[Returnanalytics-commits] r2504 - pkg/PerformanceAnalytics/sandbox/pulkit/week1/code

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

Author: pulkit
Date: 2013-07-05 17:26:00 +0200 (Fri, 05 Jul 2013)
New Revision: 2504

Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R
   pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/moment.c
Log:
updated the c code 

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R	2013-07-05 13:52:31 UTC (rev 2503)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R	2013-07-05 15:26:00 UTC (rev 2504)
@@ -27,8 +27,8 @@
     columns = ncol(x)
     n = nrow(x)
     columnnames = colnames(x)
+    k<-rep(0,5)
 
-
     if(is.null(bounds)){
         message("Bounds not given assuming bounds to be (0,1) for each weight")
         bounds = matrix(rep(c(0,1),columns),nrow = columns,byrow = TRUE)
@@ -101,10 +101,11 @@
         SR = get_SR(stats,n)
         meanSR = SR$meanSR
         sigmaSR = SR$sigmaSR
+        for(i in 1:columns){
 
-        for(i in 1:columns){
             d1Z[i] = get_d1Z(stats,m,meanSR,sigmaSR,mean,weights,i)
         }
+
         dZ = list("d1Z"=d1Z,"z"=meanSR/sigmaSR)
 
         return(dZ)
@@ -148,9 +149,11 @@
     get_dnMoments<-function(mean,weights,mOrder,dOrder,index){
         sum = 0
         x0 = 1
+
         for(i in 0:(dOrder-1)){
             x0 = x0*(mOrder-i)
         }
+
         x_mat = as.matrix(na.omit(x))
         sum = 0
         output = .Call("sums",mat = x_mat,index,mean,dOrder,weights,mOrder,sum)
@@ -180,12 +183,15 @@
     }
     get_Moments<-function(series,order,mean = 0){
         sum = 0
-        for(i in series){
-            sum = sum + (i-mean)^order
-        }
+        mat = as.matrix(series)
+        sum = .Call("sums_m",mat,mean,order)
+       # for(i in series){
+        #    sum = sum + (i-mean)^order
+       # }
         return(sum/n)
     }
     weights = optimize()
+    print(k)
     result = matrix(weights,nrow = columns)
     rownames(result) = columnnames
     colnames(result) = "weight"

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/moment.c
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/moment.c	2013-07-05 13:52:31 UTC (rev 2503)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/moment.c	2013-07-05 15:26:00 UTC (rev 2504)
@@ -31,4 +31,30 @@
     return sum;
 }
 
-        
+SEXP sums_m(SEXP mat,SEXP Rmean,SEXP order){
+    int i,j,row,column;
+    SEXP Rsum;
+    SEXP Rdim = getAttrib(mat,R_DimSymbol);
+    row = INTEGER(Rdim)[0];
+    column = INTEGER(Rdim)[1];
+    mat = coerceVector(mat,REALSXP);
+    order = coerceVector(order,INTSXP);
+    int o = INTEGER(order)[0];
+    Rmean = coerceVector(Rmean,REALSXP);
+    double m = REAL(Rmean)[0];
+    PROTECT(Rsum = allocVector(REALSXP,1));
+    double s = REAL(Rsum)[0];
+    s = 0; 
+    for(i = 0;i<row;i++){
+        for(j = 0;j<column;j++){
+          s = s + pow(REAL(mat)[i +row*j]-m,o);
+        }
+    }
+    REAL(Rsum)[0] =s;
+    UNPROTECT(1);
+
+    return Rsum;
+}
+
+    
+