util_plotDensity: Line plot of probability density

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Plot probability density by produced by the dist_density( ) functions.

Usage

util_plotDensity(PDF, bw=FALSE)

Arguments

PDF	List of density values produced by portfolio or position pdf methods.
bw	Black and white color scheme flag.

Value

plot

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.