LogNormalVaRFigure {Dowd} | R Documentation |

## Figure of lognormal VaR and pdf against L/P

### Description

Gives figure showing the VaR and probability distribution function against L/P of a portfolio assuming geometric returns are normally distributed, for specified confidence level and holding period.

### Usage

```
LogNormalVaRFigure(...)
```

### Arguments

`...` |
The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 5. In case there 4 input arguments, the mean and standard deviation of data is computed from return data. See examples for details. returns Vector of daily geometric return data mu Mean of daily geometric return data sigma Standard deviation of daily geometric return data investment Size of investment cl VaR confidence level and should be scalar hp VaR holding period in days and should be scalar |

### Author(s)

Dinesh Acharya

### References

Dowd, K. Measuring Market Risk, Wiley, 2007.

### Examples

```
# Plots lognormal VaR and pdf against L/P data for given returns data
data <- runif(5, min = 0, max = .2)
LogNormalVaRFigure(returns = data, investment = 5, cl = .95, hp = 90)
# Plots lognormal VaR and pdf against L/P data with given parameters
LogNormalVaRFigure(mu = .012, sigma = .03, investment = 5, cl = .95, hp = 90)
```

*Dowd*version 0.12 Index]