[Uwgarp-commits] r75 - in pkg/GARPFRM: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Feb 8 19:22:30 CET 2014
Author: tfillebeen
Date: 2014-02-08 19:22:29 +0100 (Sat, 08 Feb 2014)
New Revision: 75
Removed:
pkg/GARPFRM/man/chartSML.Rd
Modified:
pkg/GARPFRM/DESCRIPTION
pkg/GARPFRM/R/EWMA.R
pkg/GARPFRM/man/CAPM.Rd
pkg/GARPFRM/man/EWMA.Rd
pkg/GARPFRM/man/garch11.Rd
pkg/GARPFRM/man/getAlphas.Rd
pkg/GARPFRM/man/getBetas.Rd
pkg/GARPFRM/man/getCor.Rd
pkg/GARPFRM/man/getCov.Rd
pkg/GARPFRM/man/getStatistics.Rd
pkg/GARPFRM/man/hypTest.Rd
pkg/GARPFRM/man/monteCarlo.Rd
Log:
Conflict resolution
Modified: pkg/GARPFRM/DESCRIPTION
===================================================================
--- pkg/GARPFRM/DESCRIPTION 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/DESCRIPTION 2014-02-08 18:22:29 UTC (rev 75)
@@ -13,8 +13,3 @@
Suggests:
quadprog
License: GPL
-Collate:
- 'EWMA.R'
- 'capm.R'
- 'garch11.R'
- 'monte_carlo.R'
Modified: pkg/GARPFRM/R/EWMA.R
===================================================================
--- pkg/GARPFRM/R/EWMA.R 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/R/EWMA.R 2014-02-08 18:22:29 UTC (rev 75)
@@ -67,11 +67,9 @@
names(estEWMA) <- index(testR)
# Add R as a separate element to object to return
- # Do we want to return the entire R object or just testR?
out <- list(EWMA=estEWMA, R=R)
# Check correlation option
- # use proper indentation, makes it easier to read
if(cor & ncol(R) > 1) {
out$EWMA <- lapply(out$EWMA, cov2cor)
class(out) <- c("EWMACor")
@@ -80,7 +78,6 @@
}
# Check for Covar or Var
- # use proper indentation, makes it easier to read
if((cor == FALSE) & (ncol(R) > 1)) {
class(out) <- c("EWMACovar")
} else if ((cor == FALSE) & (ncol(R) == 1)){
Modified: pkg/GARPFRM/man/CAPM.Rd
===================================================================
--- pkg/GARPFRM/man/CAPM.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/CAPM.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -2,7 +2,7 @@
\alias{CAPM}
\title{Capital Asset Pricing Model}
\usage{
- CAPM(R, Rmkt)
+CAPM(R, Rmkt)
}
\arguments{
\item{R}{asset returns}
@@ -10,8 +10,10 @@
\item{Rmkt}{market returns}
}
\description{
- Description of CAPM Retrieves alphas, betas, as well as
- pvalue and tstats
+Description of CAPM Retrieves alphas, betas, as well as
+pvalue and tstats. The Model is used to determine a
+theoretically appropriate rate of return of an asset's
+non-diversifiable risk.
}
\examples{
data(crsp.short)
Modified: pkg/GARPFRM/man/EWMA.Rd
===================================================================
--- pkg/GARPFRM/man/EWMA.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/EWMA.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -2,7 +2,7 @@
\alias{EWMA}
\title{Exponential Weighted Moving Average (EWMA)}
\usage{
- EWMA(R, lambda = 0.94, initialWindow = 10, cor = FALSE)
+EWMA(R, lambda = 0.94, initialWindow = 10, cor = FALSE)
}
\arguments{
\item{R}{}
@@ -14,7 +14,7 @@
\item{correlation}{option (cor by default = FALSE)}
}
\description{
- Description of EWMA. The function handles UV and MLM
- objects and returns either cov/cor.
+Description of EWMA. The function handles UV and MLM
+objects and returns either cov/cor.
