Risk and Performance Measures — parameters
Below is the complete list of the functions’ parameters.
| Condition | |
|---|
| Description: | The criteria that defines which changes/values will be chosen.(Below, Above, BellowOrAbove , Between, Equal) |
| DaysNumber | |
|---|
| Description: | Number of days if the parameter TimeInterval is Days. |
| EndDate | |
|---|
| Description: | The last date in the required period. |
| ExcludeFromDate | |
|---|
| Description: | The first date in the period excluded from the required period. |
| ExcludeToDate | |
|---|
| Description: | The last date in the period excluded from the required period. |
| HDates | |
|---|
| Description: | The array of dates of historical prices of the asset. |
| HDatesI | |
|---|
| Description: | The array of dates of historical prices of the reference index. |
| HDatesP | |
|---|
| Description: | The array of dates of historical prices of the portfolio/fund. |
| HDatesRf | |
|---|
| Description: | The array of dates of historical annual risk free rates. |
| HDatesS | |
|---|
| Description: | The array of dates of historical prices of the stock. |
| HDates1 | |
|---|
| Description: | The array of dates of historical prices of the asset 1. |
| HDates2 | |
|---|
| Description: | The array of dates of historical prices of the asset 2. |
| HRates | |
|---|
| Description: | The array of historical prices of the asset. |
| HRatesRf | |
|---|
| Description: | The array of historical annual risk free rates. |
| HRatesI | |
|---|
| Description: | The array of historical prices of the reference index. |
| HRatesS | |
|---|
| Description: | The array of historical prices of the stock. |
| HRatesP | |
|---|
| Description: | The array of historical prices of the portfolio/fund. |
| HRates1 | |
|---|
| Description: | The array of historical prices of the asset 1. |
| HRates2 | |
|---|
| Description: | The array of historical prices of the asset 2. |
| Lambda | |
|---|
| Description: | The smooting factor in the EWMA volatility calculation (0.94 for example). |
| OT | |
|---|
| Description: | Output type (Quantity, Probability) |
| Overlap | |
|---|
| Description: | This parameter indicates whether there is an overlapping between dates. |
| Percentile | |
|---|
| Description: | The percentile value (the number between 0 and 1) |
| PriceChangeCalc | |
|---|
| Description: | Calculation type of the price change. If this argument is equal to "Discrete", the price change is calculated as Pt/Pt-1-1; if this argument is equal to "Continuous", the daily change is calculated as ln(Pt/Pt-1; if this argument is equal to “Absolute”, the price change is calculated as Pt-Pt-1). (Discrete, Continuous, Absolute) |
| ScalingFactor | |
|---|
| Description: | The scaling factor in the square root of time rule. If the historical prices are daily and you are interested to calculate weekly volatility, this argument has to be equal to 5, if you are interested to calculate annual volatility, this argument has to be equal to 252 (sometimes numbers 250 or 260 are used), etc. |
| StartDate | |
|---|
| Description: | The first date in the required period. |
| TimeInterval | |
|---|
| Description: | Time period of the price changes. (Days, Week, Month, Quarter, Year) |
| Value1 | |
|---|
| Description: | This parameter is one of the following in GIA_RPM_FrequencyChanges1 and in GIA_RPM_FrequencyChanges2 functions. The lower value to which the condition is related if the condition is "BelowOrAbove"or "Between". The value to which the condition is related if the condition is "Below"or "Equal". |
| Value2 | |
|---|
| Description: | This parameter is one of the following in GIA_RPM_FrequencyChanges1 and in GIA_RPM_FrequencyChanges2 functions. The upper value to which the condition is related if the condition is "BelowOrAbove"or "Between". The value to which the condition is related if the condition is "Above". |
| VolDates | |
|---|
| Description: | The array of dates or days in volatility curve. |
| VolRates | |
|---|
| Description: | The array of rates in volatility curve. |
| WeekLastDay | |
|---|
| Description: | The last day of the week if the parameter TimeInterval is Week. (Sunday, Monday, Tuesday, Wednesday, Thursday, Friday). |
