var1stock: Calculate the value at risk of a single stock.
In GUIDE: GUI for DErivatives in R

Description Usage Details Value Author(s) References See Also

Function to calculate the value at risk of a single stock.

1	var1stock()

The user inputs are as follows:
Value of the stock: to be entered in numbers for e.g. 110.50
mu: the expected return- to be entered in decimals. For e.g. 0.05 for 5 per cent
Sigma (or Volatility) per annum: to be entered in decimals. For e.g. 0.25 for 25 per cent
Confidence level: to be entered in decimals. For e.g. 0.95 for 95 per cent
Horizon (in months): For e.g. enter 12 for a year
Distribution: chosen between normal/lognormal

The dollar value at risk of a single stock.

S Subramanian <ssubramanian@sssihl.edu.in>

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

var2stocks

GUIDE documentation built on May 2, 2019, 9:32 a.m.