[Returnanalytics-commits] r3088 - in pkg/Meucci: . R demo man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Sep 13 17:37:55 CEST 2013
Author: xavierv
Date: 2013-09-13 17:37:55 +0200 (Fri, 13 Sep 2013)
New Revision: 3088
Added:
pkg/Meucci/man/ComputeCVaR.Rd
pkg/Meucci/man/LongShortMeanCVaRFrontier.Rd
Modified:
pkg/Meucci/NAMESPACE
pkg/Meucci/R/ButterflyTradingFunctions.R
pkg/Meucci/demo/ButterflyTrading.R
pkg/Meucci/demo/FullFlexProbs.R
pkg/Meucci/demo/FullyIntegratedLiquidityAndMarketRisk.R
pkg/Meucci/demo/HermiteGrid_demo.R
pkg/Meucci/demo/RankingInformation.R
pkg/Meucci/demo/S_BlackLittermanBasic.R
pkg/Meucci/demo/S_CallsProjectionPricing.R
pkg/Meucci/demo/S_CrossSectionConstrainedIndustries.R
pkg/Meucci/demo/S_CrossSectionIndustries.R
pkg/Meucci/demo/S_EquitiesInvariants.R
pkg/Meucci/demo/S_ExpectationMaximizationHighYield.R
pkg/Meucci/demo/S_FitSwapToStudentT.R
pkg/Meucci/demo/S_FixedIncomeInvariants.R
pkg/Meucci/demo/S_FxCopulaMarginal.R
pkg/Meucci/demo/S_HedgeOptions.R
pkg/Meucci/demo/S_HorizonEffect.R
pkg/Meucci/demo/S_MaximumLikelihood.R
pkg/Meucci/demo/S_MeanVarianceBenchmark.R
pkg/Meucci/demo/S_MeanVarianceCalls.R
pkg/Meucci/demo/S_MeanVarianceHorizon.R
pkg/Meucci/demo/S_MeanVarianceOptimization.R
pkg/Meucci/demo/S_MultiVarSqrRootRule.R
pkg/Meucci/demo/S_ProjectNPriceMvGarch.R
pkg/Meucci/demo/S_PureResidualBonds.R
pkg/Meucci/demo/S_SnPCaseStudy.R
pkg/Meucci/demo/S_StatArbSwaps.R
pkg/Meucci/demo/S_SwapPca2Dim.R
pkg/Meucci/demo/S_TimeSeriesConstrainedIndustries.R
pkg/Meucci/demo/S_TimeSeriesIndustries.R
pkg/Meucci/demo/S_TimeSeriesVsCrossSectionIndustries.R
Log:
- changed the way data is loaded along the package
Modified: pkg/Meucci/NAMESPACE
===================================================================
--- pkg/Meucci/NAMESPACE 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/NAMESPACE 2013-09-13 15:37:55 UTC (rev 3088)
@@ -6,6 +6,7 @@
export(CentralAndStandardizedStatistics)
export(CMAcombination)
export(CMAseparation)
+export(ComputeCVaR)
export(ComputeMoments)
export(ComputeMVE)
export(CondProbViews)
@@ -36,6 +37,7 @@
export(LognormalCopulaPdf)
export(LognormalMoments2Parameters)
export(LognormalParam2Statistics)
+export(LongShortMeanCVaRFrontier)
export(MaxRsqCS)
export(MaxRsqTS)
export(MleRecursionForStudentT)
Modified: pkg/Meucci/R/ButterflyTradingFunctions.R
===================================================================
--- pkg/Meucci/R/ButterflyTradingFunctions.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/R/ButterflyTradingFunctions.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -275,6 +275,22 @@
return( p_ );
}
+#' Computes the conditional value at risk as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice",
+#' The Risk Magazine, October 2008, p 100-106
+#'
+#' @param Units panel of joint factors realizations
+#' @param Scenarios vector of probabilities
+#' @param Conf Confidence
+#'
+#' @return CVaR Conditional Value at Risk
+#'
+#' @references
+#' A. Meucci, "Fully Flexible Views: Theory and Practice" \url{http://www.symmys.com/node/158}
+#' See Meucci script for "ButterflyTrading/ComputeCVaR.m"
+#'
+#' @author Ram Ahluwalia \email{ram@@wingedfootcapital.com}
+#' @export
+
ComputeCVaR = function( Units , Scenarios , Conf )
{
PnL = Scenarios %*% Units
@@ -288,6 +304,26 @@
return( CVaR )
}
+#' Computes the long-short conditional value at risk frontier as it appears in A. Meucci,
+#' "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p 100-106
+#'
+#' @param PnL Profit and Loss scenarios
+#' @param Probs vector of probabilities
+#' @param Butterflies list of securities with some analytics computed.
