PortfolioEffectHFT (version 1.6)

position_pdf: Probability Density Function of Position Returns

Description

Computes probability density of position returns for a given interval (pValueLeft, pValueRight) at nPoints of approximation. Probability density is computed based on a "densityModel" specified in portfolio_settings( ) method.

Usage

position_pdf(portfolio, 				   symbol, 				   pValueLeft, 				   pValueRight, 				   nPoints, 				   addNormalDensity=FALSE)

Arguments

portfolio

Portfolio object created using portfolio_create( ) function.

symbol

Unique identifier of an instrument

pValueLeft

Left limit of probability density value in decimals.

pValueRight

Right limit of probability density value in decimals.

nPoints

Number of approximation points for the PDF function.

addNormalDensity

Flag used to add normal density to the final result. Defaults to FALSE.

Value

Examples

## Not run: 
# data(aapl.data) 
# data(goog.data) 
# data(spy.data) 
# portfolio<-portfolio_create(priceDataIx=spy.data)
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# portfolio_addPosition(portfolio,'GOOG',100,priceData=goog.data)  
# portfolio_addPosition(portfolio,'AAPL',300,priceData=aapl.data) 
# portfolio_addPosition(portfolio,'SPY',150,priceData=spy.data)
# util_plotDensity(position_pdf(portfolio,'GOOG',pValueLeft=0.2,pValueRight=0.8,
# nPoints=100,addNormalDensity=TRUE))
# 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio<-portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
# resultsSamplingInterval='60s')
# portfolio_addPosition(portfolio,'AAPL',100)
# portfolio_addPosition(portfolio,'C',300) 
# portfolio_addPosition(portfolio,'GOOG',150)
# util_plotDensity(position_pdf(portfolio,'AAPL',pValueLeft=0,pValueRight=1,
# nPoints=100,addNormalDensity=TRUE))
# ## End(Not run)