[Returnanalytics-commits] r2277 - in pkg/PerformanceAnalytics: R man

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

Author: braverock
Date: 2012-09-05 19:37:27 +0200 (Wed, 05 Sep 2012)
New Revision: 2277

Modified:
   pkg/PerformanceAnalytics/R/Return.calculate.R
   pkg/PerformanceAnalytics/man/Return.calculate.Rd
Log:
- change 'simple' and 'compound' to 'discrete' and 'log', update docs
- add xtsAttributes for ret_type so that we can parse it later and give the user intelligent warnings

Modified: pkg/PerformanceAnalytics/R/Return.calculate.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.calculate.R	2012-09-05 01:53:59 UTC (rev 2276)
+++ pkg/PerformanceAnalytics/R/Return.calculate.R	2012-09-05 17:37:27 UTC (rev 2277)
@@ -22,9 +22,17 @@
 #' \code{\link[tseries]{get.hist.quote}}, which is found in package
 #' \code{tseries}.
 #' 
+#' We have changes the default arguments and settings for \code{method}
+#' from \code{compound} and \code{simple} to \code{discrete} and 
+#' \code{log} and \code{discrete} to avoid confusing between the return type
+#' and the chaining method.  In most of the rest of \code{PerformanceAnalytics},
+#' compound and simple are used to refer to the \emph{return chaining} method used for the returns.
+#' The default for this function is to use discrete returns, because most other package 
+#' functions use compound chaining by default.
+#'  
 #' @aliases CalculateReturns Return.calculate
 #' @param prices data object containing ordered price observations
-#' @param method calculate "simple" or "compound" returns, default compound
+#' @param method calculate "discrete" or "log" returns, default discrete(simple)
 #' @author Peter Carl
 #' @seealso \code{\link{Return.cumulative}}
 #' @references Bacon, C. \emph{Practical Portfolio Performance Measurement and
@@ -39,14 +47,13 @@
 #'   \dontshow{
 #'     data(prices)
 #'   }
-#' R.IBM = Return.calculate(prices, method="simple")
-#' R.IBM = as.xts(R.IBM)
+#' R.IBM = Return.calculate(prices, method="discrete")
 #' colnames(R.IBM)="IBM"
 #' chart.CumReturns(R.IBM,legend.loc="topleft", main="Cumulative Daily Returns for IBM")
 #' round(R.IBM,2)
 #' @export
 Return.calculate <-
-function(prices, method = c("compound","simple"))
+function(prices, method = c("discrete","log"))
 { # @ author Peter Carl
 
     #  Calculate returns from a price stream
@@ -61,22 +68,23 @@
     method = method[1]
     pr = checkData(prices, method = "xts")
 
-    if(method=="simple")
+    if(method=="simple" || method=='discrete'){
         #Returns = pr/pr[-nrow(pr), ] - 1
         Returns = pr/xts:::lagts.xts(pr) - 1
-
-    if(method=="compound") {
+        xtsAttributes(Returns) <- list(ret_type="discrete")
+    }
+    if(method=="compound" || method=='log') {
         Returns = diff(log(pr))
+        xtsAttributes(Returns) <- list(ret_type="log")
     }
 
     reclass(Returns,match.to=pr)
-
 }
 
 #' @rdname Return.calculate
 #' @export 
-CalculateReturns <-
-function(prices, method = c("compound","simple"))
+CalculateReturns <- 
+function(prices, method = c("discrete","log"))
 { # @ author Peter Carl
     Return.calculate(prices=prices, method=method)
 }

Modified: pkg/PerformanceAnalytics/man/Return.calculate.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/Return.calculate.Rd	2012-09-05 01:53:59 UTC (rev 2276)
+++ pkg/PerformanceAnalytics/man/Return.calculate.Rd	2012-09-05 17:37:27 UTC (rev 2277)
@@ -3,8 +3,7 @@
 \alias{Return.calculate}
 \title{calculate simple or compound returns from prices}
 \usage{
-  Return.calculate(prices,
-    method = c("compound", "simple"))
+  Return.calculate(prices, method = c("discrete", "log"))
 
   CalculateReturns(prices,
     method = c("compound", "simple"))
@@ -13,8 +12,8 @@
   \item{prices}{data object containing ordered price
   observations}
 
-  \item{method}{calculate "simple" or "compound" returns,
-  default compound}
+  \item{method}{calculate "discrete" or "log" returns,
+  default discrete(simple)}
 }
 \description{
   calculate simple or compound returns from prices
@@ -45,6 +44,17 @@
   specify \code{quote="AdjClose"} in
   \code{\link[tseries]{get.hist.quote}}, which is found in
   package \code{tseries}.
+
+  We have changes the default arguments and settings for
+  \code{method} from \code{compound} and \code{simple} to
+  \code{discrete} and \code{log} and \code{discrete} to
+  avoid confusing between the return type and the chaining
+  method.  In most of the rest of
+  \code{PerformanceAnalytics}, compound and simple are used
+  to refer to the \emph{return chaining} method used for
+  the returns. The default for this function is to use
+  discrete returns, because most other package functions
+  use compound chaining by default.
 }
 \examples{
 \dontrun{