[Returnanalytics-commits] r2280 - pkg/Meucci/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Sep 7 17:24:54 CEST 2012
Author: braverock
Date: 2012-09-07 17:24:53 +0200 (Fri, 07 Sep 2012)
New Revision: 2280
Added:
pkg/Meucci/man/RIEfficientFrontier.Rd
pkg/Meucci/man/gaussHermiteMesh.Rd
pkg/Meucci/man/hermitePolynomial.Rd
pkg/Meucci/man/integrateSubIntervals.Rd
pkg/Meucci/man/kernelbw.Rd
pkg/Meucci/man/kernelcdf.Rd
pkg/Meucci/man/kernelinv.Rd
pkg/Meucci/man/kernelpdf.Rd
pkg/Meucci/man/normalizeProb.Rd
pkg/Meucci/man/pHist.Rd
pkg/Meucci/man/private_fun.Rd
pkg/Meucci/man/subIntervals.Rd
Log:
- add roxygen docs for previously undocumented functions
Added: pkg/Meucci/man/RIEfficientFrontier.Rd
===================================================================
--- pkg/Meucci/man/RIEfficientFrontier.Rd (rev 0)
+++ pkg/Meucci/man/RIEfficientFrontier.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,33 @@
+\name{RIEfficientFrontier}
+\alias{RIEfficientFrontier}
+\title{Generates an efficient frontier based on Meucci's Ranking Information version with the following inputs}
+\usage{
+ RIEfficientFrontier(X, p, Options)
+}
+\arguments{
+ \item{X}{a matrix with the joint-scenario probabilities
+ by asset (rows are joint-scenarios, columns are assets)}
+
+ \item{p}{a vector of probabilities associated with each
+ scenario in matrix X}
+
+ \item{Options}{a list of options....TBD}
+}
+\value{
+ A list with NumPortf efficient portfolios whos returns
+ are equally spaced along the whole range of the efficient
+ frontier Exps the NumPortf x 1 vector of expected returns
+ for each asset Covs the NumPortf x N vector of security
+ volatilities along the efficient frontier w the NumPortf
+ x N matrix of compositions (security weights) for each
+ portfolio along the efficient frontier e the NumPortf x 1
+ matrix of expected returns for each portfolio along the
+ efficient frontier s the NumPortf x 1 matrix of standard
+ deviation of returns for each portfolio along the
+ efficient frontier
+}
+\description{
+ Generates an efficient frontier based on Meucci's Ranking
+ Information version with the following inputs
+}
+
Added: pkg/Meucci/man/gaussHermiteMesh.Rd
===================================================================
--- pkg/Meucci/man/gaussHermiteMesh.Rd (rev 0)
+++ pkg/Meucci/man/gaussHermiteMesh.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,40 @@
+\name{gaussHermiteMesh}
+\alias{gaussHermiteMesh}
+\title{Generates grid reprensentation of a distribution according to the method suggested by Meucci and inspired from
+Gauss-Hermite quadratures.}
+\usage{
+ gaussHermiteMesh(J)
+}
+\arguments{
+ \item{J}{a numeric containing the number of points on the
+ grid}
+}
+\value{
+ x a matrix containing the zeroes of Hermite polynomials
+ as a function of polynomial degree
+}
+\description{
+ Grid representation by this method is an alternative to
+ representing distribution of the market, such as
+ importance sampling or stratified sampling.However, these
+ techniques focus on sub-domains of the distribution, and
+ thus, in order to apply such methods, we must forego the
+ full flexibility on the specification of the views. A
+ different approach, which preserves the generality of the
+ views specification, consists in selecting the scenarios
+ x_j deterministically as a grid and then associate with
+ each of them the suitable probability p_j ( integrated
+ over I_j ). The the generic interval _j contains the j-th
+ point of the grid. Once the grid is defined, the entropy
+ optimization can be applied to replace p_j with the new
+ posterior probabilities to reflect the views. We generate
+ the grid here using the Gauss-Hermite quadrature method.
+}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com}
+}
+\references{
+ A. Meucci - "Fully Flexible Extreme Views".
