NEWS.md

In GeoBosh/cvar: Compute Expected Shortfall and Value at Risk for Continuous Distributions

cvar 0.5 (CRAN)

• made ES generic (VaR was already generic).

• moved fGarch from Imports to Suggests.

• renamed argument x of VaR and ES to p_loss. p_loss seems more expressive and suggests that it relates to the losses, usually small numbers like 0.05. Other suitable names like alpha, p, and prob, are commonly used as arguments to other functions that might be used as argument dist and make them more difficult to pass via the ... arguments.

For now, an warning is issued if x is used as a named argument in a call (e.g. VaR(dist, x = 0.05)) with the intend to turn that in an error in the next release of the package. This change should not be noticed by most users since it is much more natural not to name this argument and use something like VaR(dist, 0.05).

• moved fGarch from Imports to Suggests.

cvar 0.4.1 (CRAN)

• when the input was numeric, ES() was not handling the level x properly (fixes issue #2, reported by Marius Bommert).

• changed the JSS reference to use the new-style doi.

• fixed a bug in the tests, in v0.4-0, that was causing failure of the tests on travis, despite all checks on CRAN passing with OK. devtools::test() was failing too, but only on the first run in a session, details in the git commit.

• set up GHA.

cvar 0.4-0 (CRAN)

• fix tests to pass with the changed R random generator.

• some new examples and minor documentation changes.

cvar 0.3-0 (CRAN)

• now \VignetteIndexEntry in Guide_cvar.Rnw is plain text.

• added experimental support for GARCH models - currently GARCH(1,1) (the API may change).

• now the first argument of VaR() and ES() can be a numeric vector. This is useful, e.g., for computing VaR by simulation.

• bugfix: in VaR_cdf() and VaR_qf(), the code for the if/else clauses had been wrongly swappped.

cvar 0.2-0 (CRAN)

• suggest 'covr'.

• setup for travisCI and Coveralls.

• more tests.

• corrected \VignetteIndexEntry in the vignette --- I used the vignette for Rdpack as a template but didn't change this entry, which resulted in the vignette appearing with a puzzling title on CRAN and other sites.!

• added author@R in DESCRIPTION.

• added experimental web site (docs/)

cvar 0.1-1 (CRAN)

• added a doi to DESCRIPTION.

cvar 0.1-0

• first public release.

GeoBosh/cvar documentation built on Nov. 14, 2022, 10:25 a.m.