historicalSim: Historical Simulation
In mnquants/VaR: Portfolio Value at Risk
Description
Usage
Arguments
Value
Description
Historical Simulation
Usage
1
historicalSim(histRet, alpha)
Arguments
histRet
Vector of historical returns
alpha
Alpha value for confidence level
Value
Max of lowest alpha*100 of histP
mnquants/VaR documentation built on May 4, 2019, 6:37 p.m.
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Description Usage Arguments Value
Description
Historical Simulation
Usage
1 | historicalSim(histRet, alpha)
|
Arguments
histRet |
Vector of historical returns |
alpha |
Alpha value for confidence level |
Value
Max of lowest alpha*100 of histP
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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