+ \url{http://ssrn.com/abstract=1542083}
+}
+
Added: pkg/Meucci/man/hermitePolynomial.Rd
===================================================================
--- pkg/Meucci/man/hermitePolynomial.Rd (rev 0)
+++ pkg/Meucci/man/hermitePolynomial.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,26 @@
+\name{hermitePolynomial}
+\alias{hermitePolynomial}
+\title{Generate a Hermite Polynomial of order n}
+\usage{
+ hermitePolynomial(n)
+}
+\arguments{
+ \item{n}{A numeric defining the order of the Hermite
+ Polynomial}
+}
+\value{
+ p A vector containing the Hermite Polynomial of order n
+ \deqn{ H_{j} (x) \equiv (-1)^{J} e^{ \frac{ -x^{2} }{2} }
+ \frac{ d^{J} e^{ \frac{ -x^{2} }{2} }}{ dx^{J} } }
+}
+\description{
+ Generate a Hermite Polynomial of order n
+}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com}
+}
+\references{
+ A. Meucci - "Fully Flexible Extreme Views" - See formula
+ (20) \url{http://ssrn.com/abstract=1542083}
+}
+
Added: pkg/Meucci/man/integrateSubIntervals.Rd
===================================================================
--- pkg/Meucci/man/integrateSubIntervals.Rd (rev 0)
+++ pkg/Meucci/man/integrateSubIntervals.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,23 @@
+\name{integrateSubIntervals}
+\alias{integrateSubIntervals}
+\title{Integrate the subinterval for the given cumulative distribution function to get the equivalent probability}
+\usage{
+ integrateSubIntervals(x, cdf)
+}
+\arguments{
+ \item{x}{a vector containing the data points}
+
+ \item{cdf}{the cumulative distribution function}
+}
+\value{
+ p a vector containing the cdf evaluated for each of the
+ subintervals
+}
+\description{
+ Integrate the subinterval for the given cumulative
+ distribution function to get the equivalent probability
+}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com}
+}
+
Added: pkg/Meucci/man/kernelbw.Rd
===================================================================
--- pkg/Meucci/man/kernelbw.Rd (rev 0)
+++ pkg/Meucci/man/kernelbw.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,21 @@
+\name{kernelbw}
+\alias{kernelbw}
+\title{Generates bandwidth of a Gaussian Kernel Density Estimator based on Silverman's rule of thumb}
+\usage{
+ kernelbw(xi)
+}
+\arguments{
+ \item{xi}{a vector containing the data set for which the
+ bandwidth has to be calculated}
+}
+\value{
+ bw a numeric signifying the bandwidth
+}
+\description{
+ Generates bandwidth of a Gaussian Kernel Density
+ Estimator based on Silverman's rule of thumb
+}
+\author{
+ Manan Shah \email{mkshah at tepper.cmu.edu}
+}
+
Added: pkg/Meucci/man/kernelcdf.Rd
===================================================================
--- pkg/Meucci/man/kernelcdf.Rd (rev 0)
+++ pkg/Meucci/man/kernelcdf.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,29 @@
+\name{kernelcdf}
+\alias{kernelcdf}
+\title{Evaluates cumulative distribution function for the input numeric value}
+\usage{
+ kernelcdf(x, xi, bw, wi)
+}
+\arguments{
+ \item{x}{a vector containing the numeric values for which
+ cumulative distribution function has to be evaluated}
+
+ \item{xi}{a vector containing the data set}
+
+ \item{bw}{a numeric value containing Silverman bandwidth
+ of the given data set}
+
+ \item{wi}{a vector containing weights}
+}
+\value{
+ p a numeric containing the cumulative probability
+ distribution value of length equal to x
+}
+\description{
+ Evaluates cumulative distribution function for the input
+ numeric value
+}
+\author{
+ Manan Shah \email{mkshah at tepper.cmu.edu}
+}
+
Added: pkg/Meucci/man/kernelinv.Rd
===================================================================
--- pkg/Meucci/man/kernelinv.Rd (rev 0)
+++ pkg/Meucci/man/kernelinv.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,30 @@
+\name{kernelinv}
+\alias{kernelinv}
+\title{Evaluates inverse probability distribution function for the input probability in order to get the data point}
+\usage{
+ kernelinv(p, xi, bw, wi)
+}
+\arguments{
+ \item{p}{a vector containing the probabilities
+ corresponding to which the data points have to be
+ evaluated}
+
+ \item{xi}{a vector containing the data set}
+
+ \item{bw}{a numeric value containing Silverman bandwidth
+ of the given data set}
+
+ \item{wi}{a vector containing weights}
+}
+\value{
+ x a vector containing the evaluated numeric values of
+ length equal to p
+}
+\description{
+ Evaluates inverse probability distribution function for
+ the input probability in order to get the data point
+}
+\author{
+ Manan Shah \email{mkshah at tepper.cmu.edu}
+}
+
Added: pkg/Meucci/man/kernelpdf.Rd
===================================================================
