search for: return_sd

Displaying 1 result from an estimated 1 matches for "return_sd".

Did you mean: return_md
2012 Sep 26
1
Change in order of names after applying "plyr" package
...ction(security_id, ason_date, security_rate)     {         security_rate_returns <- NULL         for (i in(1:length(ason_date)-1))         {           security_rate_returns[i] = log(security_rate[i]/security_rate[i+1])         }                  return_mean = mean(security_rate_returns)         return_sd = sd(security_rate_returns)         simulation = rnorm(n, return_mean, return_sd)         qq = sort(simulation, decreasing = TRUE)         VaR_mc = -qq[alpha * n]*sqrt(t)         return(VaR_mc)     }      result_method_other <- dlply(.data = equity_data, .variables = "security_id", .f...