[Returnanalytics-commits] r2078 - pkg/PortfolioAnalytics/R

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

Author: hezkyvaron
Date: 2012-06-26 09:52:43 +0200 (Tue, 26 Jun 2012)
New Revision: 2078

Added:
   pkg/PortfolioAnalytics/R/constraints_ROI.R
Modified:
   pkg/PortfolioAnalytics/R/constraints.R
   pkg/PortfolioAnalytics/R/optimize.portfolio.R
Log:
- moved constraint_ROI constructor to its own file.
- added namespace fix in optimize.portfolio()
- commented out constraint_ROI in constraints.R file

Modified: pkg/PortfolioAnalytics/R/constraints.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints.R	2012-06-25 21:08:33 UTC (rev 2077)
+++ pkg/PortfolioAnalytics/R/constraints.R	2012-06-26 07:52:43 UTC (rev 2078)
@@ -210,27 +210,29 @@
 }
 
 
-#' constructor for class constraint_ROI
-#' 
-#' @param assets number of assets, or optionally a named vector of assets specifying seed weights
-#' @param op.problem an object of type "OP" (optimization problem, of \code{ROI}) specifying the complete optimization problem, see ROI help pages for proper construction of OP object.
-#' @param solver string argument for what solver package to use, must have ROI plugin installed for that solver.  Currently support is for \code{\link{glpk}} and \code{\link{quadprog}}.
-#' @param weight_seq seed sequence of weights, see \code{\link{generatesequence}}
-#' @author Hezky Varon
-#' @export
-constraint_ROI <- function(assets, op.problem, solver=c("glpk", "quadprog"), weight_seq=NULL) 
-{
-  if(problem == NULL) stop("Need to pass in optimiztion problem.")
-  return(structure(
-    list(
-      assets = assets,
-      constrainted_objective = op.problem,
-      solver = solver[1],
-      weight_seq = weight_seq,
-      objectives = list(),
-      call = match.call()
-    ), 
-    class=c("constraint_ROI","constraint")
-  ))
-}
+# #' constructor for class constraint_ROI
+# #' 
+# #' @param assets number of assets, or optionally a named vector of assets specifying seed weights
+# #' @param op.problem an object of type "OP" (optimization problem, of \code{ROI}) specifying the complete optimization problem, see ROI help pages for proper construction of OP object.
+# #' @param solver string argument for what solver package to use, must have ROI plugin installed for that solver.  Currently support is for \code{glpk} and \code{quadprog}.
+# #' @param weight_seq seed sequence of weights, see \code{\link{generatesequence}}
+# #' @author Hezky Varon
+# #' @export
+# constraint_ROI <- function(assets, op.problem, solver=c("glpk", "quadprog"), weight_seq=NULL) 
+# {
+#   if(op.problem == NULL || inherits(op.problem, "OP")) {
+#     stop("Need to pass in optimiztion problem of ROI:::OP type.")
+#   if() stop("Need to be ROI:::OP")
+#   return(structure(
+#     list(
+#       assets = assets,
+#       constrainted_objective = op.problem,
+#       solver = solver[1],
+#       weight_seq = weight_seq,
+#       objectives = list(),
+#       call = match.call()
+#     ), 
+#     class=c("constraint_ROI","constraint")
+#   ))
+# }
 

Added: pkg/PortfolioAnalytics/R/constraints_ROI.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints_ROI.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/R/constraints_ROI.R	2012-06-26 07:52:43 UTC (rev 2078)
@@ -0,0 +1,60 @@
+#' constructor for class constraint_ROI
+#' 
+#' @param assets number of assets, or optionally a named vector of assets specifying seed weights
+#' @param op.problem an object of type "OP" (optimization problem, of \code{ROI}) specifying the complete optimization problem, see ROI help pages for proper construction of OP object.
+#' @param solver string argument for what solver package to use, must have ROI plugin installed for that solver.  Currently support is for \code{glpk} and \code{quadprog}.
+#' @param weight_seq seed sequence of weights, see \code{\link{generatesequence}}
+#' @author Hezky Varon
+#' @export
+constraint_ROI <- function(assets, op.problem, solver=c("glpk", "quadprog"), weight_seq=NULL) 
+{
+  #
+  # Structure for this constructor function borrowed from "constraints.R"
+  #
+  if(op.problem == NULL || class(op.problem) != "OP") 
+    stop("Need to pass in optimization problem of ROI:::OP object type.")
+  
+  if (is.null(assets)) {
+    stop("You must specify the assets")
+  }
+  
+  if(is.character(assets)){
+    nassets=length(assets)
+    assetnames=assets
+    message("assuming equal weighted seed portfolio")
+    assets<-rep(1/nassets,nassets)
+    names(assets)<-assetnames  # set names, so that other code can access it,
+    # and doesn't have to know about the character vector
+    # print(assets)
+  }
+  if(!is.null(assets)){
+    # TODO FIXME this doesn't work quite right on matrix of assets
+    if(is.numeric(assets)){
+      if (length(assets) == 1) {
+        nassets=assets
+        #we passed in a number of assets, so we need to create the vector
+        message("assuming equal weighted seed portfolio")
+        assets<-rep(1/nassets,nassets)
+      } else {
+        nassets = length(assets)
+      }
+      # and now we may need to name them
+      if (is.null(names(assets))) {
+        for(i in 1:length(assets)){
+          names(assets)[i]<-paste("Asset",i,sep=".")
+        }
+      }
+    }
+  
+  return(structure(
+    list(
+         assets = assets,
+         constrainted_objective = op.problem,
+         solver = solver[1],
+         weight_seq = weight_seq,
+         objectives = list(),
+         call = match.call()
+        ), 
+    class=c("constraint_ROI","constraint")
+    ))
+}
\ No newline at end of file

Modified: pkg/PortfolioAnalytics/R/optimize.portfolio.R
===================================================================
--- pkg/PortfolioAnalytics/R/optimize.portfolio.R	2012-06-25 21:08:33 UTC (rev 2077)
+++ pkg/PortfolioAnalytics/R/optimize.portfolio.R	2012-06-26 07:52:43 UTC (rev 2078)
@@ -244,7 +244,7 @@
     # This will take a new constraint object that is of the same structure of a 
     # ROI constraint object, but with an additional solver arg.
     # then we can do something like this
-    roi.result <- ROI_solve(x=constraints$constrainted_objective, constraints$solver)
+    roi.result <- ROI:::ROI_solve(x=constraints$constrainted_objective, constraints$solver)
     weights <- roi.result$solution
     names(weights) <- colnames(R)
     out$weights <- weights