I ran the VaR and ES using the below, and am trying to understand why the
VaR(99%) is exactly equal to ES(99%). Is that how it is supposed to be.....
> ES(R.MCO,p=0.95,method="modified",portfolio_method="single")
MCO
ES -0.06485297
> VaR(R.MCO,p=0.95,method="modified",portfolio_method="single")
MCO
VaR -0.03961317
> ES(R.MCO,p=0.99,method="modified",portfolio_method="single")
MCO
ES -0.07661457
> VaR(R.MCO,p=0.99,method="modified",portfolio_method="single")
MCO
VaR -0.07661457
> From: [email protected]
> To: [email protected]
> Date: Sun, 23 Oct 2011 15:56:48 -0400
> CC: [email protected]
> Subject: Re: [R-SIG-Finance] PerformanceAnalytics package
>
>
> hi,
>
> As I continue working through the functions with my time series of daily
> returns(R.MCO), most of the functions have been working fine, except the
> following(so far):
>
> VaR.mean.MCO=VaR.mean(R.MCO,p=0.95)
> Error: could not find function "VaR.mean"
> > VaR.traditional.MCO=VaR.traditional(R.MCO,p=0.95)
> Error: could not find function "VaR.traditional"
> > modifiedVaR.MCO=modifiedVaR(R.MCO,p=0.99)
> Error: could not find function "modifiedVaR"
> > table.MonthlyReturns(R.MCO,ci=0.95,digits=4)
> Error: could not find function "table.MonthlyReturns"
>
> Can you please let me know how I can fix these errors, as I am keen to use
> these functions for computing the daily VaR and also generate tables of
> monthly returns.
>
> Thanks!
>
> > Date: Sat, 22 Oct 2011 17:20:04 -0500
> > From: [email protected]
> > To: [email protected]
> > CC: [email protected]
> > Subject: Re: [R-SIG-Finance] PerformanceAnalytics package
> >
> > This is most likely a conflict between xts/zoo and the various f* Rmetrics
> > packages
> > (or possibly the timeSeries package from Rmetrics). You'll like see a
> > warning that function 'time' is being masked.
> >
> > the zoo/xts and Rmetrics teams are aware of the issue, and are trying to
> > sort out a modle that will avoid trhe conflict.
> >
> > For now, the most likely way for you to avoid this issue is to not load
> > the Rmetrics packages, or to load zoo/xts *after* you've loaded any
> > Rmetrics packages you need.
> >
> > On Sat, 22 Oct 2011 18:10:15 -0400, financial engineer
> > <[email protected]> wrote:
> > > hi,
> > >
> > >
> > >
> > > I've been trying to familiarize myself with the PerformanceAnalytics
> > > package.
> > >
> > >
> > >
> > > As I go through the examples (in the attached file), I faced a hiccup.
> > >
> > > When I run the following code, it only prints the first chart
> > >
> > >
> > >
> > > charts.PerformanceSummary(managers[, c(manager.col,
> > >
> > > indexes.cols)],colorset = rich6equal, lwd = 2, ylog = TRUE)
> > >
> > >
> > >
> > > and gives me the following error:
> > >
> > >
> > > Error in UseMethod("time<-") :
> > >
> > > no applicable method for 'time<-' applied to an object of class
> > >
> > > "c('xts', 'zoo')"
> > >
> > >
> > >
> > > Can you please let me know how I can fix it.
> > >
> > >
> > >
> > > Thanks!
> >
> > --
> > Brian G. Peterson
> > http://braverock.com/brian/
> > Ph: 773-459-4973
> > IM: bgpbraverock
>
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>
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