From noreply at r-forge.r-project.org Wed Oct 21 23:09:19 2015 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Wed, 21 Oct 2015 23:09:19 +0200 (CEST) Subject: [Returnanalytics-commits] r3998 - in pkg/PerformanceAnalytics: . R man Message-ID: <20151021210919.34B38186C7F@r-forge.r-project.org> Author: braverock Date: 2015-10-21 23:09:18 +0200 (Wed, 21 Oct 2015) New Revision: 3998 Modified: pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/NAMESPACE pkg/PerformanceAnalytics/R/AdjustedSharpeRatio.R pkg/PerformanceAnalytics/R/AppraisalRatio.R pkg/PerformanceAnalytics/R/BernadoLedoitratio.R pkg/PerformanceAnalytics/R/BurkeRatio.R pkg/PerformanceAnalytics/R/CAPM.beta.R pkg/PerformanceAnalytics/R/CAPM.dynamic.R pkg/PerformanceAnalytics/R/CAPM.utils.R pkg/PerformanceAnalytics/R/CalmarRatio.R pkg/PerformanceAnalytics/R/CoMoments.R pkg/PerformanceAnalytics/R/DRatio.R pkg/PerformanceAnalytics/R/DownsideDeviation.R pkg/PerformanceAnalytics/R/DownsideFrequency.R pkg/PerformanceAnalytics/R/DrawdownPeak.R pkg/PerformanceAnalytics/R/Drawdowns.R pkg/PerformanceAnalytics/R/FamaBeta.R pkg/PerformanceAnalytics/R/Frequency.R pkg/PerformanceAnalytics/R/Kappa.R pkg/PerformanceAnalytics/R/M2Sortino.R pkg/PerformanceAnalytics/R/MSquared.R pkg/PerformanceAnalytics/R/MSquaredExcess.R pkg/PerformanceAnalytics/R/MartinRatio.R pkg/PerformanceAnalytics/R/MeanAbsoluteDeviation.R pkg/PerformanceAnalytics/R/Modigliani.R pkg/PerformanceAnalytics/R/NetSelectivity.R pkg/PerformanceAnalytics/R/OmegaExcessReturn.R pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R pkg/PerformanceAnalytics/R/PainIndex.R pkg/PerformanceAnalytics/R/PainRatio.R pkg/PerformanceAnalytics/R/ProspectRatio.R pkg/PerformanceAnalytics/R/Return.calculate.R pkg/PerformanceAnalytics/R/Return.portfolio.R pkg/PerformanceAnalytics/R/Selectivity.R pkg/PerformanceAnalytics/R/SharpeRatio.R pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R pkg/PerformanceAnalytics/R/SpecificRisk.R pkg/PerformanceAnalytics/R/SystematicRisk.R pkg/PerformanceAnalytics/R/TotalRisk.R pkg/PerformanceAnalytics/R/UpsideFrequency.R pkg/PerformanceAnalytics/R/UpsideRisk.R pkg/PerformanceAnalytics/R/VolatilitySkewness.R pkg/PerformanceAnalytics/R/apply.fromstart.R pkg/PerformanceAnalytics/R/apply.rolling.R pkg/PerformanceAnalytics/R/chart.ACF.R pkg/PerformanceAnalytics/R/chart.ACFplus.R pkg/PerformanceAnalytics/R/chart.Bar.R pkg/PerformanceAnalytics/R/chart.Boxplot.R pkg/PerformanceAnalytics/R/chart.CaptureRatios.R pkg/PerformanceAnalytics/R/chart.Correlation.R pkg/PerformanceAnalytics/R/chart.CumReturns.R pkg/PerformanceAnalytics/R/chart.Drawdown.R pkg/PerformanceAnalytics/R/chart.ECDF.R pkg/PerformanceAnalytics/R/chart.QQPlot.R pkg/PerformanceAnalytics/R/chart.Regression.R pkg/PerformanceAnalytics/R/chart.RelativePerformance.R pkg/PerformanceAnalytics/R/chart.RiskReturnScatter.R pkg/PerformanceAnalytics/R/chart.RollingCorrelation.R pkg/PerformanceAnalytics/R/chart.RollingMean.R pkg/PerformanceAnalytics/R/chart.RollingPerformance.R pkg/PerformanceAnalytics/R/chart.RollingQuantileRegression.R pkg/PerformanceAnalytics/R/chart.Scatter.R pkg/PerformanceAnalytics/R/chart.SnailTrail.R pkg/PerformanceAnalytics/R/chart.StackedBar.R pkg/PerformanceAnalytics/R/chart.TimeSeries.R pkg/PerformanceAnalytics/R/chart.VaRSensitivity.R pkg/PerformanceAnalytics/R/charts.BarVaR.R pkg/PerformanceAnalytics/R/charts.PerformanceSummary.R pkg/PerformanceAnalytics/R/charts.RollingPerformance.R pkg/PerformanceAnalytics/R/charts.RollingRegression.R pkg/PerformanceAnalytics/R/charts.TimeSeries.R pkg/PerformanceAnalytics/R/checkData.R pkg/PerformanceAnalytics/R/legend.R pkg/PerformanceAnalytics/R/maxDrawdown.R pkg/PerformanceAnalytics/R/table.DownsideRisk.R pkg/PerformanceAnalytics/R/table.MonthlyReturns.R pkg/PerformanceAnalytics/R/table.ProbOutperformance.R pkg/PerformanceAnalytics/R/table.RollingPeriods.R pkg/PerformanceAnalytics/R/textplot.R pkg/PerformanceAnalytics/man/ActivePremium.Rd pkg/PerformanceAnalytics/man/AdjustedSharpeRatio.Rd pkg/PerformanceAnalytics/man/AppraisalRatio.Rd pkg/PerformanceAnalytics/man/AverageDrawdown.Rd pkg/PerformanceAnalytics/man/AverageLength.Rd pkg/PerformanceAnalytics/man/AverageRecovery.Rd pkg/PerformanceAnalytics/man/BernardoLedoitRatio.Rd pkg/PerformanceAnalytics/man/BetaCoMoments.Rd pkg/PerformanceAnalytics/man/BurkeRatio.Rd pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd pkg/PerformanceAnalytics/man/CAPM.alpha.Rd pkg/PerformanceAnalytics/man/CAPM.beta.Rd pkg/PerformanceAnalytics/man/CAPM.dynamic.Rd pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd pkg/PerformanceAnalytics/man/CDD.Rd pkg/PerformanceAnalytics/man/CalmarRatio.Rd pkg/PerformanceAnalytics/man/CoMoments.Rd pkg/PerformanceAnalytics/man/DRatio.Rd pkg/PerformanceAnalytics/man/DownsideDeviation.Rd pkg/PerformanceAnalytics/man/DownsideFrequency.Rd pkg/PerformanceAnalytics/man/DrawdownDeviation.Rd pkg/PerformanceAnalytics/man/DrawdownPeak.Rd pkg/PerformanceAnalytics/man/ES.Rd pkg/PerformanceAnalytics/man/FamaBeta.Rd pkg/PerformanceAnalytics/man/Frequency.Rd pkg/PerformanceAnalytics/man/HurstIndex.Rd pkg/PerformanceAnalytics/man/InformationRatio.Rd pkg/PerformanceAnalytics/man/Kappa.Rd pkg/PerformanceAnalytics/man/KellyRatio.Rd pkg/PerformanceAnalytics/man/M2Sortino.Rd pkg/PerformanceAnalytics/man/MSquared.Rd pkg/PerformanceAnalytics/man/MSquaredExcess.Rd pkg/PerformanceAnalytics/man/MarketTiming.Rd pkg/PerformanceAnalytics/man/MartinRatio.Rd pkg/PerformanceAnalytics/man/MeanAbsoluteDeviation.Rd pkg/PerformanceAnalytics/man/Modigliani.Rd pkg/PerformanceAnalytics/man/NetSelectivity.Rd pkg/PerformanceAnalytics/man/Omega.Rd