Description Usage Arguments Value
Calculates the VaR metric of a security's portfolio
1 2 | RiskValues(fecha = Sys.Date() - 1, instruments, shares, efectivo,
chequera = 0, confidence = 0.95, period = 252)
|
fecha |
is the date of calculation. |
instruments |
is an array of instruments. |
shares |
is an array of each instrument's shares. |
efectivo |
is the amount of cash in the portfolio. |
chequera |
is the amount of dollars in the portfolio. |
confidence |
is the level of confidence at which the VaR and CVaR are calculated. |
period |
es the period in days for the VaR and CVaR calculation. |
VaR and CVaR of the security's portfolio
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