaR) - min(VaR)),
- paste('Holding period = ', hp, ' days'))
-
+ legend("topleft",c('Input parameters',
+ paste('Location parameter for daily L/P = ', mu),
+ paste('Scale parameter for daily L/P = ', sigma),
+ paste('Holding period = ', hp, ' days')), bty="n")
title("Gumbel VaR against confidence level")
}
\ No newline at end of file
Added: pkg/Dowd/R/HSVaRDFPerc.R
===================================================================
--- pkg/Dowd/R/HSVaRDFPerc.R (rev 0)
+++ pkg/Dowd/R/HSVaRDFPerc.R 2015-06-17 23:16:50 UTC (rev 3678)
@@ -0,0 +1,80 @@
+#' @title Percentile of historical simulation VaR distribution function
+#'
+#' @description Estimates percentiles of historical simulation VaR distribution
+#' function, using theory of order statistics, for specified confidence level.
+#'
+#' @param Ra Vector of daily P/L data
+#' @param perc Desired percentile and is scalar
+#' @param cl VaR confidence level and is scalar
+#' @return Value of percentile of VaR distribution function
+#'
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
+#'
+#'
+#' @author Dinesh Acharya
+#' @examples
+#'
+#' # Estimates Percentiles for random standard normal returns and given perc
+#' # and cl
+#' Ra <- rnorm(100)
+#' HSVaRDFPerc(Ra, .75, .95)
+#'
+#' @export
+HSVaRDFPerc <- function(Ra, perc, cl){
+
+ # Determine if there are three arguments, and ensure that arguments are read as intended
+ if (nargs() < 3) {
+ stop("Too few arguments.")
+ }
+ if (nargs() > 3) {
+ stop("Too many arguments")
+ }
+ if (nargs() == 3) {
+ profit.loss <- as.vector(Ra)
+ data <- sort(profit.loss)
+ n <- length(data)
+ }
+
+ # Check that inputs obey sign and value restrictions
+ if (n < 0) {
+ stop("Number of observations must be greater than zero.")
+ }
+ if (perc <= 0) {
+ stop("Chosen percentile must be positive.")
+ }
+ if (perc > 1) {
+ stop("Chosen percentile must not exceed 1")
+ }
+ if (cl >= 1) {
+ stop("Confidence level must be less than 1.")
+ }
+ if (cl <= 0) {
+ stop("Confidence level must positive.")
+ }
+
+ # Derive order statistics and ensure it is an integer
+ w <- n * cl # Derive rth order statistics
+ r <- round(w) # Round r to nearest integer
+
+ # Bisection routine
+ a <- 0
+ fa <- -Inf
+ b <- 1
+ fb <- Inf
+ eps <- .Machine$double.eps
+ while (b - a > eps * b) {
+ x <- (a + b) / 2
+ fx <- 1 - pbinom(r - 1, n, x) - perc
+ if (sign(fx) == sign(fa)){
+ a = x
+ fa = fx
+ } else {
+ b = x
+ fb = fx
+ }
+ }
+ i <- round(n * x)
+ y <- data[i] # Value of percentile of VaR distribution function
+ return(y)
+
+}
\ No newline at end of file
Modified: pkg/Dowd/man/GumbelESPlot2DCl.Rd
===================================================================
--- pkg/Dowd/man/GumbelESPlot2DCl.Rd 2015-06-16 15:39:42 UTC (rev 3677)
+++ pkg/Dowd/man/GumbelESPlot2DCl.Rd 2015-06-17 23:16:50 UTC (rev 3678)
@@ -22,7 +22,7 @@
}
\examples{
# Plots ES against Cl
- GumbelESPlot2DCl(0, 1.2, 100, c(.9,.88, .85, .8), 280)
+ GumbelESPlot2DCl(0, 1.2, 100, seq(0.8,0.99,0.02), 280)
}
\author{
Dinesh Acharya
Added: pkg/Dowd/man/HSVaRDFPerc.Rd
===================================================================
--- pkg/Dowd/man/HSVaRDFPerc.Rd (rev 0)
+++ pkg/Dowd/man/HSVaRDFPerc.Rd 2015-06-17 23:16:50 UTC (rev 3678)
@@ -0,0 +1,35 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/HSVaRDFPerc.R
+\name{HSVaRDFPerc}
+\alias{HSVaRDFPerc}
+\title{Percentile of historical simulation VaR distribution function}
+\usage{
+HSVaRDFPerc(Ra, perc, cl)
+}
+\arguments{
+\item{Ra}{Vector of daily P/L data}
+
+\item{perc}{Desired percentile and is scalar}
+
+\item{cl}{VaR confidence level and is scalar}
+}
+\value{
+Value of percentile of VaR distribution function
+}
+\description{
+Estimates percentiles of historical simulation VaR distribution
+function, using theory of order statistics, for specified confidence level.
+}
+\examples{
+# Estimates Percentiles for random standard normal returns and given perc
+ # and cl
+ Ra <- rnorm(100)
+ HSVaRDFPerc(Ra, .75, .95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
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