[Returnanalytics-commits] r2886 - in pkg/PerformanceAnalytics/sandbox/pulkit: . R man vignettes

noreply at r-forge.r-project.org noreply at r-forge.r-project.org
Mon Aug 26 00:53:38 CEST 2013 

Author: pulkit
Date: 2013-08-26 00:53:38 +0200 (Mon, 26 Aug 2013)
New Revision: 2886

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/R/na.skip.R
Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION
   pkg/PerformanceAnalytics/sandbox/pulkit/NAMESPACE
   pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/TriplePenance.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/redd.R
   pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
   pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd
   pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd
   pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd
   pkg/PerformanceAnalytics/sandbox/pulkit/man/rollDrawdown.Rd
   pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd
   pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/ProbSharpe.Rnw
   pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/REDDCOPS.Rnw
   pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/SharepRatioEfficientFrontier.Rnw
   pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/TriplePenance.Rnw
Log:
error corrections

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION	2013-08-25 22:53:38 UTC (rev 2886)
@@ -46,3 +46,4 @@
     'table.PSR.R'
     'TriplePenance.R'
     'TuW.R'
+    'na.skip.R'

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/NAMESPACE
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/NAMESPACE	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/NAMESPACE	2013-08-25 22:53:38 UTC (rev 2886)
@@ -5,15 +5,22 @@
 export(CdarMultiPath)
 export(chart.BenchmarkSR)
 export(chart.Penance)
+export(chart.REDD)
 export(chart.SRIndifference)
+export(dd_norm)
+export(diff_Q)
 export(DrawdownGPD)
 export(EconomicDrawdown)
 export(EDDCOPS)
+export(get_minq)
+export(getQ)
+export(get_TuW)
 export(golden_section)
 export(MaxDD)
 export(MinTrackRecord)
 export(MonteSimulTriplePenance)
 export(MultiBetaDrawdown)
+export(na.skip)
 export(ProbSharpeRatio)
 export(PsrPortfolio)
 export(REDDCOPS)
@@ -22,3 +29,5 @@
 export(table.Penance)
 export(table.PSR)
 export(TuW)
+export(tuw_norm)
+useDynLib(noniid.pm)

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R	2013-08-25 22:53:38 UTC (rev 2886)
@@ -40,7 +40,7 @@
 #'@seealso \code{\link{plot}}
 #'@keywords ts multivariate distribution models hplot
 #'@examples
-#'
+#'data(edhec)
 #'chart.BenchmarkSR(edhec,vs="strategies")
 #'chart.BenchmarkSR(edhec,vs="sharpe")
 #'

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R	2013-08-25 22:53:38 UTC (rev 2886)
@@ -14,6 +14,7 @@
 #'Gradient Ascent Logic is used to compute the weights using the Function PsrPortfolio
 #'@aliases PsrPortfolio
 #'
+#'@useDynLib noniid.pm
 #'@param R The return series
 #'@param refSR The benchmark Sharpe Ratio
 #'@param bounds The bounds for the weights
@@ -31,7 +32,7 @@
 #'@examples
 #'
 #'data(edhec)
-#'PsrPortfolio(edhec) 
+#'PsrPortfolio(edhec)
 #'@export
 
 PsrPortfolio<-function(R,refSR=0,bounds=NULL,MaxIter = 1000,delta = 0.005){
@@ -183,7 +184,7 @@
 
         x_mat = as.matrix(na.omit(x))
         sum = 0
-        output = .Call("sums",mat = x_mat,index,mean,dOrder,weights,mOrder,sum,PACKAGE="noniid.pm")
+        output = .Call("sums",mat = x_mat,index,mean,dOrder,weights,mOrder,sum)
        #for(i in 1:n){
          #   x1 = 0
          #   x2 = (x_mat[i,index]-mean[index])^dOrder
@@ -211,7 +212,7 @@
     get_Moments<-function(series,order,mean = 0){
         sum = 0
         mat = as.matrix(series)
-        sum = .Call("sums_m",mat,mean,order,PACKAGE="noniid.pm")
+        sum = .Call("sums_m",mat,mean,order)
        # for(i in series){
         #    sum = sum + (i-mean)^order
        # }