pkg/PerformanceAnalytics/man/OmegaExcessReturn.Rd pkg/PerformanceAnalytics/man/OmegaSharpeRatio.Rd pkg/PerformanceAnalytics/man/PainIndex.Rd pkg/PerformanceAnalytics/man/PainRatio.Rd pkg/PerformanceAnalytics/man/ProspectRatio.Rd pkg/PerformanceAnalytics/man/Return.Geltner.Rd pkg/PerformanceAnalytics/man/Return.annualized.Rd pkg/PerformanceAnalytics/man/Return.annualized.excess.Rd pkg/PerformanceAnalytics/man/Return.calculate.Rd pkg/PerformanceAnalytics/man/Return.clean.Rd pkg/PerformanceAnalytics/man/Return.cumulative.Rd pkg/PerformanceAnalytics/man/Return.excess.Rd pkg/PerformanceAnalytics/man/Return.portfolio.Rd pkg/PerformanceAnalytics/man/Return.read.Rd pkg/PerformanceAnalytics/man/Return.relative.Rd pkg/PerformanceAnalytics/man/Selectivity.Rd pkg/PerformanceAnalytics/man/SharpeRatio.Rd pkg/PerformanceAnalytics/man/SharpeRatio.annualized.Rd pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd pkg/PerformanceAnalytics/man/SmoothingIndex.Rd pkg/PerformanceAnalytics/man/SortinoRatio.Rd pkg/PerformanceAnalytics/man/SpecificRisk.Rd pkg/PerformanceAnalytics/man/StdDev.Rd pkg/PerformanceAnalytics/man/StdDev.annualized.Rd pkg/PerformanceAnalytics/man/SystematicRisk.Rd pkg/PerformanceAnalytics/man/TotalRisk.Rd pkg/PerformanceAnalytics/man/TrackingError.Rd pkg/PerformanceAnalytics/man/TreynorRatio.Rd pkg/PerformanceAnalytics/man/UlcerIndex.Rd pkg/PerformanceAnalytics/man/UpDownRatios.Rd pkg/PerformanceAnalytics/man/UpsideFrequency.Rd pkg/PerformanceAnalytics/man/UpsidePotentialRatio.Rd pkg/PerformanceAnalytics/man/UpsideRisk.Rd pkg/PerformanceAnalytics/man/VaR.Rd pkg/PerformanceAnalytics/man/VolatilitySkewness.Rd pkg/PerformanceAnalytics/man/apply.fromstart.Rd pkg/PerformanceAnalytics/man/apply.rolling.Rd pkg/PerformanceAnalytics/man/centeredmoments.Rd pkg/PerformanceAnalytics/man/chart.ACF.Rd pkg/PerformanceAnalytics/man/chart.Bar.Rd pkg/PerformanceAnalytics/man/chart.BarVaR.Rd pkg/PerformanceAnalytics/man/chart.Boxplot.Rd pkg/PerformanceAnalytics/man/chart.CaptureRatios.Rd pkg/PerformanceAnalytics/man/chart.Correlation.Rd pkg/PerformanceAnalytics/man/chart.CumReturns.Rd pkg/PerformanceAnalytics/man/chart.Drawdown.Rd pkg/PerformanceAnalytics/man/chart.ECDF.Rd pkg/PerformanceAnalytics/man/chart.Events.Rd pkg/PerformanceAnalytics/man/chart.Histogram.Rd pkg/PerformanceAnalytics/man/chart.QQPlot.Rd pkg/PerformanceAnalytics/man/chart.Regression.Rd pkg/PerformanceAnalytics/man/chart.RelativePerformance.Rd pkg/PerformanceAnalytics/man/chart.RiskReturnScatter.Rd pkg/PerformanceAnalytics/man/chart.RollingCorrelation.Rd pkg/PerformanceAnalytics/man/chart.RollingMean.Rd pkg/PerformanceAnalytics/man/chart.RollingPerformance.Rd pkg/PerformanceAnalytics/man/chart.RollingRegression.Rd pkg/PerformanceAnalytics/man/chart.Scatter.Rd pkg/PerformanceAnalytics/man/chart.SnailTrail.Rd pkg/PerformanceAnalytics/man/chart.StackedBar.Rd pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd pkg/PerformanceAnalytics/man/chart.VaRSensitivity.Rd pkg/PerformanceAnalytics/man/charts.PerformanceSummary.Rd pkg/PerformanceAnalytics/man/charts.RollingPerformance.Rd pkg/PerformanceAnalytics/man/checkData.Rd pkg/PerformanceAnalytics/man/clean.boudt.Rd pkg/PerformanceAnalytics/man/findDrawdowns.Rd pkg/PerformanceAnalytics/man/kurtosis.Rd pkg/PerformanceAnalytics/man/legend.Rd pkg/PerformanceAnalytics/man/lpm.Rd pkg/PerformanceAnalytics/man/maxDrawdown.Rd pkg/PerformanceAnalytics/man/mean.geometric.Rd pkg/PerformanceAnalytics/man/skewness.Rd pkg/PerformanceAnalytics/man/sortDrawdowns.Rd pkg/PerformanceAnalytics/man/table.AnnualizedReturns.Rd pkg/PerformanceAnalytics/man/table.Arbitrary.Rd pkg/PerformanceAnalytics/man/table.Autocorrelation.Rd pkg/PerformanceAnalytics/man/table.CAPM.Rd pkg/PerformanceAnalytics/man/table.CalendarReturns.Rd pkg/PerformanceAnalytics/man/table.CaptureRatios.Rd pkg/PerformanceAnalytics/man/table.Correlation.Rd pkg/PerformanceAnalytics/man/table.Distributions.Rd pkg/PerformanceAnalytics/man/table.DownsideRisk.Rd pkg/PerformanceAnalytics/man/table.DownsideRiskRatio.Rd pkg/PerformanceAnalytics/man/table.Drawdowns.Rd pkg/PerformanceAnalytics/man/table.DrawdownsRatio.Rd pkg/PerformanceAnalytics/man/table.HigherMoments.Rd pkg/PerformanceAnalytics/man/table.InformationRatio.Rd pkg/PerformanceAnalytics/man/table.MonthlyReturns.Rd pkg/PerformanceAnalytics/man/table.ProbOutPerformance.Rd pkg/PerformanceAnalytics/man/table.RollingPeriods.Rd pkg/PerformanceAnalytics/man/table.SpecificRisk.Rd pkg/PerformanceAnalytics/man/table.Variability.Rd pkg/PerformanceAnalytics/man/textplot.Rd pkg/PerformanceAnalytics/man/zerofill.Rd Log: - updates to play better with github version of roxygen2 Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/DESCRIPTION 2015-10-21 21:09:18 UTC (rev 3998) @@ -12,7 +12,7 @@ , person(given="Kyle",family="Balkissoon",role="ctb") , person(given="Diethelm",family="Wuertz",role="ctb") ) -Version: 1.4.3662 +Version: 1.4.3998 Date: $Date$ Description: Collection of econometric functions for performance and risk analysis. This package aims to aid @@ -23,7 +23,8 @@ work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible. -Imports: zoo +Imports: + zoo Depends: R (>= 3.0.0), xts (>= 0.9) @@ -39,3 +40,4 @@ License: GPL-2 | GPL-3 URL: http://r-forge.r-project.org/projects/returnanalytics/ Copyright: (c) 2004-2015 +RoxygenNote: 4.1.1.9001 Modified: pkg/PerformanceAnalytics/NAMESPACE =================================================================== --- pkg/PerformanceAnalytics/NAMESPACE 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/NAMESPACE 2015-10-21 21:09:18 UTC (rev 3998) @@ -1,9 +1,10 @@ -# Generated by roxygen2 (4.1.1): do not edit by hand +# Generated by roxygen2: do not edit by hand S3method(textplot,character) S3method(textplot,data.frame) S3method(textplot,default) S3method(textplot,matrix) +export("") export(ActivePremium) export(ActiveReturn) export(AdjustedSharpeRatio) @@ -41,7 +42,6 @@ export(DownsideFrequency) export(DownsidePotential) export(DrawdownDeviation) -export(DrawdownPeak) export(Drawdowns) export(ES) export(ETL) @@ -211,6 +211,7 @@ export(table.HigherMoments) export(table.InformationRatio) export(table.ProbOutPerformance) +export(table.RollingPeriods) export(table.SFM) export(table.SpecificRisk) export(table.Stats) Modified: pkg/PerformanceAnalytics/R/AdjustedSharpeRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/AdjustedSharpeRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/AdjustedSharpeRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -26,8 +26,7 @@ #' print(AdjustedSharpeRatio(managers['1996'])) #' print(AdjustedSharpeRatio(managers['1996',1])) #' -#' @export - +#' @export AdjustedSharpeRatio <- function (R, Rf = 0, ...) { R = checkData(R) Modified: pkg/PerformanceAnalytics/R/AppraisalRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/AppraisalRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/AppraisalRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -41,8 +41,7 @@ #' print(AppraisalRatio(managers['1996',1], managers['1996',8])) #' print(AppraisalRatio(managers['1996',1:5], managers['1996',8])) #' -#' @export - +#' @export AppraisalRatio <- function (Ra, Rb, Rf = 0, method = c("appraisal", "modified", "alternative"), ...) { Modified: pkg/PerformanceAnalytics/R/BernadoLedoitratio.R =================================================================== --- pkg/PerformanceAnalytics/R/BernadoLedoitratio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/BernadoLedoitratio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -25,8 +25,7 @@ #' print(BernardoLedoitRatio(managers['1996'])) #' print(BernardoLedoitRatio(managers['1996',1])) #expected 4.598 #' -#' @export - +#' @export BernardoLedoitRatio <- function (R, ...) { R <- checkData(R) Modified: pkg/PerformanceAnalytics/R/BurkeRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/BurkeRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/BurkeRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -33,8 +33,7 @@ #' print(BurkeRatio(managers['1996'], modified = TRUE)) #' print(BurkeRatio(managers['1996',1], modified = TRUE)) #' -#' @export - +#' @export BurkeRatio <- function (R, Rf = 0, modified = FALSE, ...) { drawdown = c() Modified: pkg/PerformanceAnalytics/R/CAPM.beta.R =================================================================== --- pkg/PerformanceAnalytics/R/CAPM.beta.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/CAPM.beta.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -129,7 +129,7 @@ } #' @rdname CAPM.beta -#' @export +#' @export CAPM.beta.bull <- function (Ra, Rb, Rf = 0) { # @author Peter Carl @@ -174,7 +174,7 @@ } #' @rdname CAPM.beta -#' @export +#' @export CAPM.beta.bear <- function (Ra, Rb, Rf = 0) { # @author Peter Carl @@ -220,7 +220,7 @@ #' @rdname CAPM.beta -#' @export +#' @export TimingRatio <- function (Ra, Rb, Rf = 0) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/CAPM.dynamic.R =================================================================== --- pkg/PerformanceAnalytics/R/CAPM.dynamic.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/CAPM.dynamic.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -57,8 +57,8 @@ #' CAPM.dynamic(managers[80:120,1:6], managers[80:120,8:7], #' managers[80:120,10,drop=FALSE], Z=managers[80:120, 9:10]) #' -#' @rdname CAPM.dynamic -#' @export CAPM.dynamic SFM.dynamic +#' @rdname CAPM.dynamic +#' @export CAPM.dynamic SFM.dynamic CAPM.dynamic <- SFM.dynamic <- function (Ra, Rb, Rf = 0, Z, lags = 1, ...) { # @author Andrii Babii Modified: pkg/PerformanceAnalytics/R/CAPM.utils.R =================================================================== --- pkg/PerformanceAnalytics/R/CAPM.utils.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/CAPM.utils.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -16,7 +16,7 @@ } #' @rdname CAPM.RiskPremium -#' @export CAPM.CML SFM.CML +#' @export CAPM.CML SFM.CML CAPM.CML <- SFM.CML <-function (Ra, Rb, Rf = 0) { #@author Brian G. Peterson Modified: pkg/PerformanceAnalytics/R/CalmarRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/CalmarRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/CalmarRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -45,7 +45,7 @@ #' SterlingRatio(managers[,1,drop=FALSE]) #' SterlingRatio(managers[,1:6]) #' -#' @export +#' @export #' @rdname CalmarRatio CalmarRatio <- function (R, scale = NA) { # @author Brian G. Peterson @@ -80,7 +80,7 @@ return(result) } -#' @export +#' @export #' @rdname CalmarRatio SterlingRatio <- function (R, scale=NA, excess=.1) Modified: pkg/PerformanceAnalytics/R/CoMoments.R =================================================================== --- pkg/PerformanceAnalytics/R/CoMoments.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/CoMoments.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -53,8 +53,8 @@ #' data(managers) #' Return.centered(managers[,1:3,drop=FALSE]) #' -#' @rdname centeredmoments -#' @export +#' @rdname centeredmoments +#' @export Return.centered <- function (R,...) { # @author Peter Carl and Kris Boudt Modified: pkg/PerformanceAnalytics/R/DRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/DRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/DRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -33,7 +33,7 @@ #' print(DRatio(managers['1996'])) #' print(DRatio(managers['1996',1])) #expected 0.0725 #' -#' @export +#' @export DRatio <- function (R, ...) { Modified: pkg/PerformanceAnalytics/R/DownsideDeviation.R =================================================================== --- pkg/PerformanceAnalytics/R/DownsideDeviation.