[Returnanalytics-commits] r3545 - pkg/PerformanceAnalytics/sandbox

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

Author: peter_carl
Date: 2014-10-15 18:09:51 +0200 (Wed, 15 Oct 2014)
New Revision: 3545

Added:
   pkg/PerformanceAnalytics/sandbox/to.period.returns.R
Log:
- first draft of to.period for returns

Added: pkg/PerformanceAnalytics/sandbox/to.period.returns.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/to.period.returns.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/to.period.returns.R	2014-10-15 16:09:51 UTC (rev 3545)
@@ -0,0 +1,76 @@
+#' aggregate returns through time
+#' 
+#' Higher frequency returns provided as a time series are converted to a lower 
+#' frequency for a specified calendar period.
+#' 
+#' description here
+#' 
+#' Valid period character strings for period include: "weeks", "months", "quarters", and "years". 
+#' These are calculated internally via \code{\link{endpoints}}. See that function's help page for further details.
+#' 
+#' @param R a time series of the per period returns  
+#' @param period period to convert to. See details."years", "quarters", "months", "weeks"
+#' @param geometric  use geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
+#' @param \dots any other passthru parameters
+#' @author Peter Carl
+#' @seealso \code{\link{Return.cumulative}} \cr \code{\link{endpoints}} \cr
+#' @aliases to.monthly.returns to.weekly.returns to.quarterly.returns to.yearly.returns
+#' @examples
+#' data(managers)
+#' to.period.returns(managers[,1:5], period="years")
+#' to.yearly.returns(managers["2002::",1:5], geometric=TRUE)
+#' @export
+to.period.returns <- function(R, period = c("years", "quarters", "months", "weeks"), geometric = TRUE, ...){
+  x = checkData(R)
+  period = period[1] 
+  columnnames = colnames(x)
+  if(!xtsible(R))
+    stop("'R' needs to be timeBased or xtsible." )
+  # Make sure period > frequency of R
+  err=FALSE
+  freq = periodicity(x)
+  switch(freq$scale,
+      minute = {stop("Data periodicity too high")},
+      hourly = {stop("Data periodicity too high")},
+      daily = {ifelse(!period %in% c("years", "quarters", "months", "weeks"), err <- TRUE,NA)},
+      weekly = {ifelse(!period %in% c("years", "quarters", "months"), err <- TRUE,NA)},
+      monthly = {ifelse(!period %in% c("years", "quarters"), err <- TRUE,NA)},
+      quarterly = {ifelse(!period %in% c("years"), err <- TRUE,NA)},
+      yearly = {stop("Data periodicity too low")}
+  )
+  if(err) stop("Period specified is higher than data periodicity.  Specify a lower frequency instead.")
+  
+  # Calculate cumulative return for aggregation periods
+  period.apply(x, INDEX=endpoints(x, period), FUN=Return.cumulative, geometric=geometric)
+
+  return(period.ret)
+  
+}
+#' @export
+to.weekly.returns <- function(R) {
+  to.period.returns(R = R, period = "weeks", geometric=TRUE)
+}
+#' @export
+to.monthly.returns <- function(R) {
+  to.period.returns(R = R, period = "months", geometric=TRUE)
+}
+#' @export
+to.quarterly.returns <- function(R) {
+  to.period.returns(R = R, period = "quarters", geometric=TRUE)
+}
+#' @export
+to.yearly.returns <- function(R) {
+  to.period.returns(R = R, period = "years", geometric=TRUE)
+}
+
+###############################################################################
+# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
+#
+# Copyright (c) 2004-2014 Peter Carl and Brian G. Peterson
+#
+# This R package is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: $
+#
+###############################################################################
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