Dear R helpers
I have following two data.frames viz. equity_data and param.
equity_data = data.frame(security_id = c("Air", "Air", "Air", "Air", "Air",
"Air", "Air", "Air", "Air", "Air", "Air", "Air", "AB", "AB", "AB", "AB", "AB",
"AB", "AB", "AB", "AB", "AB", "AB", "AB", "AD", "AD", "AD", "AD", "AD", "AD",
"AD", "AD", "AD", "AD", "AD", "AD"), ason_date =
c("10-Jan-12","9-Jan-12","8-Jan-12", "7-Jan-12",
"6-Jan-12","5-Jan-12","4-Jan-12","3-Jan-12","2-Jan-12","1-Jan-12", "31-Dec-11",
"30-Dec-11", "10-Jan-12","9-Jan-12","8-Jan-12", "7-Jan-12",
"6-Jan-12","5-Jan-12","4-Jan-12","3-Jan-12","2-Jan-12","1-Jan-12", "31-Dec-11",
"30-Dec-11", "10-Jan-12","9-Jan-12","8-Jan-12", "7-Jan-12",
"6-Jan-12","5-Jan-12","4-Jan-12","3-Jan-12","2-Jan-12","1-Jan-12", "31-Dec-11",
"30-Dec-11"), security_rate = c(0.597,0.61,0.6,0.63,0.67,0.7,0.74,0.735,
7.61,0.795,0.796, 0.84, 8.5,8.1,8.9,8.9,8.9,9,9,9,9,9,9,9,3.21,3.22,3.12, 3.51,
3.5, 3.37, 3.25, 3, 3.07, 3, 2.94, 2.6))
param = data.frame(confidence_level = c(0.99), holding_period = c(10),
calculation_method = "MC", no_simulation_mc = c(100))
library(plyr)
library(reshape2)
attach(equity_data)
attach(param)
security_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$calculation_method
mc_VaR = function(security_id, ason_date, security_rate)
{
security_rate_returns <- NULL
for (i
in(1:length(ason_date)-1))
{
security_rate_returns[i] = log(security_rate[i]/security_rate[i+1])
}
return_mean = mean(security_rate_returns)
return_sd = sd(security_rate_returns)
simulation = rnorm(n, return_mean, return_sd)
qq = sort(simulation, decreasing = TRUE)
VaR_mc = -qq[alpha * n]*sqrt(t)
return(VaR_mc)
}
result_method_other <- dlply(.data = equity_data, .variables = "security_id",
.fun = function(x)
mc_VaR(ason_date = x$ason_date, security_id =
x$security_id,
security_rate = x$security_rate))
> result_method_other
$AB
[1] 0.2657424
$AD
[1] 0.212061
$Air
[1] 6.789733
attr(,"split_type")
[1] "data.frame"
attr(,"split_labels")
security_id
1 AB
2 AD
3 Air
MY PROBLEM :
My original data (i.e. equity_data) has the order of "Air", "AB" and "AD".
However, after applying plyr, my order (and corresponding result) has changed
to "AB", "AD" "Air".
I need to
maintain my original order of "Air", "AB" and "AD". How do I modify my R code
for this?
Kindly guide
Vincy
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