[Returnanalytics-commits] r2110 - pkg/PerformanceAnalytics/sandbox/Meucci/demo

[noreply at r-forge.r-project.org]

Author: mkshah
Date: 2012-07-05 01:04:40 +0200 (Thu, 05 Jul 2012)
New Revision: 2110

Added:
   pkg/PerformanceAnalytics/sandbox/Meucci/demo/S_plotGaussHermite.R
Log:
New Demo for gaussHermiteMesh function as given by Meucci

Added: pkg/PerformanceAnalytics/sandbox/Meucci/demo/S_plotGaussHermite.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Meucci/demo/S_plotGaussHermite.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Meucci/demo/S_plotGaussHermite.R	2012-07-04 23:04:40 UTC (rev 2110)
@@ -0,0 +1,20 @@
+# Diplay mesh points based on Gaussian-Hermite quadrature
+# This script complements the article
+#  "Fully Flexible Extreme Views"
+#	by A. Meucci, D. Ardia, S. Keel
+#	available at www.ssrn.com
+# The most recent version of this code is available at
+# MATLAB Central - File Exchange
+
+N = 50; 
+X = matrix( data=NA, nrow=N, ncol=N)
+
+for (i in 1:N) {
+  x = gaussHermiteMesh(i)
+  X[1:length(x), i] = x
+}
+
+# mesh points
+for (i in 1:N) {
+  plot(1:N, t(X[i,]))
+}
\ No newline at end of file