[R-SIG-Finance] PerformanceAnalytics Marginal VaR

Brian G. Peterson brian at braverock.com
Tue Feb 22 18:27:02 CET 2011

On 02/22/2011 11:13 AM, Henry Ward wrote:
> Hi Jeff,
> Thank you for your assistance.  Below is my configuration before updating from R-Forge.  After updating xts from R-Forge with
>> >  install.packages("xts", repos="http://R-Forge.R-project.org")
> I restart R and it tells me that xts was built under R 2.12.2 which I don't have.  I've updated to the latest 2.12.1 but can't seem to find an xts repository between the cutting edge R-Forge and the older CRAN.
> Thank you for posting the update on CRAN.  If you could shoot me a quick email letting me know when you might be able to do it I'd appreciate.  My project requires the marginal VaR calculation.  Thanks.

You should be able to use the R-Forge version on R 2.12.1 (with a 
warning on load).

If it won't load the new xts, let us know.  But the marginal VaR calc 
works for me with the latest xts.


   - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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