plot_panic_distribution: Visualize a Panic Distribution
In Reckziegel/CMA: Copula Marginal Algorithm (CMA)

View source: R/plot_panic_distribution.R

plot_panic_distribution

R Documentation

Visualize a Panic Distribution

Description

Visual display of a panic distribution.

Usage

plot_panic_distribution(pnl, p = NULL, breaks = 200)

Arguments

`pnl`	An univariate time series with the PnL marginal distribution.
`p`	A `double` vector of probabilities. If `NULL`, 'p' is automatically set to 1 over n.
`breaks`	An `integer` with the number of break point to be used to plot the marginal panic distribution.

Value

A ggplot2 object.

Examples

x <- diff(log(EuStockMarkets))
x <- panic_copula(x = x, n = 10000, panic_prob = 0.02)
w <- rep(0.25, 4)
pnl <- as.matrix(x$simulation) %*% w
plot_panic_distribution(pnl = pnl, p = x$p)

Reckziegel/CMA documentation built on July 13, 2022, 10:31 p.m.