[Returnanalytics-commits] r2910 - in pkg/FactorAnalytics: R man

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

Author: chenyian
Date: 2013-08-28 00:22:40 +0200 (Wed, 28 Aug 2013)
New Revision: 2910

Modified:
   pkg/FactorAnalytics/R/factorModelPerformanceAttribution.r
   pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R
   pkg/FactorAnalytics/man/fitTimeseriesFactorModel.Rd
Log:
debug

Modified: pkg/FactorAnalytics/R/factorModelPerformanceAttribution.r
===================================================================
--- pkg/FactorAnalytics/R/factorModelPerformanceAttribution.r	2013-08-27 20:36:51 UTC (rev 2909)
+++ pkg/FactorAnalytics/R/factorModelPerformanceAttribution.r	2013-08-27 22:22:40 UTC (rev 2910)
@@ -75,10 +75,11 @@
   # if benchmark is provided
   
 #     if (!is.null(benchmark)) {
-#     ret.assets =  fit$ret.assets - benchmark
+#     ret.assets =  fit$data[] - benchmark
 #     fit = fitTimeSeriesFactorModel(ret.assets=ret.assets,...)
 #     }
-# return attributed to factors
+
+    # return attributed to factors
     cum.attr.ret <- fit$beta
     cum.spec.ret <- fit$alpha
     factorName = colnames(fit$beta)

Modified: pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R
===================================================================
--- pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R	2013-08-27 20:36:51 UTC (rev 2909)
+++ pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R	2013-08-27 22:22:40 UTC (rev 2910)
@@ -53,10 +53,15 @@
 #'   \item{r2} {N x 1 Vector of R-square values.}
 #'   \item{resid.variance} {N x 1 Vector of residual variances.}
 #'   \item{call} {function call.}
+#'   \item{data} original data as input
+#'   \item{factors.names}  factors.names as input
+#'   \item{variable.selection} variable.selection as input
+#'   \item{assets.names} asset.names as input   
 #' }
 #' 
 #' 
-#' interpreted as number 
+#' 
+#' 
 #' @author Eric Zivot and Yi-An Chen.
 #' @references 
 #' \enumerate{

Modified: pkg/FactorAnalytics/man/fitTimeseriesFactorModel.Rd
===================================================================
--- pkg/FactorAnalytics/man/fitTimeseriesFactorModel.Rd	2013-08-27 20:36:51 UTC (rev 2909)
+++ pkg/FactorAnalytics/man/fitTimeseriesFactorModel.Rd	2013-08-27 22:22:40 UTC (rev 2910)
@@ -81,9 +81,10 @@
   \item{beta} {N x K Matrix of estimated betas.} \item{r2}
   {N x 1 Vector of R-square values.} \item{resid.variance}
   {N x 1 Vector of residual variances.} \item{call}
-  {function call.} }
-
-  interpreted as number
+  {function call.} \item{data} original data as input
+  \item{factors.names} factors.names as input
+  \item{variable.selection} variable.selection as input
+  \item{assets.names} asset.names as input }
 }
 \description{
   Fit time series factor model by time series regression