chart.BarVaR {PerformanceAnalytics}R Documentation

Periodic returns in a bar chart with risk metric overlay

Description

Plots the periodic returns in a bar chart overlayed with a risk metric calculation.

Usage

chart.BarVaR(R, width = 0, gap = 12, risk.line = TRUE, method = c("ModifiedVaR","VaR","StdDev"),
             reference.grid = TRUE, xaxis = TRUE, main = "Title", ylab="Value", xlab="Date",
             date.format = "%m/%y", xlim = NA, ylim = NA, lwd = 1, colorset =(1:12),
             p=.99, lty = "13", all = FALSE, ...)

Arguments

R a vector, matrix, data frame, timeSeries or zoo object of asset returns
width periods specified for rolling-period calculations. Note that VaR and Std Dev with width=0 are calculated from the start of the timeseries
gap numeric number of periods from start of series to use to train risk calculation
method one of StdDev, VaR, or ModifiedVaR, default ModifiedVaR
p confidence level for VaR or ModifiedVaR calculation, default is .99
risk.line if risk.line is set to FALSE, then this function just draws the underlying bar chart
reference.grid if true, draws a grid aligned with the points on the x and y axes
xaxis if true, draws the x axis
main set the chart title, same as in plot
ylab set the y-axis label, same as in plot
xlab set the x-axis label, same as in plot
date.format re-format the dates for the xaxis; the default is "%m/%y"
xlim set the x-axis limit, same as in plot
ylim set the y-axis limit, same as in plot
lwd set the line width, same as in plot
lty set the line type, same as in plot
all if TRUE, calculates risk lines for each column given in R. If FALSE, only calculates the risk line for the first column
colorset color palette to use, set by default to rational choices
... any other passthru parameters

Details

Note that StdDev and VaR are symmetric calculations, so a high and low measure will be plotted. ModifiedVaR, on the other hand, is assymetric and only a lower bound will be drawn.

Value

Creates a plot of time on the x-axis and vertical lines for each period to indicate value on the y-axis. Overlays a line to indicate the value of a risk metric calculated at that time period.

Note

Author(s)

Peter Carl

References

See Also

chart.TimeSeries
plot
VaR
VaR.CornishFisher

Examples

data(edhec)
chart.BarVaR(edhec[,"Funds.of.Funds",drop=FALSE], main="Monthly Returns")
chart.BarVaR(edhec[,"Funds.of.Funds",drop=FALSE], main="Monthly Returns", method="VaR")
chart.BarVaR(edhec[,"Funds.of.Funds",drop=FALSE], main="Monthly Returns", method="StdDev", n=36)

[Package PerformanceAnalytics version 0.9.5 Index]