R: Figure of lognormal VaR and ES and pdf against L/P
LogNormalESFigure
R Documentation
Figure of lognormal VaR and ES and pdf against L/P
Description
Gives figure showing the VaR and ES and probability distribution function
against L/P of a portfolio assuming geometric returns are normally
distributed, for specified confidence level and holding period.
Usage
LogNormalESFigure(...)
Arguments
...
The input arguments contain either return data or else mean and
standard deviation data. Accordingly, number of input arguments is either 4
or 5. In case there 4 input arguments, the mean and standard deviation of
data is computed from return data. See examples for details.
returns Vector of daily geometric return data
mu Mean of daily geometric return data
sigma Standard deviation of daily geometric return data
investment Size of investment
cl VaR confidence level and should be scalar
hp VaR holding period in days and should be scalar
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
# Plots lognormal VaR, ES and pdf against L/P data for given returns data
data <- runif(5, min = 0, max = .2)
LogNormalESFigure(returns = data, investment = 5, cl = .95, hp = 90)
# Plots lognormal VaR, ES and pdf against L/P data with given parameters
LogNormalESFigure(mu = .012, sigma = .03, investment = 5, cl = .95, hp = 90)
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)
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> 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/LogNormalESFigure.Rd_%03d_medium.png", width=480, height=480)
> ### Name: LogNormalESFigure
> ### Title: Figure of lognormal VaR and ES and pdf against L/P
> ### Aliases: LogNormalESFigure
>
> ### ** Examples
>
> # Plots lognormal VaR, ES and pdf against L/P data for given returns data
> data <- runif(5, min = 0, max = .2)
> LogNormalESFigure(returns = data, investment = 5, cl = .95, hp = 90)
>
> # Plots lognormal VaR, ES and pdf against L/P data with given parameters
> LogNormalESFigure(mu = .012, sigma = .03, investment = 5, cl = .95, hp = 90)
>
>
>
>
>
> dev.off()
null device
1
>
providing 
.