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/DownsideDeviation.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -98,7 +98,7 @@ #' SemiVariance (managers[,1,drop=FALSE]) #' SemiVariance (managers[,1:6]) #calculated using method="subset" #' -#' @export +#' @export DownsideDeviation <- function (R, MAR = 0, method=c("full","subset"), ..., potential=FALSE) { # @author Peter Carl, Matthieu Lestel Modified: pkg/PerformanceAnalytics/R/DownsideFrequency.R =================================================================== --- pkg/PerformanceAnalytics/R/DownsideFrequency.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/DownsideFrequency.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -30,7 +30,7 @@ #' print(DownsideFrequency(managers['1996'])) #' print(DownsideFrequency(managers['1996',1])) #expected 0.25 #' -#' @export +#' @export DownsideFrequency <- function (R, MAR = 0, ...) { Modified: pkg/PerformanceAnalytics/R/DrawdownPeak.R =================================================================== --- pkg/PerformanceAnalytics/R/DrawdownPeak.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/DrawdownPeak.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -9,7 +9,7 @@ #' @author Matthieu Lestel #' ###keywords ts multivariate distribution models -### #' @export +### #' @export DrawdownPeak <- function (R, ...) { Modified: pkg/PerformanceAnalytics/R/Drawdowns.R =================================================================== --- pkg/PerformanceAnalytics/R/Drawdowns.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/Drawdowns.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -1,4 +1,4 @@ -#' @export +#' @export #' @rdname chart.Drawdown Drawdowns <- function (R, geometric = TRUE, ...) Modified: pkg/PerformanceAnalytics/R/FamaBeta.R =================================================================== --- pkg/PerformanceAnalytics/R/FamaBeta.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/FamaBeta.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -27,7 +27,7 @@ #' print(FamaBeta(managers['1996',1], managers['1996',8])) #' print(FamaBeta(managers['1996',1:5], managers['1996',8])) #' -#' @export +#' @export FamaBeta <- function (Ra, Rb, ...) { Modified: pkg/PerformanceAnalytics/R/Frequency.R =================================================================== --- pkg/PerformanceAnalytics/R/Frequency.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/Frequency.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -15,7 +15,7 @@ #' data(managers) #' print(Frequency(managers['1996',1:5])) #' -#' @export +#' @export Frequency <- function (R, ...) { Modified: pkg/PerformanceAnalytics/R/Kappa.R =================================================================== --- pkg/PerformanceAnalytics/R/Kappa.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/Kappa.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -47,7 +47,7 @@ #' print(Kappa(managers['1996'], MAR, l)) #' print(Kappa(managers['1996',1], MAR, l)) #expected 1.493 #' -#' @export +#' @export Kappa <- function (R, MAR, l, ...) { Modified: pkg/PerformanceAnalytics/R/M2Sortino.R =================================================================== --- pkg/PerformanceAnalytics/R/M2Sortino.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/M2Sortino.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -30,7 +30,7 @@ #' print(MSquaredExcess(managers['1996',1], managers['1996',8], MAR)) #' print(MSquaredExcess(managers['1996',1:5], managers['1996',8], MAR)) #' -#' @export +#' @export M2Sortino <- function (Ra, Rb, MAR = 0, ...) { Modified: pkg/PerformanceAnalytics/R/MSquared.R =================================================================== --- pkg/PerformanceAnalytics/R/MSquared.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/MSquared.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -29,7 +29,7 @@ #' print(MSquared(managers['1996',1], managers['1996',8])) #' print(MSquared(managers['1996',1:5], managers['1996',8])) #' -#' @export +#' @export MSquared <- function (Ra, Rb, Rf = 0, ...) { Modified: pkg/PerformanceAnalytics/R/MSquaredExcess.R =================================================================== --- pkg/PerformanceAnalytics/R/MSquaredExcess.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/MSquaredExcess.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -31,7 +31,7 @@ #' MSquaredExcess(managers['1996',1], managers['1996',8]) #' MSquaredExcess(managers['1996',1:5], managers['1996',8]) #' -#' @export +#' @export MSquaredExcess <- function (Ra, Rb, Rf = 0, Method = c("geometric", "arithmetic"), ...) { Modified: pkg/PerformanceAnalytics/R/MartinRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/MartinRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/MartinRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -27,7 +27,7 @@ #' print(MartinRatio(managers['1996'])) #' print(MartinRatio(managers['1996',1])) #' -#' @export +#' @export MartinRatio <- function (R, Rf = 0, ...) Modified: pkg/PerformanceAnalytics/R/MeanAbsoluteDeviation.R =================================================================== --- pkg/PerformanceAnalytics/R/MeanAbsoluteDeviation.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/MeanAbsoluteDeviation.