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R	2013-08-25 22:53:38 UTC (rev 2886)
@@ -41,14 +41,13 @@
 #'
 #' # with S&P 500 data and T-bill data
 #'dt<-data(ret)
-#'dt<-as.xts(dt)
+#'dt<-as.xts(read.zoo(ret))
 #'REDDCOPS(dt[,1],delta = 0.33,Rf = (1+dt[,3])^(1/12)-1,h = 12,geometric = TRUE,asset = "one")
 #'
 #'
 #' # with S&P 500 , barclays and T-bill data
-#'
-#'dt<-read.zoo("ret.csv",sep=";",header = TRUE)
-#'dt<-as.xts(dt)
+#'data(ret)
+#'dt<-as.xts(read.zoo(ret))
 #'REDDCOPS(dt[,1:2],delta = 0.33,Rf = (1+dt[,3])^(1/12)-1,h = 12,geometric = TRUE,asset = "two")
 #'
 #'data(edhec)

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R	2013-08-25 22:53:38 UTC (rev 2886)
@@ -24,7 +24,9 @@
 #'@seealso  \code{\link{chart.REDD}} \code{\link{EconomicDrawdown}} 
 #'\code{\link{rollDrawdown}} \code{\link{REDDCOPS}} \code{\link{EDDCOPS}}
 #'@examples
+#'data(edhec)
 #'rollEconomicMax(edhec,0.08,100)
+
 #'@export
 #'
 rollEconomicMax<-function(R,Rf,h,geometric = TRUE,...){

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/TriplePenance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/TriplePenance.R	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/TriplePenance.R	2013-08-25 22:53:38 UTC (rev 2886)
@@ -13,7 +13,7 @@
 ## REFERENCE:
 ## Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs
 ## and the ‘Triple Penance’ Rule(January 1, 2013).
-
+#'@export
 dd_norm<-function(x,confidence){
     # DESCRIPTION:
     # A function to return the maximum drawdown for a normal distribution
@@ -30,6 +30,7 @@
     return(c(dd*100,t))
 }
 
+#'@export
 tuw_norm<-function(x,confidence){
     # DESCRIPTION:
     # A function to return the Time under water
@@ -46,7 +47,7 @@
 
 
 
-
+#'@export
 get_minq<-function(R,confidence){
   
     # DESCRIPTION:
@@ -74,7 +75,7 @@
     return(c(-minQ$value*100,minQ$x))
 }
 
-
+#'@export
 getQ<-function(bets,phi,mu,sigma,dp0,confidence){
 
     # DESCRIPTION:
@@ -99,7 +100,10 @@
     var = var*((phi^(2*(bets+1))-1)/(phi^2-1)-2*(phi^(bets+1)-1)/(phi-1)+bets +1)
     q_value = mu_new + qnorm(1-confidence)*(var^0.5)
     return(q_value)
+
 }
+
+#'@export
 get_TuW<-function(R,confidence){
 
     # DESCRIPTION:
@@ -130,6 +134,7 @@
 
 
 
+#'@export
 diff_Q<-function(bets,phi,mu,sigma,dp0,confidence){
   
   # DESCRIPTION:

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R	2013-08-25 22:53:38 UTC (rev 2886)
@@ -31,6 +31,7 @@
 #' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
 #' 
 #' @examples
+#' data(edhec)
 #' TuW(edhec,0.95,"ar")
 #' TuW(edhec[,1],0.95,"normal") # expected value 103.2573 
 #'@export

