[Returnanalytics-commits] r2710 - in pkg/FactorAnalytics: R data man

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

Author: chenyian
Date: 2013-08-03 01:09:10 +0200 (Sat, 03 Aug 2013)
New Revision: 2710

Added:
   pkg/FactorAnalytics/data/Stock.df.RData
   pkg/FactorAnalytics/man/Stock.df.Rd
Removed:
   pkg/FactorAnalytics/data/stock.RDATA
   pkg/FactorAnalytics/man/stock.Rd
Modified:
   pkg/FactorAnalytics/R/factorModelEsDecomposition.R
   pkg/FactorAnalytics/data/
   pkg/FactorAnalytics/man/
   pkg/FactorAnalytics/man/factorModelEsDecomposition.Rd
Log:
debug Stock.df.RData

Modified: pkg/FactorAnalytics/R/factorModelEsDecomposition.R
===================================================================
--- pkg/FactorAnalytics/R/factorModelEsDecomposition.R	2013-08-02 22:47:14 UTC (rev 2709)
+++ pkg/FactorAnalytics/R/factorModelEsDecomposition.R	2013-08-02 23:09:10 UTC (rev 2710)
@@ -60,6 +60,12 @@
 #' 
 #' # fundamental factor model
 #' # try to find factor contribution to ES for STI 
+#' data(stock)
+#' fit.fund <- fitFundamentalFactorModel(exposure.names=c("BOOK2MARKET", "LOG.MARKETCAP")
+#'                                       , data=stock,returnsvar = "RETURN",datevar = "DATE",  
+#'                                      assetvar = "TICKER",
+#'                                       wls = TRUE, regression = "classic", 
+#'                                       covariance = "classic", full.resid.cov = FALSE)
 #'  idx <- fit.fund$data[,fit.fund$assetvar]  == "STI"         
 #'  asset.ret <- fit.fund$data[idx,fit.fund$returnsvar]  
 #'  tmpData = cbind(asset.ret, fit.fund$factors,


Property changes on: pkg/FactorAnalytics/data
___________________________________________________________________
Modified: svn:ignore
   - CRSP.RDATA
factorAnalytics-Ex.ps

   + CRSP.RDATA
factorAnalytics-Ex.ps
stock.RDATA


Added: pkg/FactorAnalytics/data/Stock.df.RData
===================================================================
(Binary files differ)


Property changes on: pkg/FactorAnalytics/data/Stock.df.RData
___________________________________________________________________
Added: svn:mime-type
   + application/octet-stream

Deleted: pkg/FactorAnalytics/data/stock.RDATA
===================================================================
(Binary files differ)


Property changes on: pkg/FactorAnalytics/man
___________________________________________________________________
Modified: svn:ignore
   - CornishFisher.Rd
Style.Rd
covEWMA.Rd
factorModelPerformanceAttribution.Rd
impliedFactorReturns.Rd
modifiedEsReport.Rd
modifiedIncrementalES.Rd
modifiedIncrementalVaR.Rd
modifiedPortfolioEsDecomposition.Rd
modifiedPortfolioVaRDecomposition.Rd
modifiedVaRReport.Rd
nonparametricEsReport.Rd
nonparametricIncrementalES.Rd
nonparametricIncrementalVaR.Rd
nonparametricPortfolioEsDecomposition.Rd
nonparametricPortfolioVaRDecomposition.Rd
nonparametricVaRReport.Rd
normalEsReport.Rd
normalIncrementalES.Rd
normalIncrementalVaR.Rd
normalPortfolioEsDecomposition.Rd
normalPortfolioVaRDecomposition.Rd
normalVaRReport.Rd
plot.FM.attribution.Rd
plot.MacroFactorModel.Rd
print.MacroFactorModel.Rd
scenarioPredictions.Rd
scenarioPredictionsPortfolio.Rd
summary.FM.attribution.Rd
summary.MacroFactorModel.Rd
summary.TimeSeriesModel.Rd

