[Returnanalytics-commits] r2743 - in pkg/FactorAnalytics: . R man
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noreply at r-forge.r-project.org
Thu Aug 8 20:11:07 CEST 2013
Author: chenyian
Date: 2013-08-08 20:11:07 +0200 (Thu, 08 Aug 2013)
New Revision: 2743
Added:
pkg/FactorAnalytics/R/dCornishFisher.R
pkg/FactorAnalytics/R/pCornishFisher.R
pkg/FactorAnalytics/R/qCornishFisher.R
Modified:
pkg/FactorAnalytics/NAMESPACE
pkg/FactorAnalytics/R/fitFundamentalFactorModel.R
pkg/FactorAnalytics/man/CornishFisher.Rd
pkg/FactorAnalytics/man/Stock.df.Rd
pkg/FactorAnalytics/man/fitFundamentalFactorModel.Rd
Log:
debug rd files to pass R CMD check
Modified: pkg/FactorAnalytics/NAMESPACE
===================================================================
--- pkg/FactorAnalytics/NAMESPACE 2013-08-08 18:10:46 UTC (rev 2742)
+++ pkg/FactorAnalytics/NAMESPACE 2013-08-08 18:11:07 UTC (rev 2743)
@@ -1,4 +1,3 @@
-export(CornishFisher)
export(dCornishFisher)
export(factorModelCovariance)
export(factorModelEsDecomposition)
@@ -10,6 +9,7 @@
export(fitTimeSeriesFactorModel)
export(pCornishFisher)
export(qCornishFisher)
+export(rCornishFisher)
S3method(plot,FundamentalFactorModel)
S3method(plot,StatFactorModel)
S3method(plot,TimeSeriesFactorModel)
Added: pkg/FactorAnalytics/R/dCornishFisher.R
===================================================================
--- pkg/FactorAnalytics/R/dCornishFisher.R (rev 0)
+++ pkg/FactorAnalytics/R/dCornishFisher.R 2013-08-08 18:11:07 UTC (rev 2743)
@@ -0,0 +1,15 @@
+#'@name CornishFisher
+#'@aliases CornishFisher
+#'@aliases rCornishFisher
+#'@aliases dCornishFisher
+#'@aliases qCornishFisher
+#'@aliases pCornishFisher
+#' @export
+dCornishFisher <-
+function(x, n,skew, ekurt) {
+
+density <- dnorm(x) + 1/sqrt(n)*(skew/6*(x^3-3*x))*dnorm(x) +
+ 1/n *( (skew)^2/72*(x^6 - 15*x^4 + 45*x^2 -15) + ekurt/24 *(x^4-6*x^2+3) )*dnorm(x)
+return(density)
+}
+
Modified: pkg/FactorAnalytics/R/fitFundamentalFactorModel.R
===================================================================
--- pkg/FactorAnalytics/R/fitFundamentalFactorModel.R 2013-08-08 18:10:46 UTC (rev 2742)
+++ pkg/FactorAnalytics/R/fitFundamentalFactorModel.R 2013-08-08 18:11:07 UTC (rev 2743)
@@ -83,7 +83,7 @@
#' data(Stock.df)
#' # there are 447 assets
#' exposure.names <- c("BOOK2MARKET", "LOG.MARKETCAP")
-#' test.fit <- fitFundamentalFactorModel(data=data,exposure.names=exposure.names,
+#' test.fit <- fitFundamentalFactorModel(data=stock,exposure.names=exposure.names,
#' datevar = "DATE", returnsvar = "RETURN",
#' assetvar = "TICKER", wls = TRUE,
#' regression = "classic",
@@ -104,7 +104,7 @@
#' # BARRA type Industry Factor Model
#' exposure.names <- c("GICS.SECTOR")
#' # the rest keep the same
-#' test.fit2 <- fitFundamentalFactorModel(data=data,exposure.names=exposure.names,
+#' test.fit2 <- fitFundamentalFactorModel(data=stock,exposure.names=exposure.names,
#' datevar = "DATE", returnsvar = "RETURN",
#' assetvar = "TICKER", wls = TRUE,
#' regression = "classic",
Added: pkg/FactorAnalytics/R/pCornishFisher.R
===================================================================
--- pkg/FactorAnalytics/R/pCornishFisher.R (rev 0)
