[Returnanalytics-commits] r2480 - in pkg/PortfolioAnalytics: . man

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

Author: rossbennett34
Date: 2013-07-01 00:16:49 +0200 (Mon, 01 Jul 2013)
New Revision: 2480

Added:
   pkg/PortfolioAnalytics/man/constraint_fn_map.Rd
   pkg/PortfolioAnalytics/man/txfrm_box_constraint.Rd
   pkg/PortfolioAnalytics/man/txfrm_group_constraint.Rd
   pkg/PortfolioAnalytics/man/txfrm_weight_sum_constraint.Rd
Modified:
   pkg/PortfolioAnalytics/DESCRIPTION
   pkg/PortfolioAnalytics/NAMESPACE
Log:
updating documentation

Modified: pkg/PortfolioAnalytics/DESCRIPTION
===================================================================
--- pkg/PortfolioAnalytics/DESCRIPTION	2013-06-30 22:14:54 UTC (rev 2479)
+++ pkg/PortfolioAnalytics/DESCRIPTION	2013-06-30 22:16:49 UTC (rev 2480)
@@ -44,4 +44,4 @@
     'objectiveFUN.R'
     'portfolio.R'
     'constraintsFUN.R'
-    'constraint_fnMap.R'
+    'constraint_fn_map.R'

Modified: pkg/PortfolioAnalytics/NAMESPACE
===================================================================
--- pkg/PortfolioAnalytics/NAMESPACE	2013-06-30 22:14:54 UTC (rev 2479)
+++ pkg/PortfolioAnalytics/NAMESPACE	2013-06-30 22:16:49 UTC (rev 2480)
@@ -11,7 +11,7 @@
 export(charts.RP)
 export(constrained_group_tmp)
 export(constrained_objective)
-export(constraint_fnMap)
+export(constraint_fn_map)
 export(constraint_ROI)
 export(constraint_v2)
 export(constraint)
@@ -51,6 +51,9 @@
 export(trailingFUN)
 export(turnover_constraint)
 export(turnover_objective)
+export(txfrm_box_constraint)
+export(txfrm_group_constraint)
+export(txfrm_weight_sum_constraint)
 export(update.constraint)
 export(volatility_constraint)
 export(weight_sum_constraint)

Added: pkg/PortfolioAnalytics/man/constraint_fn_map.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/constraint_fn_map.Rd	                        (rev 0)
+++ pkg/PortfolioAnalytics/man/constraint_fn_map.Rd	2013-06-30 22:16:49 UTC (rev 2480)
@@ -0,0 +1,27 @@
+\name{constraint_fn_map}
+\alias{constraint_fn_map}
+\title{Constraint mapping function}
+\usage{
+  constraint_fn_map(weights, portfolio)
+}
+\arguments{
+  \item{weights}{vector of weights}
+
+  \item{portfolio}{object of class portfolio}
+}
+\description{
+  The purpose of the mapping function is to transform a
+  weights vector that does not meet all the constraints
+  into a weights vector that does meet the constraints, if
+  one exists, hopefully with a minimum of transformation. I
+  think our first step should be to test each constraint
+  type, in some sort of hierarchy, starting with box
+  constraints (almost all solvers support box constraints,
+  of course), since some of the other transformations will
+  violate the box constraints, and we'll need to transform
+  back again.
+}
+\author{
+  Ross Bennett
+}
+

Added: pkg/PortfolioAnalytics/man/txfrm_box_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/txfrm_box_constraint.Rd	                        (rev 0)
+++ pkg/PortfolioAnalytics/man/txfrm_box_constraint.Rd	2013-06-30 22:16:49 UTC (rev 2480)
@@ -0,0 +1,24 @@
+\name{txfrm_box_constraint}
+\alias{txfrm_box_constraint}
+\title{Transform weights that violate min or max box constraints}
+\usage{
+  txfrm_box_constraint(weights, min, max)
+}
+\arguments{
+  \item{weights}{vector of weights}
+
+  \item{min}{vector of minimum asset weights from box
+  constraints}
+
+  \item{max}{vector of maximum asset weights from box
+  constraints}
+}
+\description{
+  This is a helper function called inside constraint_fnMap
+  to transform the weights vector to satisfy box
+  constraints.
+}
+\author{
+  Ross Bennett
+}
+

Added: pkg/PortfolioAnalytics/man/txfrm_group_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/txfrm_group_constraint.Rd	                        (rev 0)
+++ pkg/PortfolioAnalytics/man/txfrm_group_constraint.Rd	2013-06-30 22:16:49 UTC (rev 2480)
@@ -0,0 +1,26 @@
+\name{txfrm_group_constraint}
+\alias{txfrm_group_constraint}
+\title{Transform weights that violate group constraints}
+\usage{
+  txfrm_group_constraint(weights, groups, cLO, cUP)
+}
+\arguments{
+  \item{weights}{vector of weights}
+
+  \item{groups}{vector of groups}
+
+  \item{cLO}{vector of minimum group weights from group
+  constraints}
+
+  \item{cUP}{vector of maximum group weights from group
+  constraints}
+}
+\description{
+  This is a helper function called inside constraint_fnMap
+  to transform the weights vector to satisfy group
+  constraints.
+}
+\author{
+  Ross Bennett
+}
+

Added: pkg/PortfolioAnalytics/man/txfrm_weight_sum_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/txfrm_weight_sum_constraint.Rd	                        (rev 0)
+++ pkg/PortfolioAnalytics/man/txfrm_weight_sum_constraint.Rd	2013-06-30 22:16:49 UTC (rev 2480)
@@ -0,0 +1,22 @@
+\name{txfrm_weight_sum_constraint}
+\alias{txfrm_weight_sum_constraint}
+\title{Transform weights that violate weight_sum constraints}
+\usage{
+  txfrm_weight_sum_constraint(weights, min_sum, max_sum)
+}
+\arguments{
+  \item{weights}{vector of weights}
+
+  \item{min_sum}{minimum sum of asset weights}
+
+  \item{max_sum}{maximum sum of asset weights}
+}
+\description{
+  This is a helper function called inside constraint_fnMap
+  to transform the weights vector to satisfy weight_sum
+  constraints.
+}
+\author{
+  Ross Bennett
+}
+