[Returnanalytics-commits] r2293 - in pkg/PerformanceAnalytics: . R

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

Author: bodanker
Date: 2012-11-08 15:52:28 +0100 (Thu, 08 Nov 2012)
New Revision: 2293

Modified:
   pkg/PerformanceAnalytics/DESCRIPTION
   pkg/PerformanceAnalytics/NAMESPACE
   pkg/PerformanceAnalytics/R/chart.RollingRegression.R
   pkg/PerformanceAnalytics/R/zzz.R
Log:
- un-register rollapply.xts S3 method (now in xts)
- copy (unexported) sd.xts from xts namespace
- convert chart.RollingRegression.R to use rollapply.xts
- bump version


Modified: pkg/PerformanceAnalytics/DESCRIPTION
===================================================================
--- pkg/PerformanceAnalytics/DESCRIPTION	2012-11-05 21:21:01 UTC (rev 2292)
+++ pkg/PerformanceAnalytics/DESCRIPTION	2012-11-08 14:52:28 UTC (rev 2293)
@@ -1,7 +1,7 @@
 Package: PerformanceAnalytics
 Type: Package
 Title: Econometric tools for performance and risk analysis.
-Version: 1.0.5.1
+Version: 1.0.5.2
 Date: $Date$
 Author: Peter Carl, Brian G. Peterson
 Maintainer: Brian G. Peterson <brian at braverock.com>

Modified: pkg/PerformanceAnalytics/NAMESPACE
===================================================================
--- pkg/PerformanceAnalytics/NAMESPACE	2012-11-05 21:21:01 UTC (rev 2292)
+++ pkg/PerformanceAnalytics/NAMESPACE	2012-11-08 14:52:28 UTC (rev 2293)
@@ -229,8 +229,6 @@
 S3method(textplot, data.frame)
 S3method(textplot, matrix)
 
-S3method(rollapply,xts)
-
 # # Export These
 # ActivePremium
 # apply.fromstart

Modified: pkg/PerformanceAnalytics/R/chart.RollingRegression.R
===================================================================
--- pkg/PerformanceAnalytics/R/chart.RollingRegression.R	2012-11-05 21:21:01 UTC (rev 2292)
+++ pkg/PerformanceAnalytics/R/chart.RollingRegression.R	2012-11-08 14:52:28 UTC (rev 2293)
@@ -67,8 +67,8 @@
     # FUNCTION:
 
     # Transform input data to a data frame
-    Ra = checkData(Ra, method="zoo")
-    Rb = checkData(Rb, method="zoo")
+    Ra = checkData(Ra)
+    Rb = checkData(Rb)
     #Rf = checkDataMatrix(Rf)
     attribute=attribute[1]
 
@@ -87,9 +87,9 @@
         for(column.b in 1:columns.b) { # against each asset passed in as Rb
             merged.assets = merge(Ra.excess[,column.a,drop=FALSE], Rb.excess[,column.b,drop=FALSE])
             if(attribute == "Alpha")
-                column.result = rollapply.xts(na.omit(merged.assets), width = width, FUN= function(x) lm(x[,1,drop=FALSE]~x[,2,drop=FALSE])$coefficients[1], by = 1, by.column = FALSE, na.pad = na.pad, align = "right")
+                column.result = rollapply(na.omit(merged.assets), width = width, FUN= function(x) lm(x[,1,drop=FALSE]~x[,2,drop=FALSE])$coefficients[1], by = 1, by.column = FALSE, fill = na.pad, align = "right")
             if(attribute == "Beta")
-                column.result = rollapply.xts(na.omit(merged.assets), width = width, FUN= function(x) lm(x[,1,drop=FALSE]~x[,2,drop=FALSE])$coefficients[2], by = 1, by.column = FALSE, na.pad = na.pad, align = "right")
+                column.result = rollapply(na.omit(merged.assets), width = width, FUN= function(x) lm(x[,1,drop=FALSE]~x[,2,drop=FALSE])$coefficients[2], by = 1, by.column = FALSE, fill = na.pad, align = "right")
             if(attribute == "R-Squared")
                 column.result = rollapply(na.omit(merged.assets), width = width, FUN= function(x) summary(lm(x[,1,drop=FALSE]~x[,2,drop=FALSE]))$r.squared, by = 1, by.column = FALSE, align = "right")
 

Modified: pkg/PerformanceAnalytics/R/zzz.R
===================================================================
--- pkg/PerformanceAnalytics/R/zzz.R	2012-11-05 21:21:01 UTC (rev 2292)
+++ pkg/PerformanceAnalytics/R/zzz.R	2012-11-08 14:52:28 UTC (rev 2293)
@@ -15,7 +15,7 @@
 
 odd  <- function (x) x%%2==1
 
-rollapply.xts <- xts:::rollapply.xts
+sd.xts <- xts:::sd.xts
 ###############################################################################
 # R (http://r-project.org/) Econometrics for Performance and Risk Analysis
 #
@@ -26,4 +26,4 @@
 #
 # $Id$
 #
-###############################################################################
\ No newline at end of file
+###############################################################################