+++ pkg/FactorAnalytics/R/pCornishFisher.R 2013-08-08 18:11:07 UTC (rev 2743)
@@ -0,0 +1,16 @@
+#'@name CornishFisher
+#'@aliases CornishFisher
+#'@aliases rCornishFisher
+#'@aliases dCornishFisher
+#'@aliases qCornishFisher
+#'@aliases pCornishFisher
+#' @export
+
+pCornishFisher <-
+function(q,n,skew, ekurt) {
+zq = q
+CDF = pnorm(zq) + 1/sqrt(n) *(skew/6 * (1-zq^2))*dnorm(zq) +
+ 1/n *( (ekurt)/24*(3*zq-zq^3)+ (skew)^2/72*(10*zq^3 - 15*zq -zq^5))*dnorm(zq)
+return(CDF)
+}
+
Added: pkg/FactorAnalytics/R/qCornishFisher.R
===================================================================
--- pkg/FactorAnalytics/R/qCornishFisher.R (rev 0)
+++ pkg/FactorAnalytics/R/qCornishFisher.R 2013-08-08 18:11:07 UTC (rev 2743)
@@ -0,0 +1,18 @@
+#'@name CornishFisher
+#'@aliases CornishFisher
+#'@aliases rCornishFisher
+#'@aliases dCornishFisher
+#'@aliases qCornishFisher
+#'@aliases pCornishFisher
+#' @export
+
+qCornishFisher <-
+function(p,n,skew, ekurt) {
+zq = qnorm(p)
+q.cf = zq + 1/sqrt(n)* (((zq^2 - 1) * skew)/6) + 1/n*((((zq^3 - 3 * zq) *
+ ekurt)/24) - ((((2 * zq^3) - 5 * zq) * skew^2)/36) )
+return(q.cf)
+
+
+}
+
Modified: pkg/FactorAnalytics/man/CornishFisher.Rd
===================================================================
--- pkg/FactorAnalytics/man/CornishFisher.Rd 2013-08-08 18:10:46 UTC (rev 2742)
+++ pkg/FactorAnalytics/man/CornishFisher.Rd 2013-08-08 18:11:07 UTC (rev 2743)
@@ -7,6 +7,12 @@
\title{Functions for Cornish-Fisher density, CDF, random number simulation and
quantile.}
\usage{
+ dCornishFisher(x, n, skew, ekurt)
+
+ pCornishFisher(q, n, skew, ekurt)
+
+ qCornishFisher(p, n, skew, ekurt)
+
rCornishFisher(n, sigma, skew, ekurt, seed = NULL)
}
\arguments{
Modified: pkg/FactorAnalytics/man/Stock.df.Rd
===================================================================
--- pkg/FactorAnalytics/man/Stock.df.Rd 2013-08-08 18:10:46 UTC (rev 2742)
+++ pkg/FactorAnalytics/man/Stock.df.Rd 2013-08-08 18:11:07 UTC (rev 2743)
@@ -1,6 +1,7 @@
\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
Modified: pkg/FactorAnalytics/man/fitFundamentalFactorModel.Rd
===================================================================
--- pkg/FactorAnalytics/man/fitFundamentalFactorModel.Rd 2013-08-08 18:10:46 UTC (rev 2742)
+++ pkg/FactorAnalytics/man/fitFundamentalFactorModel.Rd 2013-08-08 18:11:07 UTC (rev 2743)
@@ -106,7 +106,7 @@
data(Stock.df)
# there are 447 assets
exposure.names <- c("BOOK2MARKET", "LOG.MARKETCAP")
-test.fit <- fitFundamentalFactorModel(data=data,exposure.names=exposure.names,
+test.fit <- fitFundamentalFactorModel(data=stock,exposure.names=exposure.names,
datevar = "DATE", returnsvar = "RETURN",
assetvar = "TICKER", wls = TRUE,
regression = "classic",
@@ -127,7 +127,7 @@
# BARRA type Industry Factor Model
exposure.names <- c("GICS.SECTOR")
# the rest keep the same
-test.fit2 <- fitFundamentalFactorModel(data=data,exposure.names=exposure.names,
+test.fit2 <- fitFundamentalFactorModel(data=stock,exposure.names=exposure.names,
datevar = "DATE", returnsvar = "RETURN",
assetvar = "TICKER", wls = TRUE,
regression = "classic",
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