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -24,7 +24,7 @@ #' print(MeanAbsoluteDeviation(managers['1996'])) #' print(MeanAbsoluteDeviation(managers['1996',1])) #' -#' @export +#' @export MeanAbsoluteDeviation <- function (R, ...) { Modified: pkg/PerformanceAnalytics/R/Modigliani.R =================================================================== --- pkg/PerformanceAnalytics/R/Modigliani.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/Modigliani.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -32,7 +32,7 @@ #' Modigliani(managers[,1:6], managers[,8,drop=FALSE], managers[,8,drop=FALSE]) #' Modigliani(managers[,1:6], managers[,8:7], managers[,8,drop=FALSE]) #' -#' @export +#' @export Modigliani <- function (Ra, Rb, Rf=0, ...) { # @author Andrii Babii, Brian G. Peterson Ra = checkData(Ra) Modified: pkg/PerformanceAnalytics/R/NetSelectivity.R =================================================================== --- pkg/PerformanceAnalytics/R/NetSelectivity.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/NetSelectivity.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -30,7 +30,7 @@ #' print(NetSelectivity(managers['1996',1], managers['1996',8])) #' print(NetSelectivity(managers['1996',1:5], managers['1996',8])) #' -#' @export +#' @export NetSelectivity <- function (Ra, Rb, Rf = 0, ...) Modified: pkg/PerformanceAnalytics/R/OmegaExcessReturn.R =================================================================== --- pkg/PerformanceAnalytics/R/OmegaExcessReturn.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/OmegaExcessReturn.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -31,7 +31,7 @@ #' print(OmegaExcessReturn(managers['1996',1], managers['1996',8], MAR)) #' print(OmegaExcessReturn(managers['1996',1:5], managers['1996',8], MAR)) #' -#' @export +#' @export OmegaExcessReturn <- function (Ra, Rb, MAR = 0, ...) Modified: pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -33,7 +33,7 @@ #' print(OmegaSharpeRatio(managers['1996'], MAR)) #' print(OmegaSharpeRatio(managers['1996',1], MAR)) #expected 3.60 #' -#' @export +#' @export OmegaSharpeRatio <- function (R, MAR = 0, ...) { Modified: pkg/PerformanceAnalytics/R/PainIndex.R =================================================================== --- pkg/PerformanceAnalytics/R/PainIndex.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/PainIndex.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -32,7 +32,7 @@ #' print(PainIndex(100*managers['1996'])) #' print(PainIndex(100*managers['1996',1])) #' -#' @export +#' @export PainIndex <- function (R, ...) Modified: pkg/PerformanceAnalytics/R/PainRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/PainRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/PainRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -27,7 +27,7 @@ #' print(PainRatio(managers['1996'])) #' print(PainRatio(managers['1996',1])) #' -#' @export +#' @export PainRatio <- function (R, Rf = 0, ...) Modified: pkg/PerformanceAnalytics/R/ProspectRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/ProspectRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/ProspectRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -27,7 +27,7 @@ #' print(ProspectRatio(managers['1996'], MAR)) #' print(ProspectRatio(managers['1996',1], MAR)) #' -#' @export +#' @export ProspectRatio <- function (R, MAR, ...) { Modified: pkg/PerformanceAnalytics/R/Return.calculate.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.calculate.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/Return.calculate.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -82,7 +82,7 @@ } #' @rdname Return.calculate -#' @export +#' @export CalculateReturns <- function(prices, method = c("discrete","log")) { # @ author Peter Carl Modified: pkg/PerformanceAnalytics/R/Return.portfolio.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.portfolio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/Return.portfolio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -136,7 +136,7 @@ #' chart.StackedBar(x$BOP.Value) #' #' @rdname Return.portfolio -#' @export Return.portfolio +#' @export Return.portfolio #' @export Return.rebalancing Return.portfolio <- Return.rebalancing <- function(R, weights=NULL, Modified: pkg/PerformanceAnalytics/R/Selectivity.R =================================================================== --- pkg/PerformanceAnalytics/R/Selectivity.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/Selectivity.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -27,7 +27,7 @@ #' print(Selectivity(managers['1996',1], managers['1996',8])) #' print(Selectivity(managers['1996',1:5], managers['1996',8])) #' -#' @export +#' @export Selectivity <- function (Ra, Rb, Rf = 0, ...) Modified: pkg/PerformanceAnalytics/R/SharpeRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/SharpeRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/SharpeRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -73,9 +73,8 @@ #' SharpeRatio(managers[,1:9], Rf = managers[,10,drop=FALSE]) #' SharpeRatio(edhec,Rf = .04/12) #' -#' @export +#' @export #' @rdname SharpeRatio -#' SharpeRatio <- function (R, Rf = 0, p = 0.95, FUN=c("StdDev", "VaR","ES"), weights=NULL, annualize = FALSE , ...) { # @author Brian G. Peterson @@ -172,7 +171,7 @@ return (result) } -#' @export +#' @export #' @rdname SharpeRatio SharpeRatio.modified <- function (R, Rf = 0, p = 0.95, FUN=c("StdDev", "VaR","ES"), weights=NULL, ...) { Modified: pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -27,7 +27,7 @@ #' print(SkewnessKurtosisRatio(managers['1996'])) #' print(SkewnessKurtosisRatio(managers['1996',1])) #' -#' @export +#' @export SkewnessKurtosisRatio <- function (R, ...) { Modified: pkg/PerformanceAnalytics/R/SpecificRisk.R =================================================================== --- pkg/PerformanceAnalytics/R/SpecificRisk.