+#' @param Options list of options
+#'
+#' @return Exp vector of expected returns for each asset
+#' @return SDev vector of security volatilities along the efficient frontier
+#' @return CVaR Conditional Value at Risk for each portfolio
+#' @return Composition matrix of compositions (security weights) for each portfolio along the efficient frontier
+#'
+#' @references
+#' A. Meucci, "Fully Flexible Views: Theory and Practice" \url{http://www.symmys.com/node/158}
+#' See Meucci script for "ButterflyTrading/LongShortMeanCVaRFrontier.m"
+#'
+#' @author Ram Ahluwalia \email{ram@@wingedfootcapital.com}, Xavier Valls \email{flamejat@@gmail.com}
+#' @export
+
LongShortMeanCVaRFrontier = function( PnL , Probs , Butterflies , Options )
{
library( matlab )
@@ -378,17 +414,3 @@
return( list( Exp = Exp , SDev = SDev , CVaR = CVaR , Composition = Composition ) )
}
-
-
-MapVol = function( sig , y , K , T )
-{
- # in real life a and b below should be calibrated to security-specific time series
-
- a = -0.00000000001
- b = 0.00000000001
-
- s = sig + a/sqrt(T) * ( log(K) - log(y) ) + b/T*( log(K) - log(y) )^2
-
- return( s )
-}
-
Modified: pkg/Meucci/demo/ButterflyTrading.R
===================================================================
--- pkg/Meucci/demo/ButterflyTrading.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/ButterflyTrading.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -1,3 +1,4 @@
+
#' This script performs the butterfly-trading case study for the Entropy-Pooling approach by Attilio Meucci,
#' as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008,
#' p 100-106
@@ -16,29 +17,15 @@
# In real life, these are provided by the estimation process
###########################################################################################################
-load( "../data/factorsDistribution.rda" )
+data("factorsDistribution" )
-emptyMatrix = matrix( nrow = 0 , ncol = 0 )
-
###########################################################################################################
# Load current prices, deltas and other analytics of the securities
# In real life, these are provided by data provider
###########################################################################################################
-load("../data/butterfliesAnalytics.rda")
+data("butterfliesAnalytics")
-
-# create Butterflies as a list of named arrays
-Butterflies = as.matrix( Butterflies[[1]] , nrow = 8 , ncol = 9 )
-Butterflies = matrix(Butterflies, ncol = 9 , nrow = 8 )
-rownames( Butterflies ) = c( "Name" , "P_0" , "Y_0" , "K" , "T" , "sig_0" , "Delta" , "Vega" )
-colnames( Butterflies ) = c( "MSFT_vol_30" , "MSFT_vol_91" , "MSFT_vol_182" ,
- "YHOO_vol_30" , "YHOO_vol_91" , "YHOO_vol_182" ,
- "GOOG_vol_30" , "GOOG_vol_91" , "GOOG_vol_182" )
-
-colnames( X ) = FactorNames
-Butterflies = lapply( seq_len( ncol( Butterflies ) ), function( i ) Butterflies[ , i ] )
-
###########################################################################################################
# Map factors scenarios into p&l scenarios at the investment horizon
# In real life with complex products, the pricing can be VERY costly
@@ -59,11 +46,10 @@
optimalPortfolios = LongShortMeanCVaRFrontier( PnL , as.matrix(factorsDistribution$p ) , butterfliesAnalytics , Options )
-View( optimalPortfolios ) # Note that composition is measured in dollars. Here we are short GOOG_vol_91 and long GOOG_vol_182
+#View( optimalPortfolios ) # Note that composition is measured in dollars. Here we are short GOOG_vol_91 and long GOOG_vol_182
PlotFrontier( optimalPortfolios$Exp , optimalPortfolios$CVaR , optimalPortfolios$Composition )
-#[Exp,SDev,CVaR,w] = LongShortMeanCVaRFrontier(PnL,p,butterfliesAnalytics,Options);
#PlotEfficientFrontier(Exp,CVaR,w)
###########################################################################################################
Modified: pkg/Meucci/demo/FullFlexProbs.R
===================================================================
--- pkg/Meucci/demo/FullFlexProbs.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/FullFlexProbs.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -47,7 +47,7 @@
# risk drivers scenarios
###########################################################################
-load( "../data/dbFFP.rda" )
+data("dbFFP" )
Infl = dbFFP$Data[ , length( dbFFP$Names ) ];
Vix = dbFFP$Data[ , length( dbFFP$Names ) - 1 ];
Modified: pkg/Meucci/demo/FullyIntegratedLiquidityAndMarketRisk.R
===================================================================
--- pkg/Meucci/demo/FullyIntegratedLiquidityAndMarketRisk.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/FullyIntegratedLiquidityAndMarketRisk.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -25,7 +25,7 @@
# load fILMR$Daily_Prices: closing prices
# fILMR$Daily_Volumes_Shares: daily volumes
# fILMR$Daily_Liq: Morgan Stanley liquidity index
-load("../data/fILMR.rda")
+data("fILMR")
# Prices and returns
#Daily_Prices = Daily_Prices(:,Selectstock);
Modified: pkg/Meucci/demo/HermiteGrid_demo.R
===================================================================
--- pkg/Meucci/demo/HermiteGrid_demo.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/HermiteGrid_demo.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -25,7 +25,7 @@
