/*
** Version 01
** Date : 20/07/2001                                        
** --------------------------------------------------------------------------
** Copyright K.Cuthbertson and D. Nitzsche
** "Financial Engineering:Derivatives and Risk Manangement" - J. Wiley 2001
**
**   VALUE AT RISK: SPOT ASSETS 
**
**   Calculation of VaR for Spot Assets (Stocks) Table 22.1 and Table 23.1  
**
*/

 new ; cls ;  format /m1/rd 12,4;  output on ;  screen on ; 

/* 
output file=c:\docs\arun\out.out reset;                         @ USER TO CHECK FILEPATH @   
*/

/*
" ------------------------------------------------------------------------------------------  " ;
"         VaR of Portfolio of Spot Assets (Var-Cov method)                                    " ;
" ------------------------------------------------------------------------------------------  " ;
?; " Number of assets (stocks) in the portfolio (n)                             "; 
?; " Initial $-values in each asset:negative implies short sale (V0)     		"; 
?; " Standard Deviation (%) of Returns: Daily, % p.a. (sigma)                   ";
?; " Correlation matrix between asset returns (R)                               ";
?; " $ Portfolio Value-at-Risk  (VaR)     							            "; 
*/


@ ----------------------  USER INPUT HERE (see Chp 22, T 22.1 ) ----------------------------- @

n      =2 ;                               @ Number of 'spot' assets @   
V0     = {10,   5   } ;                   @ $-millions - n entries required @
sigma  = {1.5, 1.0  } ;                   @ Daily, % p.a. - n entries required @  

R      =  {  1.0      -0.10,              @ (n x n) symmetric matrix @  
            -0.10      1.0     } ;  

@ -----------------------  END USER INPUT (see Chp 22, T 22.1 ) ----------------------------- @

@ --------------------------------- VaR Calculations ---------------------------------------- @
Z    = V0.*1.65.*(sigma/100) ;
VaR  = sqrt( Z'*R* Z ) ;  

" -----------------------------------------------------------------------------------------------------------  " ;
"         Print Output: Table 22.1 VaR of Portfolio of 2 Spot Assets (Var-Cov method)                          " ;
" -----------------------------------------------------------------------------------------------------------  " ;
?; " Number of Cash Flows/ Assets in the portfolio (n)                           " n ;
?; " Initial $-values in each asset (V0): negative implies short sale    		 " V0 ; 
?; " Daily Standard Deviation of Returns ( % Daily)                              " sigma ;
?; " Correlation matrix bewteen asset returns (R)                                " R ;
   " --------------------------------------------------------------------------------------------------------- " ;
?; " Individual VaRs(Z)  Absolute value (Z)	                                     " Z~Abs(Z) ; 
?; " Diversified VaR=sqrt( Z'*R* Z )                                             " VaR ;
?; " Worse Case VaR (positive holdings all assets and rho=1  )                   " sumc(abs(Z)) ; 
" -----------------------------------------------------------------------------------------------------------  " ;

@ --------------------------------- END OF CODE FOR TABLE 22.1 --------------------------------- @

@ ------------------------  USER INPUT HERE (for Chp 23, T 23.1 ) ------------------------------ @

n      =3;
V0     = {10000,    -10000,   10000  } ;             @ Note: asset-2 is held short @
sigma  = {5.4180,    3.0424,  3.6363 } ;

R      =  { 1.0     0.962     0.403,
            0.962    1.0      0.61 ,
            0.403    0.61     1.0  } ;  

@ --------------------------  END USER INPUT (see Chp 23, T 23.1 ) ----------------------------- @

@ ----------------------------------- VaR Calculations ----------------------------------------- @
Z    = V0.*1.65.*(sigma/100) ;
VaR  = sqrt( Z'*R* Z ) ;  

" ---------------------------------------------------------------------------------------------------------  " ;
"           Print Output: Table 23.1 VaR of Portfolio of 3 Spot Assets (Var-Cov method)                      " ;
" ---------------------------------------------------------------------------------------------------------  " ;
?; " Number of Cash Flows/ Assets in the portfolio (n)                           " n ;
?; " Initial $-values in each asset (V0): negative implies short sale    		 " V0 ; 
?; " Daily Standard Deviation of Returns ( % Daily)                              " sigma ;
?; " Correlation matrix bewteen asset returns (R)                                " R ;
   " ------------------------------------------------------------------------------------------------------- " ;
?; " Individual VaRs(Z)  Absolute value (Z)	                                     " Z~Abs(Z) ; 
?; " Diversified VaR=sqrt( Z'*R* Z )                                             " VaR ;
?; " Worse Case VaR (positive holdings all assets and rho=1  )                   " sumc(abs(Z)) ; 
" ---------------------------------------------------------------------------------------------------------- " ;


end;