LogNormalVaRPlot2DHP {Dowd} | R Documentation |

## Plots log normal VaR against holding period

### Description

Plots the VaR of a portfolio against holding period assuming that geometric returns are normal distributed, for specified confidence level and holding period.

### Usage

```
LogNormalVaRPlot2DHP(...)
```

### 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 must be a scalar hp VaR holding period and must be a vector |

### Author(s)

Dinesh Acharya

### References

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

### Examples

```
# Computes VaR given geometric return data
data <- runif(5, min = 0, max = .2)
LogNormalVaRPlot2DHP(returns = data, investment = 5, cl = .95, hp = 60:90)
# Computes VaR given mean and standard deviation of return data
LogNormalVaRPlot2DHP(mu = .012, sigma = .03, investment = 5, cl = .99, hp = 40:80)
```

*Dowd*version 0.12 Index]