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/SpecificRisk.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -23,7 +23,7 @@ #' print(SpecificRisk(managers['1996',1], managers['1996',8])) #' print(SpecificRisk(managers['1996',1:5], managers['1996',8])) #' -#' @export +#' @export SpecificRisk <- function (Ra, Rb, Rf = 0, ...) { Modified: pkg/PerformanceAnalytics/R/SystematicRisk.R =================================================================== --- pkg/PerformanceAnalytics/R/SystematicRisk.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/SystematicRisk.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -32,7 +32,7 @@ #' print(SystematicRisk(managers['1996',1], managers['1996',8])) #' print(SystematicRisk(managers['1996',1:5], managers['1996',8])) #' -#' @export +#' @export SystematicRisk <- function (Ra, Rb, Rf = 0, scale = NA, ...) { Modified: pkg/PerformanceAnalytics/R/TotalRisk.R =================================================================== --- pkg/PerformanceAnalytics/R/TotalRisk.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/TotalRisk.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -26,7 +26,7 @@ #' print(TotalRisk(managers['1996',1], managers['1996',8])) #' print(TotalRisk(managers['1996',1:5], managers['1996',8])) #' -#' @export +#' @export TotalRisk <- function (Ra, Rb, Rf = 0, ...) { Modified: pkg/PerformanceAnalytics/R/UpsideFrequency.R =================================================================== --- pkg/PerformanceAnalytics/R/UpsideFrequency.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/UpsideFrequency.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -30,7 +30,7 @@ #' print(UpsideFrequency(managers['1996'])) #' print(UpsideFrequency(managers['1996',1])) #expected 0.75 #' -#' @export +#' @export UpsideFrequency <- function (R, MAR = 0, ...) { Modified: pkg/PerformanceAnalytics/R/UpsideRisk.R =================================================================== --- pkg/PerformanceAnalytics/R/UpsideRisk.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/UpsideRisk.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -49,7 +49,7 @@ #' print(UpsideRisk(managers['1996'], MAR, stat="risk")) #' print(UpsideRisk(managers['1996',1], MAR, stat="risk")) #expected 1.820 #' -#' @export +#' @export UpsideRisk <- function (R, MAR = 0, method=c("full","subset"), stat=c("risk","variance","potential"), ...) Modified: pkg/PerformanceAnalytics/R/VolatilitySkewness.R =================================================================== --- pkg/PerformanceAnalytics/R/VolatilitySkewness.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/VolatilitySkewness.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -36,7 +36,7 @@ #'# print(VolatilitySkewness(managers['1996'], MAR, stat="volatility")) #' print(VolatilitySkewness(managers['1996',1], MAR, stat="volatility")) #' -#' @export +#' @export VolatilitySkewness <- function (R, MAR = 0, stat=c("volatility", "variability"), ...) Modified: pkg/PerformanceAnalytics/R/apply.fromstart.R =================================================================== --- pkg/PerformanceAnalytics/R/apply.fromstart.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/apply.fromstart.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -22,7 +22,6 @@ #' apply.fromstart(managers[,1,drop=FALSE], FUN="mean", width=36) #' #' @export -#' apply.fromstart <- function (R, FUN = "mean" , gap = 1, ...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/apply.rolling.R =================================================================== --- pkg/PerformanceAnalytics/R/apply.rolling.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/apply.rolling.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -26,7 +26,6 @@ #' apply.rolling(managers[,1,drop=FALSE], FUN="mean", width=36) #' #' @export -#' apply.rolling <- function (R, width, trim = TRUE, gap = 12, by = 1, FUN = "mean", ...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.ACF.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.ACF.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.ACF.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -30,7 +30,7 @@ #' data(edhec) #' chart.ACFplus(edhec[,1,drop=FALSE]) #' -#' @export +#' @export chart.ACF <- function(R, maxlag = NULL, elementcolor = "gray", main = NULL, ...) { # @author David Stoffer and Robert Shumway # @modifiedby Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.ACFplus.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.ACFplus.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.ACFplus.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -1,5 +1,5 @@ #' @rdname chart.ACF -#' @export +#' @export chart.ACFplus <- function(R, maxlag = NULL, elementcolor = "gray", main = NULL, ...) { # @author David Stoffer and Robert Shumway # @modifiedby Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.Bar.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.Bar.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.Bar.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -31,7 +31,7 @@ #' data(edhec) #' chart.Bar(edhec[,"Funds of Funds"], main="Monthly Returns") #' -#' @export +#' @export chart.Bar <- function (R, legend.loc = NULL, colorset = (1:12), ...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.Boxplot.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.Boxplot.