[Returnanalytics-commits] r2786 - in pkg/PortfolioAnalytics: R man

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

Author: rossbennett34
Date: 2013-08-14 23:50:16 +0200 (Wed, 14 Aug 2013)
New Revision: 2786

Modified:
   pkg/PortfolioAnalytics/R/constraints.R
   pkg/PortfolioAnalytics/man/factor_exposure_constraint.Rd
Log:
adding default column names and row names to the B vector and B matrix if not specified by the user

Modified: pkg/PortfolioAnalytics/R/constraints.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints.R	2013-08-14 21:33:07 UTC (rev 2785)
+++ pkg/PortfolioAnalytics/R/constraints.R	2013-08-14 21:50:16 UTC (rev 2786)
@@ -794,12 +794,18 @@
 #' Constructor for factor exposure constraint
 #' 
 #' This function is called by add.constraint when type="factor_exposure" is specified. see \code{\link{add.constraint}}
+#' 
 #' \code{B} can be either a vector or matrix of risk factor exposures (i.e. betas).
 #' If \code{B} is a vector, the length of \code{B} must be equal to the number of 
-#' assets and lower and upper must be scalars.
+#' assets and lower and upper must be scalars. If \code{B} is passed in as a vector,
+#' it will be converted to a matrix with one column.
+#' 
 #' If \code{B} is a matrix, the number of rows must be equal to the number 
 #' of assets and the number of columns represent the number of  factors. The length
-#' of lower and upper must be equal to the number of factors.
+#' of lower and upper must be equal to the number of factors. The \code{B} matrix should
+#' have column names specifying the factors and row names specifying the assets.
+#' Default column names and row names will be assigned if the user passes in a 
+#' \code{B} matrix without column names or row names.
 #' 
 #' @param type character type of the constraint
 #' @param assets named vector of assets specifying seed weights
@@ -822,7 +828,8 @@
     # The user passed in a vector of betas, lower and upper must be scalars
     if(length(lower) != 1) stop("lower must be a scalar")
     if(length(upper) != 1) stop("upper must be a scalar")
-    B <- matrix(B, ncol=1)
+    bnames <- names(B)
+    B <- matrix(B, ncol=1, dimnames=list(bnames))
   }
   # The user has passed in a matrix for B
   if(is.matrix(B)){
@@ -831,6 +838,14 @@
     # The user passed in a matrix for B --> lower and upper must be equal to the number of columns in the beta matrix
     if(length(lower) != ncol(B)) stop("length of lower must be equal to the number of columns in the B matrix")
     if(length(upper) != ncol(B)) stop("length of upper must be equal to the number of columns in the B matrix")
+    if(is.null(colnames(B))){
+      # The user has passed in a B matrix without column names specifying factors
+      colnames(B) <- paste("factor", 1:ncol(B), sep="")
+    }
+    if(is.null(rownames(B))){
+      # The user has passed in a B matrix without row names specifying assets
+      rownames(B) <- names(assets)
+    }
   }
   
   Constraint <- constraint_v2(type=type, enabled=enabled, constrclass="factor_exposure_constraint", ...)

Modified: pkg/PortfolioAnalytics/man/factor_exposure_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/factor_exposure_constraint.Rd	2013-08-14 21:33:07 UTC (rev 2785)
+++ pkg/PortfolioAnalytics/man/factor_exposure_constraint.Rd	2013-08-14 21:50:16 UTC (rev 2786)
@@ -31,15 +31,26 @@
 \description{
   This function is called by add.constraint when
   type="factor_exposure" is specified. see
-  \code{\link{add.constraint}} \code{B} can be either a
-  vector or matrix of risk factor exposures (i.e. betas).
-  If \code{B} is a vector, the length of \code{B} must be
-  equal to the number of assets and lower and upper must be
-  scalars. If \code{B} is a matrix, the number of rows must
-  be equal to the number of assets and the number of
-  columns represent the number of factors. The length of
-  lower and upper must be equal to the number of factors.
+  \code{\link{add.constraint}}
 }
+\details{
+  \code{B} can be either a vector or matrix of risk factor
+  exposures (i.e. betas). If \code{B} is a vector, the
+  length of \code{B} must be equal to the number of assets
+  and lower and upper must be scalars. If \code{B} is
+  passed in as a vector, it will be converted to a matrix
+  with one column.
+
+  If \code{B} is a matrix, the number of rows must be equal
+  to the number of assets and the number of columns
+  represent the number of factors. The length of lower and
+  upper must be equal to the number of factors. The
+  \code{B} matrix should have column names specifying the
+  factors and row names specifying the assets. Default
+  column names and row names will be assigned if the user
+  passes in a \code{B} matrix without column names or row
+  names.
+}
 \author{
   Ross Bennett
 }