R/jMonteCarloVar.R

jMonteCarloVar <-
function(s, alpha){
# T is number of day of sim
mu <- mean(s)
vo <- sd(s)
m <- 1000
ret <- jMCPri(1,mu,vo,m)-1
object <- jNonAdjHistVaR(ret,alpha)
return(object)
}

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jvnVaR documentation built on May 1, 2019, 8:29 p.m.