dist_density: Probability Density Function of Portfolio Returns

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Computes probability density of portfolio returns for a given interval (pValueLeft, pValueRight) at nPoints of approximation. Probability density is computed based on a "densityModel" specified in portfolio_settings( ) method.

Usage

dist_density(asset,pValueLeft,pValueRight,nPoints,addNormalDensity)

Arguments

asset	Portfolio or Position object created using portfolio_create( ) or position_add( ) function
pValueLeft	Left limit of probability density value in decimals.
pValueRight	Right limit of probability density value in decimals.
nPoints	Number of approximation points for the PDF function.
addNormalDensity	Flag used to add normal density to the final result. Defaults to FALSE.

Value

List of probability density values

Author(s)

Kostin Andrey <[e-mail]>

Examples

## Not run: 

data(aapl.data) 
data(goog.data) 
data(spy.data) 
portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
util_plotDensity(dist_density(portfolio,pValueLeft=0.2,pValueRight=0.8,nPoints=100,
addNormalDensity=TRUE))

dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)
portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
resultsSamplingInterval='60s')
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300) 
positionGOOG=position_add(portfolio,'GOOG',150) 
util_plotDensity(dist_density(portfolio,pValueLeft=0,pValueRight=1,nPoints=100,
addNormalDensity=TRUE))

## End(Not run)

PortfolioEffectHFT documentation built on May 2, 2019, 11:52 a.m.