[Returnanalytics-commits] r2508 - pkg/PerformanceAnalytics/sandbox/Shubhankit

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

Author: shubhanm
Date: 2013-07-06 07:55:12 +0200 (Sat, 06 Jul 2013)
New Revision: 2508

Added:
   pkg/PerformanceAnalytics/sandbox/Shubhankit/table.normDD.R
Log:
Week 3: 

Normalized Drawdown through Monte Carlo Simulation

Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/table.normDD.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/table.normDD.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/table.normDD.R	2013-07-06 05:55:12 UTC (rev 2508)
@@ -0,0 +1,86 @@
+#' Expected Drawdown using Brownian Motion Assumptions
+#' 
+#' Works on the model specified by Maddon-Ismail
+#' 
+#' 
+#' 
+#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+
+#' @author R
+#' @keywords Expected Drawdown Using Brownian Motion Assumptions
+#'
+#' @export 
+table.NormDD <-
+  function (R,digits =4)
+  {# @author 
+    
+    # DESCRIPTION:
+    # Downside Risk Summary: Statistics and Stylized Facts
+    
+    # Inputs:
+    # R: a regular timeseries of returns (rather than prices)
+    # Output: Table of Estimated Drawdowns 
+    
+    y = checkData(R, method = "xts")
+    columns = ncol(y)
+    rows = nrow(y)
+    columnnames = colnames(y)
+    rownames = rownames(y)
+    T= nyears(y);
+    n <- 1000
+    dt <- 1/T;
+    r0 <- 100;
+    # for each column, do the following:
+    for(column in 1:columns) {
+      x = y[,column]
+      mu = Return.annualized(x, scale = NA, geometric = TRUE)
+      sig=StdDev.annualized(x)
+      r <- matrix(0,T+1,n)  # matrix to hold short rate paths
+      r[1,] <- r0  
+      drawdown <- matrix(0,n)
+      #  return(Ed)
+      
+      for(j in 1:n){
+        for(i in 2:(T+1)){
+          
+            dr <- mu*dt + sig*sqrt(dt)*rnorm(1,0,1)
+            r[i,j] <- r[i-1,j] + dr
+        }
+        drawdown[j] = maxDrawdown(r[,j])
+      }
+      z = c((mu*100),
+            (sig*100),
+            ((mean(drawdown)*100)))
+      znames = c(
+        "Annual Returns in %",
+        "Std Devetions in %",
+        "Normalized Drawdown Drawdown in %"
+      )
+      if(column == 1) {
+        resultingtable = data.frame(Value = z, row.names = znames)
+      }
+      else {
+        nextcolumn = data.frame(Value = z, row.names = znames)
+        resultingtable = cbind(resultingtable, nextcolumn)
+      }
+    }
+    colnames(resultingtable) = columnnames
+    ans = base::round(resultingtable, digits)
+    ans
+    t <- seq(0, T, dt)
+    matplot(t, r[1,1:T], type="l", lty=1, main="Short Rate Paths", ylab="rt")
+    
+  }
+
+###############################################################################
+# R (http://r-project.org/) 
+#
+# Copyright (c) 2004-2013 
+#
+# This R package is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: EMaxDDGBM
+#
+###############################################################################