Function to calculate the value at risk of two stocks.
var2stocks()The dollar value at risk of two stocks.
The user inputs are as follows: Value of the first stock: to be entered in numbers for e.g. 110.50 Value of the second stock: to be entered in numbers for e.g. 170.50 mu1: the expected return- to be entered in decimals. For e.g. 0.05 for 5 per cent mu2: the expected return- to be entered in decimals. For e.g. 0.06 for 6 per cent Sigma1 (or Volatility) per annum: to be entered in decimals. For e.g. 0.25 for 25 per cent Sigma2 (or Volatility) per annum: to be entered in decimals. For e.g. 0.3 for 30 per cent Confidence level: to be entered in decimals. For e.g. 0.95 for 95 per cent Correlation: a number between -1 and +1 to be entered in decimals. For e.g. 0.6 Horizon (in months): For e.g. enter 12 for a year Distribution: chosen between normal/lognormal
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.