[R-SIG-Finance] PnL data - PerformanceAnalytics /

[Brian G. Peterson]

VaR/ES should work with a distribution of cash P&L as well as a
distribution of returns.

Can you present an example that isn't behaving as you expect it to?

Regards,

Brian 

On Wed, 2021-02-03 at 17:58 +0000, Johan Palleschitz wrote:
> Good evening all,
> 
> I have PnL data in EUR that i want use for ES, VaR
> calculationw/reports, as described in the documentation.
> 
> I have read the PerformanceAnalytics guideline, searched on SO but i
> do not find a solution that works for me. 
> 
> Any suggestion or indication where i should look would be very
> appreciated!!
> 
> Have a nice evening!!
> Regards
> Johan
> 
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