   + CornishFisher.Rd
Style.Rd
covEWMA.Rd
factorModelPerformanceAttribution.Rd
impliedFactorReturns.Rd
modifiedEsReport.Rd
modifiedIncrementalES.Rd
modifiedIncrementalVaR.Rd
modifiedPortfolioEsDecomposition.Rd
modifiedPortfolioVaRDecomposition.Rd
modifiedVaRReport.Rd
nonparametricEsReport.Rd
nonparametricIncrementalES.Rd
nonparametricIncrementalVaR.Rd
nonparametricPortfolioEsDecomposition.Rd
nonparametricPortfolioVaRDecomposition.Rd
nonparametricVaRReport.Rd
normalEsReport.Rd
normalIncrementalES.Rd
normalIncrementalVaR.Rd
normalPortfolioEsDecomposition.Rd
normalPortfolioVaRDecomposition.Rd
normalVaRReport.Rd
plot.FM.attribution.Rd
plot.MacroFactorModel.Rd
print.MacroFactorModel.Rd
scenarioPredictions.Rd
scenarioPredictionsPortfolio.Rd
stock.Rd
summary.FM.attribution.Rd
summary.MacroFactorModel.Rd
summary.TimeSeriesModel.Rd


Added: pkg/FactorAnalytics/man/Stock.df.Rd
===================================================================
--- pkg/FactorAnalytics/man/Stock.df.Rd	                        (rev 0)
+++ pkg/FactorAnalytics/man/Stock.df.Rd	2013-08-02 23:09:10 UTC (rev 2710)
@@ -0,0 +1,21 @@
+\docType{data}
+\name{Stock.df}
+\alias{Stock.df}
+\alias{stock}
+\title{constructed NYSE 447 assets from 1996-01-01 through 2003-12-31.}
+\description{
+  constructed NYSE 447 assets from 1996-01-01 through
+  2003-12-31.
+}
+\details{
+  Continuous data: PRICE, RETURN, TICKER, VOLUME, SHARES.OUT,
+  MARKET.EQUITY,LTDEBT, NET.SALES, COMMON.EQUITY,
+  NET.INCOME, STOCKHOLDERS.EQUITY, LOG.MARKETCAP,
+  LOG.PRICE, BOOK2MARKET Categorical data: GICS,
+  GICS.INDUSTRY, GICS.SECTOR
+}
+\references{
+  Guy Yullen and Yi-An Chen
+}
+\keyword{datasets}
+

Modified: pkg/FactorAnalytics/man/factorModelEsDecomposition.Rd
===================================================================
--- pkg/FactorAnalytics/man/factorModelEsDecomposition.Rd	2013-08-02 22:47:14 UTC (rev 2709)
+++ pkg/FactorAnalytics/man/factorModelEsDecomposition.Rd	2013-08-02 23:09:10 UTC (rev 2710)
@@ -74,6 +74,12 @@
 
 # fundamental factor model
 # try to find factor contribution to ES for STI
+data(stock)
+fit.fund <- fitFundamentalFactorModel(exposure.names=c("BOOK2MARKET", "LOG.MARKETCAP")
+                                      , data=stock,returnsvar = "RETURN",datevar = "DATE",
+                                     assetvar = "TICKER",
+                                      wls = TRUE, regression = "classic",
+                                      covariance = "classic", full.resid.cov = FALSE)
  idx <- fit.fund$data[,fit.fund$assetvar]  == "STI"
  asset.ret <- fit.fund$data[idx,fit.fund$returnsvar]
  tmpData = cbind(asset.ret, fit.fund$factors,

Deleted: pkg/FactorAnalytics/man/stock.Rd
===================================================================
--- pkg/FactorAnalytics/man/stock.Rd	2013-08-02 22:47:14 UTC (rev 2709)
+++ pkg/FactorAnalytics/man/stock.Rd	2013-08-02 23:09:10 UTC (rev 2710)
@@ -1,21 +0,0 @@
-\docType{data}
-\name{stock}
-\alias{stock}
-\title{constructed NYSE 447 assets from 1996-01-01 through 2003-12-31.}
-\description{
-  constructed NYSE 447 assets from 1996-01-01 through
-  2003-12-31.
-}
-\details{
-  Continuous data: PRICE, RETURN, VOLUME, SHARES.OUT,
-  MARKET.EQUITY,LTDEBT, NET.SALES, COMMON.EQUITY,
-  NET.INCOME, STOCKHOLDERS.EQUITY, LOG.MARKETCAP,
-  LOG.PRICE, BOOK2MARKET Categorical data: GICS,
-  GICS.INDUSTRY, GICS.SECTOR Identi
cation data: DATE,
-  PERMNO, TICKER.x
-}
-\references{
-  Guy Yullen and Yi-An Chen
-}
-\keyword{datasets}
-