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R	2013-08-25 22:53:38 UTC (rev 2886)
@@ -35,6 +35,7 @@
 #'@seealso \code{\link{plot}} \code{\link{table.Penance}} \code{\link{MaxDD}} \code{\link{TuW}}
 #'@keywords ts multivariate distribution models hplot
 #'@examples
+#'data(edhec)
 #'chart.Penance(edhec,0.95)
 #'
 #'@references Bailey, David H. and Lopez de Prado, Marcos,Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R	2013-08-25 22:53:38 UTC (rev 2886)
@@ -18,8 +18,10 @@
 #'@references Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to 
 #'Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012)
 #'@examples
+#'data(edhec)
 #'chart.REDD(edhec,0.08,20)
 #'
+#'@export
 
 chart.REDD<-function(R,rf,h, geometric = TRUE,legend.loc = NULL, colorset = (1:12),...)
 {

Added: pkg/PerformanceAnalytics/sandbox/pulkit/R/na.skip.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/na.skip.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/na.skip.R	2013-08-25 22:53:38 UTC (rev 2886)
@@ -0,0 +1,46 @@
+#'@export
+na.skip <- function (x, FUN=NULL, ...) # maybe add a trim capability?
+{ # @author Brian Peterson
+
+    # DESCRIPTION:
+
+    # Time series data often contains NA's, either due to missing days, 
+    # noncontiguous series, or merging multiple series,
+    # 
+    # Some Calulcations, such as return calculations, require data that 
+    # looks like a vector, and needs the output of na.omit
+    # 
+    # It is often convenient to apply these vector-like functions, but 
+    # you still need to keep track of the structure of the oridginal data.
+
+    # Inputs
+    # x		the time series to apply FUN too
+    # FUN	function to apply
+    # ...	any additonal parameters to FUN
+
+    # Outputs:
+    # An xts time series that has the same index and NA's as the data 
+    # passed in, after applying FUN
+
+    nx <- na.omit(x)
+    fx <- FUN(nx, ... = ...)
+    if (is.vector(fx)) {
+        result <- .xts(fx, .index(x), .indexCLASS = indexClass(x))
+    }
+    else {
+        result <- merge(fx, .xts(, .index(x)))
+    }
+    return(result)
+}
+
+###############################################################################
+# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
+#
+# Copyright (c) 2004-2012 Peter Carl and Brian G. Peterson
+#
+# This R package is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: na.skip.R 1855 2012-01-15 12:57:58Z braverock $
+#
+###############################################################################

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/redd.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/redd.R	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/redd.R	2013-08-25 22:53:38 UTC (rev 2886)
@@ -25,6 +25,7 @@
 #'@references Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to 
 #'Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012)
 #'@examples
+#'data(edhec)
 #'rollDrawdown(edhec,0.08,100)
 #'
 #' @export

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd	2013-08-25 22:53:38 UTC (rev 2886)
@@ -56,14 +56,13 @@
 \examples{
 # with S&P 500 data and T-bill data
 dt<-data(ret)
-dt<-as.xts(dt)
+dt<-as.xts(read.zoo(ret))
 REDDCOPS(dt[,1],delta = 0.33,Rf = (1+dt[,3])^(1/12)-1,h = 12,geometric = TRUE,asset = "one")
 
 
 # with S&P 500 , barclays and T-bill data
-
-dt<-read.zoo("ret.csv",sep=";",header = TRUE)
-dt<-as.xts(dt)
+data(ret)
+dt<-as.xts(read.zoo(ret))
 REDDCOPS(dt[,1:2],delta = 0.33,Rf = (1+dt[,3])^(1/12)-1,h = 12,geometric = TRUE,asset = "two")
 
 data(edhec)

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd	2013-08-25 22:53:38 UTC (rev 2886)
@@ -44,6 +44,7 @@
   auto-regressive form.
 }
 \examples{
+data(edhec)
 TuW(edhec,0.95,"ar")
 TuW(edhec[,1],0.95,"normal") # expected value 103.2573
 }

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd	2013-08-25 22:53:38 UTC (rev 2886)
@@ -68,6 +68,7 @@
   \sum_{t=s+1}^{S} \rho_{S,t}}{S(S-1)}}
 }
 \examples{
+data(edhec)
 chart.BenchmarkSR(edhec,vs="strategies")
 chart.BenchmarkSR(edhec,vs="sharpe")
 }

