Plots historical simulation VaR and ES against confidence level

Description

Function plots the historical simulation VaR and ES of a portfolio against confidence level, for specified range of confidence level and holding period implied by data frequency.

Usage

HSVaRESPlot2DCl(Ra, cl)

Arguments

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Plots historical simulation VaR and ES against confidence level
   Ra <- rnorm(100)
   cl <- seq(.90, .99, .01)
   HSVaRESPlot2DCl(Ra, cl)

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(Dowd)
Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: timeDate
This is forecast 7.1 

> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/Dowd/HSVaRESPlot2DCl.Rd_%03d_medium.png", width=480, height=480)
> ### Name: HSVaRESPlot2DCl
> ### Title: Plots historical simulation VaR and ES against confidence level
> ### Aliases: HSVaRESPlot2DCl
> 
> ### ** Examples
> 
> # Plots historical simulation VaR and ES against confidence level
>    Ra <- rnorm(100)
>    cl <- seq(.90, .99, .01)
>    HSVaRESPlot2DCl(Ra, cl)
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>