[Returnanalytics-commits] r2589 - pkg/FactorAnalytics/R

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

Author: chenyian
Date: 2013-07-17 20:30:39 +0200 (Wed, 17 Jul 2013)
New Revision: 2589

Modified:
   pkg/FactorAnalytics/R/factorModelCovariance.r
   pkg/FactorAnalytics/R/fitFundamentalFactorModel.R
Log:
1. modify Rd. file of fitFundamentalFactorModel.R
2. add function that factorModelCovariance.r can take fitFundamentalFactorModel.R

Modified: pkg/FactorAnalytics/R/factorModelCovariance.r
===================================================================
--- pkg/FactorAnalytics/R/factorModelCovariance.r	2013-07-17 12:17:59 UTC (rev 2588)
+++ pkg/FactorAnalytics/R/factorModelCovariance.r	2013-07-17 18:30:39 UTC (rev 2589)
@@ -45,6 +45,30 @@
 #' factorModelCovariance(t(sfm.apca.fit$loadings),
 #'                        var(sfm.apca.fit$factors),sfm.apca.fit$resid.variance)
 #'
+#'  # fundamental factor model example
+#'  
+#' 
+#'  data(stock)
+#' # there are 447 assets  
+#' exposure.names <- c("BOOK2MARKET", "LOG.MARKETCAP") 
+#' test.fit <- fitFundamentalFactorModel(data=data,exposure.names=exposure.names,
+#'                                        datevar = "DATE", returnsvar = "RETURN",
+#'                                        assetvar = "TICKER", wls = TRUE, 
+#'                                        regression = "classic", 
+#'                                        covariance = "classic", full.resid.cov = FALSE, 
+#'                                        robust.scale = TRUE)
+#'  
+#'  # compute return covariance 
+#'  # take beta as latest date input
+#'  beta.mat.fundm <- subset(data,DATE == "2003-12-31")[,exposure.names]
+#'  beta.mat.fundm <- cbind(rep(1,447),beta.mat.fundm) # add intercept
+#' FM return covariance 
+#' ret.cov.fundm <- factorModelCovariance(beta.mat.fundm,test.fit$factor.cov$cov,
+#'                                          test.fit$resid.variance)
+#'  # the result is exactly the same 
+#' test.fit$returns.cov$cov == ret.cov.fundm
+#'
+
 factorModelCovariance <-
 function(beta.mat, factor.cov, residVars.vec) {
 

Modified: pkg/FactorAnalytics/R/fitFundamentalFactorModel.R
===================================================================
--- pkg/FactorAnalytics/R/fitFundamentalFactorModel.R	2013-07-17 12:17:59 UTC (rev 2588)
+++ pkg/FactorAnalytics/R/fitFundamentalFactorModel.R	2013-07-17 18:30:39 UTC (rev 2589)
@@ -37,11 +37,12 @@
 #' the data.
 #' @return an S3 object containing
 #' \itemize{
-#' \item cov.returns A "list" object contains covariance information for
-#' asset returns, includes covariance, mean and eigenvalus.
-#' \item cov.factor Anobject of class "cov" or "covRob" which
+#' \item returns.cov A "list" object contains covariance information for
+#' asset returns, includes covariance, mean and eigenvalus. Beta of taken as latest
+#' date input. 
+#' \item factor.cov An object of class "cov" or "covRob" which
 #' contains the covariance matrix of the factor returns (including intercept).
-#' \item cov.resids An object of class "cov" or "covRob" which contains
+#' \item resids.cov An object of class "cov" or "covRob" which contains
 #' the covariance matrix of the residuals, if "full.resid.cov" is TRUE.  NULL
 #' if "full.resid.cov" is FALSE.
 #' \item resid.variance A vector of variances estimated from the OLS
@@ -72,10 +73,10 @@
 #'                                        robust.scale = TRUE)
 #' 
 #' names(test.fit) 
-#' test.fit$cov.returns 
-#' test.fit$cov.resids  
+#' test.fit$returns.cov 
+#' test.fit$resids.cov  
 #' names(test.fit$cov.factor)  
-#' test.fit$cov.factor$cov  
+#' test.fit$factor.cov$cov  
 #' test.fit$factor  
 #' test.fit$resid.variance  
 #' test.fit$resids 
@@ -401,9 +402,9 @@
     else {
       Cov.resids <- NULL
     }
-    output <- list(cov.returns = Cov.returns, 
-                   cov.factor = Cov.factors, 
-                   cov.resids = Cov.resids, 
+    output <- list(returns.cov = Cov.returns, 
+                   factor.cov = Cov.factors, 
+                   resids.cov = Cov.resids, 
                    resid.variance = resid.vars, 
                    factors = f.hat, 
                    residuals = resids, 
@@ -412,5 +413,4 @@
                    data = data)
     class(output) <- "FundamentalFactorModel"
     return(output)
-}
-
+}
\ No newline at end of file