# numerical (Gauss-Hermite grid) prior
ghqMesh = emptyMatrix
-load( "ghq1000.rda" )
+load( "ghq1000" )
tmp = ( ghqx - min( ghqx ) ) / ( max( ghqx ) - min( ghqx ) ) # rescale GH zeros so they belong to [0,1]
epsilon = 1e-10
Modified: pkg/Meucci/demo/RankingInformation.R
===================================================================
--- pkg/Meucci/demo/RankingInformation.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/RankingInformation.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -17,7 +17,7 @@
# Load panel X of joint returns realizations and vector p of respective probabilities
# In real life, these are provided by the estimation process
#############################################################################
-load("../data/returnsDistribution.rda");
+data("returnsDistribution");
###########################################################################################################
# compute and plot efficient frontier based on prior market distribution
Modified: pkg/Meucci/demo/S_BlackLittermanBasic.R
===================================================================
--- pkg/Meucci/demo/S_BlackLittermanBasic.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_BlackLittermanBasic.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -12,7 +12,7 @@
##################################################################################################################
### Load inputs
-load("../data/covNRets.rda");
+data("covNRets");
##################################################################################################################
### Compute efficient frontier
Modified: pkg/Meucci/demo/S_CallsProjectionPricing.R
===================================================================
--- pkg/Meucci/demo/S_CallsProjectionPricing.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_CallsProjectionPricing.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -13,7 +13,7 @@
# load 'spot' for underlying and current vol surface, given by
# 'impVol' for different 'days2Maturity' and 'moneyness' (K/S)
-load("../data/implVol.rda");
+data("implVol");
##################################################################################################################
### Inputs
Modified: pkg/Meucci/demo/S_CrossSectionConstrainedIndustries.R
===================================================================
--- pkg/Meucci/demo/S_CrossSectionConstrainedIndustries.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_CrossSectionConstrainedIndustries.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -10,10 +10,10 @@
##################################################################################################################
### Loads weekly stock returns X and indices stock returns F
-load("../data/securitiesTS.rda");
+data("securitiesTS");
Data_Securities = securitiesTS$data[ , -1 ]; # 1st column is date
-load("../data/securitiesIndustryClassification.rda");
+data("securitiesIndustryClassification");
Securities_IndustryClassification = securitiesIndustryClassification$data;
##################################################################################################################
### Linear returns for stocks
Modified: pkg/Meucci/demo/S_CrossSectionIndustries.R
===================================================================
--- pkg/Meucci/demo/S_CrossSectionIndustries.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_CrossSectionIndustries.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -10,10 +10,10 @@
##################################################################################################################
### Load data
# loads weekly stock returns X and indices stock returns F
-load("../data/securitiesTS.rda");
+data("securitiesTS");
Data_Securities = securitiesTS$data[ , -1 ]; # 1st column is date
-load("../data/securitiesIndustryClassification.rda");
+data("securitiesIndustryClassification");
Securities_IndustryClassification = securitiesIndustryClassification$data;
##################################################################################################################
Modified: pkg/Meucci/demo/S_EquitiesInvariants.R
===================================================================
--- pkg/Meucci/demo/S_EquitiesInvariants.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_EquitiesInvariants.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -11,7 +11,7 @@
##################################################################################################################
### Load daily stock prices from the utility sector in the S&P 500
-load("../data/equities.rda");
+data("equities");
##################################################################################################################
### Pick one stock from database
Modified: pkg/Meucci/demo/S_ExpectationMaximizationHighYield.R
===================================================================
--- pkg/Meucci/demo/S_ExpectationMaximizationHighYield.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_ExpectationMaximizationHighYield.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -10,7 +10,7 @@
