PortfolioEffectHFT (version 1.7)

dist_density: Probability Density Function of Portfolio Returns

Description

Computes probability density of portfolio 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

dist_density(asset,pValueLeft,pValueRight,nPoints,addNormalDensity)

Arguments

asset

Portfolio or Position object created using portfolio_create( ) or position_add( ) function

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')
# positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
# positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
# util_plotDensity(dist_density(portfolio,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')
# positionAAPL=position_add(portfolio,'AAPL',100)
# positionC=position_add(portfolio,'C',300) 
# positionGOOG=position_add(portfolio,'GOOG',150) 
# util_plotDensity(dist_density(portfolio,pValueLeft=0,pValueRight=1,nPoints=100,
# addNormalDensity=TRUE))
# ## End(Not run)