| Library: | VaR |
| See also: | DGdecompS VarDGdecomp |
| Quantlet: | VaRDGdecompG | |
| Description: | computes the first and second derivatives with respect to the new risk factors. |
| Usage: | r = VaRDGdecompG(l) | |
| Input: | ||
| l | a list with (at least) the following components: Delta - (m x 1) 'old' first derivatives Gamma - (m x m) 'old' second derivatives B - (m x m) square root of the covariance matrix, BB' = Sigma | |
| Output: | ||
| r | a list containing the additional components: delta - (m x 1) 'new' first derivatives lambda - (m x m) diagonal of the 'new' second derivatives | |
library("VaR")
library("xplore")
Delta = #(1,2,3)
Gamma = matrix(3,3) + 9*unit(3)
B = unit(3)
l = list(Delta,Gamma,B)
VaRDGdecompG(l)
Contents of r.Delta [1,] 1 [2,] 2 [3,] 3 Contents of r.Gamma [1,] 10 1 1 [2,] 1 10 1 [3,] 1 1 10 Contents of r.B [1,] 1 0 0 [2,] 0 1 0 [3,] 0 0 1 Contents of r.lambda [1,] 9 [2,] 12 [3,] 9 Contents of r.delta [1,] -1.2247 [2,] 3.4641 [3,] -0.70711