##################################################################################################################
### Load data
-load("../data/highYieldIndices.rda");
+data("highYieldIndices");
##################################################################################################################
### Compute invariants and set NaN for large values
Modified: pkg/Meucci/demo/S_FitSwapToStudentT.R
===================================================================
--- pkg/Meucci/demo/S_FitSwapToStudentT.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_FitSwapToStudentT.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -11,7 +11,7 @@
##################################################################################################################
### Load data
-load( "../data/usSwapRates.rda" );
+data("usSwapRates" );
##################################################################################################################
### Inputs
Modified: pkg/Meucci/demo/S_FixedIncomeInvariants.R
===================================================================
--- pkg/Meucci/demo/S_FixedIncomeInvariants.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_FixedIncomeInvariants.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -9,7 +9,7 @@
##################################################################################################################
### Load government yield curve and bond yield data for different dates
-load("../data/fixedIncome.rda");
+data("fixedIncome");
##################################################################################################################
### Pick time-to-maturity for one point on the yield curve
Modified: pkg/Meucci/demo/S_FxCopulaMarginal.R
===================================================================
--- pkg/Meucci/demo/S_FxCopulaMarginal.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_FxCopulaMarginal.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -9,7 +9,7 @@
#' @export
### Load data and select the pair to display
-load( "../data/fX.rda" )
+data("fX" )
Display = c( 1, 2 ); # 1 = Spot USD/EUR; 2 = Spot USD/GBP; 3 = Spot USD/JPY;
Modified: pkg/Meucci/demo/S_HedgeOptions.R
===================================================================
--- pkg/Meucci/demo/S_HedgeOptions.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_HedgeOptions.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -9,7 +9,7 @@
##################################################################################################################
### Load data
-load( "../data/implVol.rda" );
+data("implVol" );
##################################################################################################################
### Inputs
Modified: pkg/Meucci/demo/S_HorizonEffect.R
===================================================================
--- pkg/Meucci/demo/S_HorizonEffect.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_HorizonEffect.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -17,7 +17,7 @@
##################################################################################################################
# Load parameters of the model: D, muX, sigmaF, sigmaEps
-load( "../data/linearModel.rda" );
+data("linearModel" );
# Specify range of investment horizon, weeks
tauRangeWeeks = 1:52;
Modified: pkg/Meucci/demo/S_MaximumLikelihood.R
===================================================================
--- pkg/Meucci/demo/S_MaximumLikelihood.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_MaximumLikelihood.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -51,7 +51,7 @@
##########################################################################################################
### Load data
-load( "../data/timeSeries.rda");
+data("timeSeries");
##########################################################################################################
### inputs
Modified: pkg/Meucci/demo/S_MeanVarianceBenchmark.R
===================================================================
--- pkg/Meucci/demo/S_MeanVarianceBenchmark.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_MeanVarianceBenchmark.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -13,7 +13,7 @@
##################################################################################################################
### Load data
-load("../data/stockSeries.rda");
+data("stockSeries");
###################################################################################################################
### Inputs
Modified: pkg/Meucci/demo/S_MeanVarianceCalls.R
===================================================================
--- pkg/Meucci/demo/S_MeanVarianceCalls.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_MeanVarianceCalls.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -9,7 +9,7 @@
##################################################################################################################
### Load dat
-load("../data/db.rda" );
+data("db" );
##################################################################################################################