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd	2013-08-25 22:53:38 UTC (rev 2886)
@@ -65,6 +65,7 @@
   water.
 }
 \examples{
+data(edhec)
 chart.Penance(edhec,0.95)
 }
 \author{

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/rollDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/rollDrawdown.Rd	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/rollDrawdown.Rd	2013-08-25 22:53:38 UTC (rev 2886)
@@ -35,6 +35,7 @@
   \code{\link{rollEconomicMax}}
 }
 \examples{
+data(edhec)
 rollDrawdown(edhec,0.08,100)
 }
 \author{

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd	2013-08-25 22:53:38 UTC (rev 2886)
@@ -36,6 +36,7 @@
   \eqn{i^{th}} discrete time interval \eqn{{\triangle}t}.
 }
 \examples{
+data(edhec)
 rollEconomicMax(edhec,0.08,100)
 }
 \author{

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/ProbSharpe.Rnw
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/ProbSharpe.Rnw	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/ProbSharpe.Rnw	2013-08-25 22:53:38 UTC (rev 2886)
@@ -44,25 +44,10 @@
 <<echo = FALSE >>=
 library(PerformanceAnalytics)
 data(edhec)
+library(noniid.pm)
 @
 
 
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/R/ProbSharpeRatio.R")
-@
-
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/R/MinTRL.R")
-@
-
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R")
-@
-
-<<echo=FALSE>>=
-dyn.load("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/src/moment.so")
-@
-
 \section{Probabilistic Sharpe Ratio}
  Given a predefined benchmark Sharpe ratio $SR^\ast$ , the observed Sharpe ratio $\hat{SR}$  can be expressed in probabilistic terms as
  

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/REDDCOPS.Rnw
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/REDDCOPS.Rnw	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/REDDCOPS.Rnw	2013-08-25 22:53:38 UTC (rev 2886)
@@ -34,34 +34,9 @@
 <<echo = FALSE >>=
 library(PerformanceAnalytics)
 data(edhec)
+library(noniid.pm)
 @
 
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/R/na.skip.R")
-@
-
-
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/R/redd.R")
-@
-
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/R/Edd.R")
-@
-
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/R/REM.R")
-@
-
-
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R")
-@
-
-
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R")
-@
 \section{ Rolling Economic Max }
 Rolling Economic Max at time t, looking back at portfolio Wealth history
 for a rolling window of length H is given by:

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/SharepRatioEfficientFrontier.Rnw
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/SharepRatioEfficientFrontier.Rnw	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/SharepRatioEfficientFrontier.Rnw	2013-08-25 22:53:38 UTC (rev 2886)
@@ -34,15 +34,9 @@
 <<echo=FALSE>>=
 library(PerformanceAnalytics)
 data(edhec)
+library(noniid.pm)
 @
- 
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkSR.R")
-@
 
-<<echo=FALSE>>=
-source("/home/pulkit/workspace/GSOC/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R")
-@
  
  \section{Benchmark Sharpe Ratio}
  

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/TriplePenance.Rnw
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/TriplePenance.Rnw	2013-08-25 17:49:32 UTC (rev 2885)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/TriplePenance.Rnw	2013-08-25 22:53:38 UTC (rev 2886)
@@ -34,24 +34,8 @@
 <<echo = FALSE >>=
 library(PerformanceAnalytics)
 data(edhec)
+library(noniid.pm)
 @
-
-<<echo=FALSE>>=
-source("../R/MaxDD.R")
-@
-
-<<echo=FALSE>>=
-source("../R/TriplePenance.R")
-@
-
-<<echo=FALSE>>=
-source("../R/GoldenSection.R")
-@
-
-
-<<echo=FALSE>>=
-source("../R/TuW.R")
-@
 \section{ Maximum Drawdown }
 Maximum Drawdown tells us Up to how much could a particular strategy lose with a given confidence level ?. This function calculated Maximum Drawdown for two underlying processes normal and autoregressive. For a normal process Maximum Drawdown is given by the formula

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