[Returnanalytics-commits] r3701 - pkg/Dowd/R

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

Author: dacharya
Date: 2015-06-22 15:54:46 +0200 (Mon, 22 Jun 2015)
New Revision: 3701

Modified:
   pkg/Dowd/R/ProductCopulaVaR.R
Log:
Unnecessary additional parameter in CdfOfSumUsingProductCopula removed.

Modified: pkg/Dowd/R/ProductCopulaVaR.R
===================================================================
--- pkg/Dowd/R/ProductCopulaVaR.R	2015-06-22 13:48:19 UTC (rev 3700)
+++ pkg/Dowd/R/ProductCopulaVaR.R	2015-06-22 13:54:46 UTC (rev 3701)
@@ -48,7 +48,7 @@
   tol <- 0.0001 # Tolerance level (NM: change manually if desired)
   while (U - L > tol){
     x <- (L + U) / 2 # Bisection carried out in terms of P/L quantiles or minus VaR
-    cum.prob <- CdfOfSumUsingProductCopula(x, mu1, mu2, sigma1, sigma2, beta)
+    cum.prob <- CdfOfSumUsingProductCopula(x, mu1, mu2, sigma1, sigma2)
     fx <- cum.prob - p
     if (sign(fx) == sign(fL)){
       L <- x