### Inputs
Modified: pkg/Meucci/demo/S_MeanVarianceHorizon.R
===================================================================
--- pkg/Meucci/demo/S_MeanVarianceHorizon.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_MeanVarianceHorizon.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -12,7 +12,7 @@
##################################################################################################################
### Load data
-load("../data/stockSeries.rda");
+data("stockSeries");
##################################################################################################################
### Inputs
Modified: pkg/Meucci/demo/S_MeanVarianceOptimization.R
===================================================================
--- pkg/Meucci/demo/S_MeanVarianceOptimization.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_MeanVarianceOptimization.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -13,7 +13,7 @@
##################################################################################################################
### Load data
-load( "../data/stockSeries.rda" );
+data("stockSeries" );
##################################################################################################################
### Inputs
Modified: pkg/Meucci/demo/S_MultiVarSqrRootRule.R
===================================================================
--- pkg/Meucci/demo/S_MultiVarSqrRootRule.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_MultiVarSqrRootRule.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -9,7 +9,7 @@
##################################################################################################################
### Load data
-load("../data/swaps.rda");
+data("swaps");
##################################################################################################################
### Aggregation steps in days
Modified: pkg/Meucci/demo/S_ProjectNPriceMvGarch.R
===================================================================
--- pkg/Meucci/demo/S_ProjectNPriceMvGarch.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_ProjectNPriceMvGarch.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -13,7 +13,7 @@
##################################################################################################################
### Load data
-load( "../data/equities.rda" );
+data("equities" );
##################################################################################################################
### Inputs
Modified: pkg/Meucci/demo/S_PureResidualBonds.R
===================================================================
--- pkg/Meucci/demo/S_PureResidualBonds.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_PureResidualBonds.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -10,7 +10,7 @@
##################################################################################################################
### Load data
-load("../data/bondAttribution.rda");
+data("bondAttribution");
##################################################################################################################
Modified: pkg/Meucci/demo/S_SnPCaseStudy.R
===================================================================
--- pkg/Meucci/demo/S_SnPCaseStudy.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_SnPCaseStudy.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -4,7 +4,7 @@
# source on www.symmys.com
####################################################################
-load("../data/sectorsSnP500.rda")
+data("sectorsSnP500")
p_m = 0.1 # aversion to estimation risk for mu
p_s = 0.1 # aversion to estimation risk for sigma
Modified: pkg/Meucci/demo/S_StatArbSwaps.R
===================================================================
--- pkg/Meucci/demo/S_StatArbSwaps.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_StatArbSwaps.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -11,7 +11,7 @@
##################################################################################################################
### Load data
-load("../data/swapParRates.rda");
+data("swapParRates");
##################################################################################################################
### Estimate covariance and PCA decomposition
Modified: pkg/Meucci/demo/S_SwapPca2Dim.R
===================================================================
--- pkg/Meucci/demo/S_SwapPca2Dim.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_SwapPca2Dim.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -12,7 +12,7 @@
#' @author Xavier Valls \email{flamejat@@gmail.com}
##################################################################################################################
### Load data
-load( "../data/swap2y4y.mat" );
+data("swap2y4y.mat" );
##################################################################################################################
### Current curve
Modified: pkg/Meucci/demo/S_TimeSeriesConstrainedIndustries.R
===================================================================
--- pkg/Meucci/demo/S_TimeSeriesConstrainedIndustries.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_TimeSeriesConstrainedIndustries.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -10,10 +10,10 @@
