period.loss: Aggregating losses by period

In barryrowlingson/opVaR: Computes operational risk

Description

Function aggregating losses by a given period.

Usage

period.loss(data, period = c("none", "days", "weeks", "months", "quarters"),dts = FALSE)

Arguments

data	list with two columnes, first with dates of events and second with loss amount
period	could be none (losses are not aggregated) or "days", "weeks", "months" or "quarters" (loss are aggregated by days, weeks, months or quarters respectively)
dts	logical: whether to have period begins' dates or not (FALSE default)

Value

List of aggreagated losses.

See Also

key.sum, weekdays, as.Date

Examples

data(loss.data.object)
x<- read.loss(1,2,loss.data.object)
 t0 <- period.loss(x,"none"); t0
 t1 <- period.loss(x,"days"); t1
 t2 <- period.loss(x,"weeks"); t2
 t3 <- period.loss(x,"months"); t3
 t4 <- period.loss(x,"quarters"); t4

sum(t0);sum(t1); sum(t2); sum(t3); sum(t4) # note that all these values must be equal

# the same with dates - note that only for days and no period there are original
# dates; for weeks, months and periods there are only dates opening period in which
# loss occured

 t0 <- period.loss(x,"none",dts=T); t0
 t1 <- period.loss(x,"days",dts=T); t1
 t2 <- period.loss(x,"weeks",dts=T); t2
 t3 <- period.loss(x,"months",dts=T); t3
 t4 <- period.loss(x,"quarters",dts=T); t4

sum(t0);sum(t1); sum(t2); sum(t3); sum(t4)

barryrowlingson/opVaR documentation built on May 11, 2019, 7:24 p.m.