[Returnanalytics-commits] r1975 - pkg/PerformanceAnalytics/R

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

Author: ababii
Date: 2012-06-04 09:13:26 +0200 (Mon, 04 Jun 2012)
New Revision: 1975

Modified:
   pkg/PerformanceAnalytics/R/aggregate.R
Log:
Corrected some mistakes. Added descriptions. The function returns aggregated returns and weights to the chosen level from the hierarchy.

Modified: pkg/PerformanceAnalytics/R/aggregate.R
===================================================================
--- pkg/PerformanceAnalytics/R/aggregate.R	2012-06-03 23:32:28 UTC (rev 1974)
+++ pkg/PerformanceAnalytics/R/aggregate.R	2012-06-04 07:13:26 UTC (rev 1975)
@@ -1,4 +1,4 @@
-#' aggregates portfolio up
+#' aggregate portfolio up
 #' 
 #' @aliases aggregate
 #' 
@@ -6,31 +6,35 @@
 #' portfolio hierarchy (from the buildHierarchy function)
 #'
 #' @aliases aggregate
-#' @param Rp portfolio returns
-#' @param wp portfolio weights
-#' @param h  portfolio hierarchy
-#' @param level level of aggregation in the hierarchy
+#' @param Rp xts, data frame or matrix of portfolio returns
+#' @param wp xts, data frame or matrix of portfolio weights. Names of columns 
+#' in weights should correspond to the names of columns in returns
+#' @param h  portfolio hierarchy returned by buildHierarchy
+#' @param level aggregation level from the hierarchy
 #' @author Andrii Babii
-#' @seealso 
+#' @seealso  \code{\link{buildHierarchy}}
+#' TODO Replace example using portfolio dataset. It should work with returns 
+#' in the same manner as Return.portfolio function in future
 #' @references
+#' @export
 #' @examples
 #' 
-aggregate <-
-function(Rp, wp, h, level = "Sector"){
-     
+aggregate.returns <-
+function(Rp, wp, h, level = "Sector")
+{
+
+    Rp = checkData(Rp, method = "xts")
+    wp = checkData(wp, method = "xts")
+
     h = split(h$primary_id, h[level])
     returns = as.xts(matrix(NA, ncol = length(h), nrow = nrow(Rp)), index(Rp))
     for(j in 1:length(h)){
+        rp = as.xts(matrix(0, ncol = 1, nrow = nrow(Rp)), index(Rp))
         for(i in 1:length(h[[j]])){
             asset = h[[j]][i]
             r = as.data.frame(Rp)[asset] * as.data.frame(wp)[asset]
             r = as.xts(r)
-        
-            if (i == 1){
-                rp = r
-            } else{
-                rp = rp + r
-            }
+            rp = rp + r
         }
         returns[, j] = rp
         colnames(returns) = names(h)
@@ -38,6 +42,29 @@
     return(returns)
 }
 
+aggregate.weights <-
+function(wp, h, level = "Sector")
+{
+    Rp = checkData(Rp, method = "xts")
+    wp = checkData(wp, method = "xts")
+
+    h = split(h$primary_id, h[level])
+    weights = wp[, 1:length(h)]
+    
+    for(j in 1:length(h)){
+        W = as.xts(matrix(0, ncol = 1, nrow = nrow(wp)), index(wp))
+        for(i in 1:length(h[[j]])){
+            asset = h[[j]][i]
+            w = as.data.frame(wp)[asset]
+            w = as.xts(w)
+            W = W + w
+        }
+        weights[, j] = W
+        colnames(weights) = names(h)
+    }
+    return(weights)
+}
+
 # Example
 
 # 1. Generate data
@@ -54,11 +81,24 @@
         Rp <- cbind(Rp, r)
     }
 }
-wp <- as.xts(matrix(rep(c(0.3, 0.1, 0.2, 0.1, 0.2), 5), 5, 5), index(Rp))
+wp <- as.xts(matrix(rep(c(0.3, 0.1, 0.2, 0.1, 0.2), 5), 5, 5, TRUE), index(Rp))
 colnames(wp) <- colnames(Rp)
 
 # 2. Aggregate portfolio
 Rp
-aggregate(Rp, wp, hierarchy, level = "Sector")
-aggregate(Rp, wp, hierarchy, level = "type")
-aggregate(Rp, wp, hierarchy, level = "currency")
\ No newline at end of file
+aggregate.returns(Rp, wp, hierarchy, level = "Sector")
+aggregate.returns(Rp, wp, hierarchy, level = "type")
+aggregate.weights(wp, hierarchy, level = "Sector")
+
+
+###############################################################################
+# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
+#
+# Copyright (c) 2004-2012 Peter Carl and Brian G. Peterson
+#
+# This R package is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: CalmarRatio.R 1905 2012-04-21 19:23:13Z braverock $
+#
+###############################################################################
\ No newline at end of file