##################################################################################################################
### Loads weekly stock returns X and indices stock returns F
-load("../data/securitiesTS.rda");
+data("securitiesTS");
Data_Securities = securitiesTS$data[ , -1 ]; # 1st column is date
-load("../data/sectorsTS.rda");
+data("sectorsTS");
Data_Sectors = sectorsTS$data[ , -(1:2) ]; #1st column is date, 2nd column is SPX
##################################################################################################################
Modified: pkg/Meucci/demo/S_TimeSeriesIndustries.R
===================================================================
--- pkg/Meucci/demo/S_TimeSeriesIndustries.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_TimeSeriesIndustries.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -9,10 +9,10 @@
##################################################################################################################
### Loads weekly stock returns X and indices stock returns F
-load("../data/securitiesTS.rda");
+data("securitiesTS");
Data_Securities = securitiesTS$data[ , -1 ]; # 1st column is date
-load("../data/sectorsTS.rda");
+data("sectorsTS");
Data_Sectors = sectorsTS$data[ , -(1:2) ]; #1st column is for date, 2nd column is SPX index
##################################################################################################################
Modified: pkg/Meucci/demo/S_TimeSeriesVsCrossSectionIndustries.R
===================================================================
--- pkg/Meucci/demo/S_TimeSeriesVsCrossSectionIndustries.R 2013-09-13 14:37:41 UTC (rev 3087)
+++ pkg/Meucci/demo/S_TimeSeriesVsCrossSectionIndustries.R 2013-09-13 15:37:55 UTC (rev 3088)
@@ -10,13 +10,13 @@
##################################################################################################################
### Load data
# loads weekly stock returns X and indices stock returns F
-load("../data/securitiesTS.rda");
+data("securitiesTS");
Data_Securities = securitiesTS$data[ , -1 ]; # 1st column is date
-load("../data/sectorsTS.rda");
+data("sectorsTS");
Data_Sectors = sectorsTS$data[ , -(1:2) ];
-load("../data/securitiesIndustryClassification.rda");
+data("securitiesIndustryClassification");
Securities_IndustryClassification = securitiesIndustryClassification$data;
##################################################################################################################
Added: pkg/Meucci/man/ComputeCVaR.Rd
===================================================================
--- pkg/Meucci/man/ComputeCVaR.Rd (rev 0)
+++ pkg/Meucci/man/ComputeCVaR.Rd 2013-09-13 15:37:55 UTC (rev 3088)
@@ -0,0 +1,31 @@
+\name{ComputeCVaR}
+\alias{ComputeCVaR}
+\title{Computes the conditional value at risk as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice",
+The Risk Magazine, October 2008, p 100-106}
+\usage{
+ ComputeCVaR(Units, Scenarios, Conf)
+}
+\arguments{
+ \item{Units}{panel of joint factors realizations}
+
+ \item{Scenarios}{vector of probabilities}
+
+ \item{Conf}{Confidence}
+}
+\value{
+ CVaR Conditional Value at Risk
+}
+\description{
+ Computes the conditional value at risk as it appears in
+ A. Meucci, "Fully Flexible Views: Theory and Practice",
+ The Risk Magazine, October 2008, p 100-106
+}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com}
+}
+\references{
+ A. Meucci, "Fully Flexible Views: Theory and Practice"
+ \url{http://www.symmys.com/node/158} See Meucci script
+ for "ButterflyTrading/ComputeCVaR.m"
+}
+
Added: pkg/Meucci/man/LongShortMeanCVaRFrontier.Rd
===================================================================
--- pkg/Meucci/man/LongShortMeanCVaRFrontier.Rd (rev 0)
+++ pkg/Meucci/man/LongShortMeanCVaRFrontier.Rd 2013-09-13 15:37:55 UTC (rev 3088)
@@ -0,0 +1,45 @@
+\name{LongShortMeanCVaRFrontier}
+\alias{LongShortMeanCVaRFrontier}
+\title{Computes the long-short conditional value at risk frontier as it appears in A. Meucci,
+"Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p 100-106}
+\usage{
+ LongShortMeanCVaRFrontier(PnL, Probs, Butterflies,
+ Options)
+}
+\arguments{
+ \item{PnL}{Profit and Loss scenarios}
+
+ \item{Probs}{vector of probabilities}
+
+ \item{Butterflies}{list of securities with some analytics
+ computed.}
+
+ \item{Options}{list of options}
+}
+\value{
+ Exp vector of expected returns for each asset
+
+ SDev vector of security volatilities along the efficient
+ frontier
+
+ CVaR Conditional Value at Risk for each portfolio
+
+ Composition matrix of compositions (security weights) for
+ each portfolio along the efficient frontier
+}
+\description{
+ Computes the long-short conditional value at risk
+ frontier as it appears in A. Meucci, "Fully Flexible
+ Views: Theory and Practice", The Risk Magazine, October
+ 2008, p 100-106
+}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com}, Xavier
+ Valls \email{flamejat at gmail.com}
+}
+\references{
+ A. Meucci, "Fully Flexible Views: Theory and Practice"
+ \url{http://www.symmys.com/node/158} See Meucci script
+ for "ButterflyTrading/LongShortMeanCVaRFrontier.m"
+}
+
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