[Returnanalytics-commits] r2982 - in pkg/FactorAnalytics: . R man vignettes

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

Author: chenyian
Date: 2013-09-04 02:23:36 +0200 (Wed, 04 Sep 2013)
New Revision: 2982

Added:
   pkg/FactorAnalytics/R/print.FM.attribution.r
   pkg/FactorAnalytics/man/print.FM.attribution.Rd
Modified:
   pkg/FactorAnalytics/NAMESPACE
   pkg/FactorAnalytics/vignettes/fundamentalFM.Rnw
Log:
add new function print.FM.attribution.r and print.FM.attribution.Rd

Modified: pkg/FactorAnalytics/NAMESPACE
===================================================================
--- pkg/FactorAnalytics/NAMESPACE	2013-09-04 00:02:34 UTC (rev 2981)
+++ pkg/FactorAnalytics/NAMESPACE	2013-09-04 00:23:36 UTC (rev 2982)
@@ -1,3 +1,4 @@
+S3method(print,FM.attribution)
 S3method(plot,FM.attribution)
 S3method(summary,FM.attribution)
 export(factorModelPerformanceAttribution)

Added: pkg/FactorAnalytics/R/print.FM.attribution.r
===================================================================
--- pkg/FactorAnalytics/R/print.FM.attribution.r	                        (rev 0)
+++ pkg/FactorAnalytics/R/print.FM.attribution.r	2013-09-04 00:23:36 UTC (rev 2982)
@@ -0,0 +1,28 @@
+#' Print FM.attribution object.
+#' 
+#' Generic function of print method for factorModelPerformanceAttribution.
+#' 
+#' 
+#' @param fm.attr FM.attribution object created by
+#' factorModelPerformanceAttribution.
+#' @author Yi-An Chen.
+#' @examples
+#' \dontrun{
+#' # load data from the database
+#'  data(managers.df)
+#'  # fit the factor model with OLS
+#'  fit.ts <- fitTimeSeriesFactorModel(assets.names=colnames(managers.df[,(1:6)]),
+#'                                factors.names=c("EDHEC.LS.EQ","SP500.TR"),
+#'                                data=managers.df,fit.method="OLS")
+#'   
+#'   fm.attr <- factorModelPerformanceAttribution(fit.ts)
+#'   print(fm.attr)
+#'   }
+#' @method print FM.attribution  
+#' @export   
+#' 
+print.FM.attribution <- function(fm.attr) {
+  cat("\nMean of returns attributed to factors
+      \n")
+  print(sapply(fm.attr[[3]],function(x) apply(x,2,mean)))
+ }

Added: pkg/FactorAnalytics/man/print.FM.attribution.Rd
===================================================================
--- pkg/FactorAnalytics/man/print.FM.attribution.Rd	                        (rev 0)
+++ pkg/FactorAnalytics/man/print.FM.attribution.Rd	2013-09-04 00:23:36 UTC (rev 2982)
@@ -0,0 +1,31 @@
+\name{print.FM.attribution}
+\alias{print.FM.attribution}
+\title{Print FM.attribution object.}
+\usage{
+  \method{print}{FM.attribution} (fm.attr)
+}
+\arguments{
+  \item{fm.attr}{FM.attribution object created by
+  factorModelPerformanceAttribution.}
+}
+\description{
+  Generic function of print method for
+  factorModelPerformanceAttribution.
+}
+\examples{
+\dontrun{
+# load data from the database
+ data(managers.df)
+ # fit the factor model with OLS
+ fit.ts <- fitTimeSeriesFactorModel(assets.names=colnames(managers.df[,(1:6)]),
+                               factors.names=c("EDHEC.LS.EQ","SP500.TR"),
+                               data=managers.df,fit.method="OLS")
+
+  fm.attr <- factorModelPerformanceAttribution(fit.ts)
+  print(fm.attr)
+  }
+}
+\author{
+  Yi-An Chen.
+}
+

Modified: pkg/FactorAnalytics/vignettes/fundamentalFM.Rnw
===================================================================
--- pkg/FactorAnalytics/vignettes/fundamentalFM.Rnw	2013-09-04 00:02:34 UTC (rev 2981)
+++ pkg/FactorAnalytics/vignettes/fundamentalFM.Rnw	2013-09-04 00:23:36 UTC (rev 2982)
@@ -389,7 +389,7 @@
 ts.attr <- factorModelPerformanceAttribution(fit.time)
 names(ts.attr)
 @
-There are 3 items generated by the function. \verb at cum.ret.attr.f@ will return a N x K matrix with cummulative returns attributed to factors. \verb at cum.spec.ret@ will return a N x 1 matrix with cummulative specific returns. \verb at attr.list@ will return a list which contains returns atttribution to each factors and specific returns asset by asset. 
+There are 3 items generated by the function. \verb at cum.ret.attr.f@ will return a N x K matrix with cummulative returns attributed to factors. \verb at cum.spec.ret@ will return a N x 1 matrix with cummulative specific returns. \verb at attr.list@ will return a list which contains returns atttribution to each factors and specific returns asset by asset. In addition, a \emph{FM.attribution} class will be generated and generic function \verb at print()@, \verb at summary()@ and \verb at plot()@ can be applied to it.  
 
 
 \end{document}
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