[Returnanalytics-commits] r3765 - pkg/Dowd/R

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

Author: dacharya
Date: 2015-06-30 10:49:02 +0200 (Tue, 30 Jun 2015)
New Revision: 3765

Modified:
   pkg/Dowd/R/KernelVaREpanechinikovKernel.R
Log:
Mistake in kernel method argument of density function added.

Modified: pkg/Dowd/R/KernelVaREpanechinikovKernel.R
===================================================================
--- pkg/Dowd/R/KernelVaREpanechinikovKernel.R	2015-06-30 08:47:19 UTC (rev 3764)
+++ pkg/Dowd/R/KernelVaREpanechinikovKernel.R	2015-06-30 08:49:02 UTC (rev 3765)
@@ -21,7 +21,7 @@
   sigma <- sd(PandL)
   
   # Obtain pdf values
-  kernel.data <- density(PandL, kernel = "epanechinikov", from = mu - 4 * sigma, to = mu + 4 * sigma, n = 1000, bw = "nrd")
+  kernel.data <- density(PandL, kernel = "epanechnikov", 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]
@@ -47,4 +47,4 @@
   VaR <- (lower.x.bound + upper.x.bound) / 2 # Desired percentile, ie, answer.
   return(VaR)
   
-}
\ No newline at end of file
+}