valueAtRisk

swordfish.function.valueAtRisk()

Calculate Value at Risk (VaR) to predict the minimum return within a given confidence level (e.g. 95% or 99%) over a specific time frame.

Parameters:

• returns (Constant) – A numeric vector representing the returns. The element must be greater than -1 and cannot be empty.

• method (Constant) –

  A string indicating the VaR calculation method, which can be:

  • ’normal’: parametric method with normal distribution.

  • ’logNormal’: parametric method with log-normal distribution.

  • ’historical’: historical method.

  • ’monteCarlo’: Monte Carlo simulation.

• confidenceLevel (Constant, optional) – A numeric scalar representing the confidence level, with a valid range of (0,1), by default DFLT.

Returns:

A DOUBLE value indicating the absolute value of the minimum return.

Return type:

Constant