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.Boxplot.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -46,7 +46,7 @@ #' chart.Boxplot(edhec) #' chart.Boxplot(edhec,as.Tufte=TRUE) #' -#' @export +#' @export chart.Boxplot <- function (R, names = TRUE, as.Tufte = FALSE, sort.by = c(NULL, "mean", "median", "variance"), colorset = "black", symbol.color = "red", mean.symbol = 1, median.symbol = "|", outlier.symbol = 1, show.data = NULL, add.mean = TRUE, sort.ascending = FALSE, xlab="Return", main = "Return Distribution Comparison", element.color = "darkgray", ...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.CaptureRatios.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.CaptureRatios.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.CaptureRatios.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -45,7 +45,7 @@ #' data(managers) #' chart.CaptureRatios(managers[,1:6], managers[,7,drop=FALSE]) #' -#' @export +#' @export chart.CaptureRatios <- function (Ra, Rb, main = "Capture Ratio", add.names = TRUE, xlab = "Downside Capture", ylab = "Upside Capture", colorset = 1, symbolset = 1, legend.loc = NULL, xlim = NULL, ylim = NULL, cex.legend = 1, cex.axis=0.8, cex.main = 1, cex.lab = 1, element.color="darkgray", benchmark.color = "darkgray",...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.Correlation.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.Correlation.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.Correlation.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -23,7 +23,7 @@ #' data(managers) #' chart.Correlation(managers[,1:8], histogram=TRUE, pch="+") #' -#' @export +#' @export chart.Correlation <- function (R, histogram = TRUE, method=c("pearson", "kendall", "spearman"), ...) { # @author R Development Core Team Modified: pkg/PerformanceAnalytics/R/chart.CumReturns.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.CumReturns.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.CumReturns.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -34,7 +34,7 @@ #' chart.CumReturns(managers,main="Cumulative Returns",begin="first") #' chart.CumReturns(managers,main="Cumulative Returns",begin="axis") #' -#' @export +#' @export chart.CumReturns <- function (R, wealth.index = FALSE, geometric = TRUE, legend.loc = NULL, colorset = (1:12), begin = c("first","axis"), ...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.Drawdown.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.Drawdown.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.Drawdown.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -35,7 +35,7 @@ #' main="Drawdown from Peak Equity Attained", #' legend.loc="bottomleft") #' @aliases Drawdowns -#' @export +#' @export chart.Drawdown <- function (R, geometric = TRUE, legend.loc = NULL, colorset = (1:12), ...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.ECDF.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.ECDF.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.ECDF.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -37,7 +37,7 @@ #' chart.ECDF(edhec[, 1, drop=FALSE]) #' #' -#' @export +#' @export chart.ECDF <- function(R, main = "Empirical CDF", xlab="x", ylab="F(x)", colorset = c("black", "#005AFF"), lwd = 1, lty = c(1,1), element.color = "darkgray", xaxis=TRUE, yaxis=TRUE, ...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.QQPlot.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.QQPlot.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.QQPlot.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -93,7 +93,7 @@ #' } #' #end examples #' -#' @export +#' @export chart.QQPlot <- function(R, distribution="norm", ylab=NULL, xlab=paste(distribution, "Quantiles"), main=NULL, las=par("las"), Modified: pkg/PerformanceAnalytics/R/chart.Regression.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.Regression.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.Regression.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -51,7 +51,7 @@ #' excess.returns = TRUE, fit = c("loess", "linear"), #' legend.loc = "topleft") #' -#' @export +#' @export chart.Regression <- function (Ra, Rb, Rf = 0, excess.returns = FALSE, reference.grid = TRUE, main = "Title", ylab=NULL, xlab=NULL, xlim = NA, colorset = 1:12, symbolset = 1:12, element.color = "darkgray", legend.loc = NULL, ylog = FALSE, fit = c("loess", "linear", "conditional", "quadratic"), span = 2/3, degree = 1, family = c("symmetric", "gaussian"), ylim = NA, evaluation = 50, legend.cex= 0.8, cex = 0.8, lwd = 2, ...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.RelativePerformance.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.RelativePerformance.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.RelativePerformance.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -40,7 +40,7 @@ #' colorset=rich8equal, legend.loc="bottomright", #' main="Relative Performance to S&P") #' -#' @export +#' @export chart.RelativePerformance <- function (Ra, Rb, main = "Relative Performance", xaxis = TRUE, colorset = (1:12), legend.loc = NULL, ylog = FALSE, elementcolor = "darkgray", lty = 1, cex.legend=.7, ...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.RiskReturnScatter.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.RiskReturnScatter.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.RiskReturnScatter.