Displaying 1 result from an estimated 1 matches for "security_rate_returns".
2012 Sep 26
1
Change in order of names after applying "plyr" package
..._names = unique(equity_data$security_id)
# (security_names are used further in R code not included here)
alpha = param$confidence_level
t = param$holding_period
n = param$no_simulation_mc
method = param$calculation_method
mc_VaR = function(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,...