[Returnanalytics-commits] r2722 - in pkg/FactorAnalytics: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Aug 5 20:49:35 CEST 2013
Author: chenyian
Date: 2013-08-05 20:49:35 +0200 (Mon, 05 Aug 2013)
New Revision: 2722
Removed:
pkg/FactorAnalytics/man/portfolioSdDecomposition.Rd
Modified:
pkg/FactorAnalytics/R/factorModelEsDecomposition.R
pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R
pkg/FactorAnalytics/man/
pkg/FactorAnalytics/man/factorModelEsDecomposition.Rd
Log:
debug examples.
Modified: pkg/FactorAnalytics/R/factorModelEsDecomposition.R
===================================================================
--- pkg/FactorAnalytics/R/factorModelEsDecomposition.R 2013-08-05 18:27:47 UTC (rev 2721)
+++ pkg/FactorAnalytics/R/factorModelEsDecomposition.R 2013-08-05 18:49:35 UTC (rev 2722)
@@ -66,15 +66,14 @@
#' 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$factors,
-#' fit.fund$residuals[,"STI"]/sqrt(fit.fund$resid.variance["STI"]) )
-#' colnames(tmpData)[c(1,length(tmpData[1,]))] = c("STI", "residual")
-#' factorModelEsDecomposition(tmpData,
+#' idx <- fit.fund$data[,fit.fund$assetvar] == "STI"
+#' asset.ret <- fit.fund$data[idx,fit.fund$returnsvar]
+#' tmpData = cbind(asset.ret, fit.fund$factor.returns,
+#' fit.fund$residuals[,"STI"]/sqrt(fit.fund$resid.variance["STI"]) )
+#' colnames(tmpData)[c(1,length(tmpData[1,]))] = c("STI", "residual")
+#' factorModelEsDecomposition(tmpData,
#' fit.fund$beta["STI",],
-#' fit.fund$resid.variance["STI"], tail.prob=0.05,
-#' VaR.method = "historical" )
+#' fit.fund$resid.variance["STI"], tail.prob=0.05,VaR.method="historical")
#'
#' @export
#'
Modified: pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R
===================================================================
--- pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R 2013-08-05 18:27:47 UTC (rev 2721)
+++ pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R 2013-08-05 18:49:35 UTC (rev 2722)
@@ -72,7 +72,7 @@
#' \dontrun{
#' # load data from the database
#' data(managers.df)
-#' fit <- fitTimeseriesFactorModel(assets.names=colnames(managers.df[,(1:6)]),
+#' fit <- fitTimeSeriesFactorModel(assets.names=colnames(managers.df[,(1:6)]),
#' factors.names=c("EDHEC.LS.EQ","SP500.TR"),
#' data=managers.df,fit.method="OLS")
#' # summary of HAM1
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
stock.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
portfolioSdDecomposition.Rd
print.MacroFactorModel.Rd
scenarioPredictions.Rd
scenarioPredictionsPortfolio.Rd
stock.Rd
summary.FM.attribution.Rd
summary.MacroFactorModel.Rd
summary.TimeSeriesModel.Rd
Modified: pkg/FactorAnalytics/man/factorModelEsDecomposition.Rd
===================================================================
--- pkg/FactorAnalytics/man/factorModelEsDecomposition.Rd 2013-08-05 18:27:47 UTC (rev 2721)
+++ pkg/FactorAnalytics/man/factorModelEsDecomposition.Rd 2013-08-05 18:49:35 UTC (rev 2722)
@@ -81,14 +81,13 @@
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,
- fit.fund$residuals[,"STI"]/sqrt(fit.fund$resid.variance["STI"]) )
- colnames(tmpData)[c(1,length(tmpData[1,]))] = c("STI", "residual")
- factorModelEsDecomposition(tmpData,
+asset.ret <- fit.fund$data[idx,fit.fund$returnsvar]
+tmpData = cbind(asset.ret, fit.fund$factor.returns,
+ fit.fund$residuals[,"STI"]/sqrt(fit.fund$resid.variance["STI"]) )
+colnames(tmpData)[c(1,length(tmpData[1,]))] = c("STI", "residual")
+factorModelEsDecomposition(tmpData,
fit.fund$beta["STI",],
- fit.fund$resid.variance["STI"], tail.prob=0.05,
- VaR.method = "historical" )
+ fit.fund$resid.variance["STI"], tail.prob=0.05,VaR.method="historical")
}
\author{
Eric Zviot and Yi-An Chen.
Deleted: pkg/FactorAnalytics/man/portfolioSdDecomposition.Rd
===================================================================
--- pkg/FactorAnalytics/man/portfolioSdDecomposition.Rd 2013-08-05 18:27:47 UTC (rev 2721)
+++ pkg/FactorAnalytics/man/portfolioSdDecomposition.Rd 2013-08-05 18:49:35 UTC (rev 2722)
@@ -1,52 +0,0 @@
-\name{portfolioSdDecomposition}
-\alias{portfolioSdDecomposition}
-\title{Compute portfolio sd (risk) decomposition by asset.}
-\usage{
- portfolioSdDecomposition(w.vec, cov.assets)
-}
-\arguments{
- \item{w.vec}{N x 1 vector of portfolio weights}
-
- \item{cov.assets}{N x N asset covariance matrix}
-}
-\value{
- an S3 list containing
-}
-\description{
- Compute portfolio sd (risk) decomposition by asset.
-}
-\examples{
-# load data from the database
-data(managers.df)
-ret.assets = managers.df[,(1:6)]
-factors = managers.df[,(7:9)]
-# fit the factor model with OLS
-fit <-fitMacroeconomicFactorModel(ret.assets,factors,fit.method="OLS",
- variable.selection="all subsets", factor.set = 3)
-# factor SD decomposition for HAM1
-cov.factors = var(factors)
-manager.names = colnames(managers.df[,(1:6)])
-factor.names = colnames(managers.df[,(7:9)])
-# assuming equal weight vector
-w.vec = rep(1/6,6)
-# compute with sample covariance matrix (omit NA)
-cov.sample = ccov(managers.df[,manager.names],na.action=na.omit)
-port.sd.decomp.sample = portfolioSdDecomposition(w.vec, cov.sample$cov)
-# show bar chart
-barplot(port.sd.decomp.sample$pcsd.p,
- main="Fund Percent Contributions to Portfolio SD",
- ylab="Percent Contribution", legend.text=FALSE,
- col="blue")
-
-# compute with factor model covariance matrix
-returnCov.mat<- factorModelCovariance(fit$beta.mat,var(factors),fit$residVars.vec)
-port.sd.decomp.fm = portfolioSdDecomposition(w.vec, returnCov.mat)
-}
-\author{
- Eric Zivot and Yi-An Chen
-}
-\references{
- Qian, Hua and Sorensen (2007) Quantitative Equity
- Portfolio Management, chapter 3.
-}
-
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