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -57,7 +57,7 @@ #' chart.RiskReturnScatter(edhec, Rf = .04/12) #' chart.RiskReturnScatter(edhec, Rf = .04/12, add.boxplots = TRUE) #' -#' @export +#' @export chart.RiskReturnScatter <- function (R, Rf = 0, main = "Annualized Return and Risk", add.names = TRUE, xlab = "Annualized Risk", ylab = "Annualized Return", method = "calc", geometric = TRUE, scale = NA, add.sharpe = c(1,2,3), add.boxplots = FALSE, colorset = 1, symbolset = 1, element.color = "darkgray", legend.loc = NULL, xlim = NULL, ylim = NULL, cex.legend = 1, cex.axis = 0.8, cex.main = 1, cex.lab = 1, ...) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.RollingCorrelation.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.RollingCorrelation.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.RollingCorrelation.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -29,7 +29,7 @@ #' colorset=rich8equal, legend.loc="bottomright", #' width=24, main = "Rolling 12-Month Correlation") #' -#' @export +#' @export chart.RollingCorrelation <- function (Ra, Rb, width = 12, xaxis = TRUE, legend.loc = NULL, colorset = (1:12), ..., fill=NA) { # @author Peter Carl Modified: pkg/PerformanceAnalytics/R/chart.RollingMean.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.RollingMean.R 2015-09-21 06:57:48 UTC (rev 3997) +++ pkg/PerformanceAnalytics/R/chart.RollingMean.R 2015-10-21 21:09:18 UTC (rev 3998) @@ -23,7 +23,7 @@ #' data(edhec) #' chart.RollingMean(edhec[, 9, drop = FALSE]) #' -#' @export +#' @export chart.RollingMean <- function (R, width = 12, xaxis = TRUE, ylim = NULL, lwd=c(2,1,1), ..., fill = NA) { # @author Peter Carl [TRUNCATED] To get the complete diff run: svnlook diff /svnroot/returnanalytics -r 3998 From noreply at r-forge.r-project.org Wed Oct 21 23:36:45 2015 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Wed, 21 Oct 2015 23:36:45 +0200 (CEST) Subject: [Returnanalytics-commits] r3999 - pkg/PerformanceAnalytics Message-ID: <20151021213645.BE428187C51@r-forge.r-project.org> Author: braverock Date: 2015-10-21 23:36:45 +0200 (Wed, 21 Oct 2015) New Revision: 3999 Modified: pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/NAMESPACE Log: - update after bugfix https://github.com/klutometis/roxygen/issues/406 in roxygen2 Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2015-10-21 21:09:18 UTC (rev 3998) +++ pkg/PerformanceAnalytics/DESCRIPTION 2015-10-21 21:36:45 UTC (rev 3999) @@ -12,7 +12,7 @@ , person(given="Kyle",family="Balkissoon",role="ctb") , person(given="Diethelm",family="Wuertz",role="ctb") ) -Version: 1.4.3998 +Version: 1.4.3999 Date: $Date$ Description: Collection of econometric functions for performance and risk analysis. This package aims to aid Modified: pkg/PerformanceAnalytics/NAMESPACE =================================================================== --- pkg/PerformanceAnalytics/NAMESPACE 2015-10-21 21:09:18 UTC (rev 3998) +++ pkg/PerformanceAnalytics/NAMESPACE 2015-10-21 21:36:45 UTC (rev 3999) @@ -4,7 +4,6 @@ S3method(textplot,data.frame) S3method(textplot,default) S3method(textplot,matrix) -export("") export(ActivePremium) export(ActiveReturn) export(AdjustedSharpeRatio) From noreply at r-forge.r-project.org Mon Oct 26 12:54:52 2015 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Mon, 26 Oct 2015 12:54:52 +0100 (CET) Subject: [Returnanalytics-commits] r4000 - in pkg/PerformanceAnalytics: . R man Message-ID: <20151026115453.07516187581@r-forge.r-project.org> Author: braverock Date: 2015-10-26 12:54:52 +0100 (Mon, 26 Oct 2015) New Revision: 4000 Modified: pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/R/HurstIndex.R pkg/PerformanceAnalytics/man/HurstIndex.Rd Log: - fix typo in HurstIndex documentation. Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2015-10-21 21:36:45 UTC (rev 3999) +++ pkg/PerformanceAnalytics/DESCRIPTION 2015-10-26 11:54:52 UTC (rev 4000) @@ -12,7 +12,7 @@ , person(given="Kyle",family="Balkissoon",role="ctb") , person(given="Diethelm",family="Wuertz",role="ctb") ) -Version: 1.4.3999 +Version: 1.4.4000 Date: $Date$ Description: Collection of econometric functions for performance and risk analysis. This package aims to aid Modified: pkg/PerformanceAnalytics/R/HurstIndex.R =================================================================== --- pkg/PerformanceAnalytics/R/HurstIndex.R 2015-10-21 21:36:45 UTC (rev 3999) +++ pkg/PerformanceAnalytics/R/HurstIndex.R 2015-10-26 11:54:52 UTC (rev 4000) @@ -30,10 +30,9 @@ #' @param \dots any other passthru parameters #' @references #' Clarkson, R. (2001) FARM: a financial actuarial risk model. In Chapter -#' 12 of Managing Downside Risk in Financial Markets, F. Sortino and S. +#' 12 of Managing Downside Risk in Financial Markets, ed. Sortino, F. +#' and Satchel, S. Woburn MA. Butterworth-Heinemann Finance. #' -#' Satchel. Butterworth-Heinemann Finance. -#' #' Peters, E.E (1991) Chaos and Order in Capital Markets, New York: Wiley. #' #' Bacon, Carl. (2008) Practical Portfolio Performance Measurement and Attribution, 2nd Edition. London: John Wiley & Sons. Modified: pkg/PerformanceAnalytics/man/HurstIndex.Rd =================================================================== --- pkg/PerformanceAnalytics/man/HurstIndex.Rd 2015-10-21 21:36:45 UTC (rev 3999) +++ pkg/PerformanceAnalytics/man/HurstIndex.Rd 2015-10-26 11:54:52 UTC (rev 4000) @@ -41,10 +41,9 @@ \references{ Clarkson, R. (2001) FARM: a financial actuarial risk model. In Chapter -12 of Managing Downside Risk in Financial Markets, F. Sortino and S. +12 of Managing Downside Risk in Financial Markets, ed. Sortino, F. +and Satchel, S. Woburn MA. Butterworth-Heinemann Finance. -Satchel. Butterworth-Heinemann Finance. - Peters, E.E (1991) Chaos and Order in Capital Markets, New York: Wiley. Bacon, Carl. (2008) Practical Portfolio Performance Measurement and Attribution, 2nd Edition. London: John Wiley & Sons.