Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: VaR
See also: VaRest VaRpred VaRtimeplot VaRqqplot

Macro: VaRopt
Description: defines a list with optional parameters in VaR functions. The list is either created or new options are appended to an existing list. Note that VaRopt does accept _any_ values for the parameters without checking validity.

Usage: opt = VaRopt(s0,v0{,s1,v1{,...{,opt0}}})
Input:
s0,s1,... string, name of the component to add. Allowed are "method" (method for VaR, one of "RMA" = default, "MAD", "EMA"), "h" (window width, default is 250), "lam" ("EMA" parameter, default is 1-0.96), "dist" (distribution, default is 0 for normal, a positive integer denotes the degrees of freedom in case of a t-distribution), "alpha" (significance level, default is 0.01), "w" (weights for assets), "bw" (bandwidth for method KDQ). For VaRplot, the parameters "name" (output name), "color" (color for VaR), "style" (style for VaR), "thick" (line thickness for VaR), "size" (point size for portfolio data), "title" (output title), "plot" (default is "all" for upper and lower VaR, use "low" for lower only), "exceed" (mark points that exceed VaR) are possible as well.
v1,v2,... object, value of the corresponding component to add.
opt0 optional, name of list where the component(s) should be added.
Output:
opt resulting list of options.

Example:
library("VaR")
opt=VaRopt("method","RMA","h",200,"title","MyExample")
opt
Result:
Contents of opt.method
[1,]    0.001 
Contents of opt.h
[1,]      200
Contents of opt.title
[1,] MyExample

Library: VaR
See also: VaRest VaRpred VaRtimeplot VaRqqplot

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Marlene Mueller, 2000/07/13
(C) MD*TECH Method and Data Technologies, 17.8.2000