RiskValues: Historical VaR and CVaR of a Security's Portfolio

Description Usage Arguments Value

View source: R/riskreturn.R

Description

Calculates the VaR metric of a security's portfolio

Usage

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RiskValues(fecha = Sys.Date() - 1, instruments, shares, efectivo,
  confidence = 0.95, period = 252)

Arguments

fecha

is the date of calculation.

instruments

is an array of instruments.

shares

is an array of each instrument's shares.

efectivo

is the quantity of cash 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.

Value

VaR and CVaR of the security's portfolio


CIAssetManagement/FundTools documentation built on Feb. 4, 2018, 8:04 a.m.