I have a several questions on the performance analytics package VaR 
calculations using Gaussian method. The may pertain to the other method 
types as well, but have not researched them yet.

First, Why does the "portfolio_Method=Single" VaR do the reasonableness 
check? This eliminates the ability to pass a weights vector that is the 
value of the portfolio.  I did read the documentation and prior user 
group question in 2011 that referenced the message VaR calculation 
produces unreliable result that may arise from prices not returns.  The 
component portfolio method does not have this problem, thankfully, and 
returns the correct results but at a cost in computing on large 
portfolios if you do not want the Component VaR.  Why not have a check 
that is if sum(weights)>1 then ignore reasonableness test or just get 
rid of it, at least do not overwrite.  I did a debug on VaR using 
"single" and checked the gVaR.MM, which had the expected result.

Second, Why does the VaR.marginal disregard all moment inputs from the 
original VaR function call?

I understand from an academic and theoretical perspective that return 
space is more the norm.  But, from a practical perspective, VaR in a 
currency is easier to understand.

Third, there are several functions that are redundant, gVaR.mm is one of 
them.  Is there a plan to clean this up?  Most of these are not directly 
callable, private, functions.

Brian, since I hope you respond, as I stated many years ago, these 
packages are very nice and allow one to move forward faster than having 
to implement the entire calculation from scratch.  Good Job to all of 
the developers.

Thanks

-- 
*Joe W. Byers*

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