RNGkind in R-devel =svn r90299=.ES.numeric was giving wrong results when
length(p_loss) > 1.
VaR and ES now have methods for class
"matrix".
documented that now ES and VaR can be computed from data, as well.
new argument transf of Var() and
ES() can be used to request the values corresponding to the
returns (when dist represents log-returns).
made ES generic (VaR was already
generic).
moved fGarch from Imports to Suggests.
renamed argument x of VaR and
ES to p_loss. p_loss seems more
expressive and suggests that it relates to the losses, usually small
numbers like 0.05. Other suitable names like
alpha, p, and prob, are commonly
used as arguments to other functions that might be used as argument
dist and make them more difficult to pass via the
... arguments.
For now, an warning is issued if x is used as a named
argument in a call (e.g. VaR(dist, x = 0.05)) with the
intend to turn that in an error in the next release of the package. This
change should not be noticed by most users since it is much more natural
not to name this argument and use something like
VaR(dist, 0.05).
moved fGarch from Imports to Suggests.
when the input was numeric, ES() was not handling
the level x properly (fixes issue #2, reported by Marius
Bommert).
changed the JSS reference to use the new-style doi.
fixed a bug in the tests, in v0.4-0, that was causing failure of
the tests on travis, despite all checks on CRAN passing with OK.
devtools::test() was failing too, but only on the first run
in a session, details in the git commit.
set up GHA.
fix tests to pass with the changed R random generator.
some new examples and minor documentation changes.
now \VignetteIndexEntry in
Guide_cvar.Rnw is plain text.
added experimental support for GARCH models - currently GARCH(1,1) (the API may change).
now the first argument of VaR() and
ES() can be a numeric vector. This is useful, e.g., for
computing VaR by simulation.
bugfix: in VaR_cdf() and VaR_qf(), the
code for the if/else clauses had been wrongly
swappped.
suggest ‘covr’.
setup for travisCI and Coveralls.
more tests.
corrected in the vignette — I used the vignette for Rdpack as a template but didn’t change this entry, which resulted in the vignette appearing with a puzzling title on CRAN and other sites.!
added author@R in DESCRIPTION.
added experimental web site (docs/)