--- pkg/Meucci/man/kernelpdf.Rd (rev 0)
+++ pkg/Meucci/man/kernelpdf.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,29 @@
+\name{kernelpdf}
+\alias{kernelpdf}
+\title{Evaluates probability distribution function for the input numeric value}
+\usage{
+ kernelpdf(x, xi, bw, wi)
+}
+\arguments{
+ \item{x}{a vector containing the numeric values for which
+ probability distribution function has to be evaluated}
+
+ \item{xi}{a vector containing the data set}
+
+ \item{bw}{a numeric value containing Silverman bandwidth
+ of the given data set}
+
+ \item{wi}{a vector containing weights}
+}
+\value{
+ p a vector containing the probability distribution
+ function value of length equal to x
+}
+\description{
+ Evaluates probability distribution function for the input
+ numeric value
+}
+\author{
+ Manan Shah \email{mkshah at tepper.cmu.edu}
+}
+
Added: pkg/Meucci/man/normalizeProb.Rd
===================================================================
--- pkg/Meucci/man/normalizeProb.Rd (rev 0)
+++ pkg/Meucci/man/normalizeProb.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,22 @@
+\name{normalizeProb}
+\alias{normalizeProb}
+\title{Generates the normalized probability for an input probability value}
+\usage{
+ normalizeProb(p)
+}
+\arguments{
+ \item{p}{a numeric value containing the probability value
+ required to be normalized}
+}
+\value{
+ normalizedp a numeric value containing the normalized
+ probability value
+}
+\description{
+ Generates the normalized probability for an input
+ probability value
+}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com}
+}
+
Added: pkg/Meucci/man/pHist.Rd
===================================================================
--- pkg/Meucci/man/pHist.Rd (rev 0)
+++ pkg/Meucci/man/pHist.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,33 @@
+\name{pHist}
+\alias{pHist}
+\title{Generates histogram}
+\usage{
+ pHist(X, p, nBins, freq = FALSE)
+}
+\arguments{
+ \item{X}{a vector containing the data points}
+
+ \item{p}{a vector containing the probabilities for each
+ of the data points in X}
+
+ \item{nBins}{expected number of Bins the data set is to
+ be broken down into}
+
+ \item{freq}{a boolean variable to indicate whether the
+ graphic is a representation of frequencies}
+}
+\value{
+ a list with f the frequency for each midpoint x the
+ midpoints of the nBins intervals
+}
+\description{
+ Generates histogram
+}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com}
+}
+\references{
+ \url{http://www.symmys.com} See Meucci script pHist.m
+ used for plotting
+}
+
Added: pkg/Meucci/man/private_fun.Rd
===================================================================
--- pkg/Meucci/man/private_fun.Rd (rev 0)
+++ pkg/Meucci/man/private_fun.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,32 @@
+\name{private_fun}
+\alias{private_fun}
+\title{Evaluates the difference between calculated cumulative distribution function for a data point and the
+true value}
+\usage{
+ private_fun(x, xi, bw, wi, p)
+}
+\arguments{
+ \item{x}{a vector containing the data points for which
+ cdf has to be evaluated}
+
+ \item{xi}{a vector containing the data set}
+
+ \item{bw}{a numeric value containing Silverman bandwidth
+ of the given data set}
+
+ \item{wi}{a vector containing weights}
+
+ \item{p}{a vector containing the true probabilities}
+}
+\value{
+ f a vector containing the difference between x and p
+ which is of length equal to x or p
+}
+\description{
+ Evaluates the difference between calculated cumulative
+ distribution function for a data point and the true value
+}
+\author{
+ Manan Shah \email{mkshah at tepper.cmu.edu}
+}
+
Added: pkg/Meucci/man/subIntervals.Rd
===================================================================
--- pkg/Meucci/man/subIntervals.Rd (rev 0)
+++ pkg/Meucci/man/subIntervals.Rd 2012-09-07 15:24:53 UTC (rev 2280)
@@ -0,0 +1,29 @@
+\name{subIntervals}
+\alias{subIntervals}
+\title{Generate the intervals containing jth point of the grid.}
+\usage{
+ subIntervals(x)
+}
+\arguments{
+ \item{x}{a vector containing the scenarios}
+}
+\value{
+ a list containing
+
+ xLB a vector containing the lower bound of each interval
+
+ xUB a vector containing the upper bound of each interval
+ \deqn{ I_{j} \equiv \big[ x_{j} - \frac{x_{j} - x_{j-1}
+ }{2}, x_{j} + \frac{x_{j+1} - x_{j}}{2} \big) }
+}
+\description{
+ Generate the intervals containing jth point of the grid.
+}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com}
+}
+\references{
+ A. Meucci - "Fully Flexible Extreme Views" - See formula
+ (17) \url{http://ssrn.com/abstract=1542083}
+}
+
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