[Returnanalytics-commits] r3759 - pkg/Dowd/R

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

Author: dacharya
Date: 2015-06-30 02:34:28 +0200 (Tue, 30 Jun 2015)
New Revision: 3759

Modified:
   pkg/Dowd/R/KernelVaRTriangleKernel.R
Log:
Bandwidth in source code removed.

Modified: pkg/Dowd/R/KernelVaRTriangleKernel.R
===================================================================
--- pkg/Dowd/R/KernelVaRTriangleKernel.R	2015-06-30 00:32:18 UTC (rev 3758)
+++ pkg/Dowd/R/KernelVaRTriangleKernel.R	2015-06-30 00:34:28 UTC (rev 3759)
@@ -21,7 +21,7 @@
   sigma <- sd(PandL)
   
   # Obtain pdf values
-  kernel.data <- density(PandL, kernel = "triangular", from = mu - 4 * sigma, to = mu + 4 * sigma, n = 1000)
+  kernel.data <- density(PandL, kernel = "triangular", from = mu - 4 * sigma, to = mu + 4 * sigma, n = 1000, bw = "nrd")
   kernel.pdf <- kernel.data$y
   x.values <- kernel.data$x
   delta.x <- x.values[2]-x.values[1]