}
Deleted: pkg/GARPFRM/man/chartSML.Rd
===================================================================
--- pkg/GARPFRM/man/chartSML.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/chartSML.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -1,14 +0,0 @@
-\name{chartSML}
-\alias{chartSML}
-\title{CAPM SML}
-\usage{
- chartSML(object)
-}
-\arguments{
- \item{object}{a capm object created by
- \code{\link{CAPM}}}
-}
-\description{
- Description of CAPM Security Market Line (SML)
-}
-
Modified: pkg/GARPFRM/man/garch11.Rd
===================================================================
--- pkg/GARPFRM/man/garch11.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/garch11.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -2,7 +2,7 @@
\alias{garch11}
\title{GARCH(1,1)}
\usage{
- garch11(R, model = "sGarch", distribution.model = "norm")
+garch11(R, model = "sGarch", distribution.model = "norm")
}
\arguments{
\item{R}{GARCH(1,1)}
@@ -20,6 +20,6 @@
“jsu” for Johnson's SU distribution.}
}
\description{
- Description of GARCH(1,1)
+Description of GARCH(1,1)
}
Modified: pkg/GARPFRM/man/getAlphas.Rd
===================================================================
--- pkg/GARPFRM/man/getAlphas.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/getAlphas.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -2,13 +2,14 @@
\alias{getAlphas}
\title{CAPM alphas}
\usage{
- getAlphas(object)
+getAlphas(object)
}
\arguments{
\item{object}{a capm object created by
\code{\link{CAPM}}}
}
\description{
- Description of CAPM alphas
+Description of CAPM alphas: retrieves alpha (intercept)
+from CAPM object.
}
Modified: pkg/GARPFRM/man/getBetas.Rd
===================================================================
--- pkg/GARPFRM/man/getBetas.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/getBetas.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -2,13 +2,14 @@
\alias{getBetas}
\title{CAPM betas}
\usage{
- getBetas(object)
+getBetas(object)
}
\arguments{
\item{object}{a capm object created by
\code{\link{CAPM}}}
}
\description{
- Description of CAPM betas
+Description of CAPM betas: retrieves beta (slope) from CAPM
+object.
}
Modified: pkg/GARPFRM/man/getCor.Rd
===================================================================
--- pkg/GARPFRM/man/getCor.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/getCor.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -2,13 +2,13 @@
\alias{getCor}
\title{EWMA Correlation}
\usage{
- getCor(object, asset1, asset2)
+getCor(object, asset1, asset2)
}
\arguments{
\item{object}{a EWMA object created by
\code{\link{EWMA}}}
}
\description{
- Description of EWMA Correlation, requires two assets
+Description of EWMA Correlation, requires two assets
}
Modified: pkg/GARPFRM/man/getCov.Rd
===================================================================
--- pkg/GARPFRM/man/getCov.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/getCov.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -2,13 +2,13 @@
\alias{getCov}
\title{EWMA Volatility/Cross-Volatility}
\usage{
- getCov(object, asset1, asset2)
+getCov(object, asset1, asset2)
}
\arguments{
\item{object}{a EWMA object created by
\code{\link{EWMA}}}
}
\description{
- Description of EWMA Vola
+Description of EWMA Vola
}
Modified: pkg/GARPFRM/man/getStatistics.Rd
===================================================================
--- pkg/GARPFRM/man/getStatistics.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/getStatistics.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -2,14 +2,14 @@
\alias{getStatistics}
\title{CAPM statistics}
\usage{
- getStatistics(object)
+getStatistics(object)
}
\arguments{
\item{object}{a capm object created by
\code{\link{CAPM}}}
}
\description{
- Description of CAPM statistics (standard error, t-values,
- and p-values)
+Description of CAPM statistics: retrieves standard error,
+t-values, and p-values
}
Modified: pkg/GARPFRM/man/hypTest.Rd
===================================================================
--- pkg/GARPFRM/man/hypTest.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/hypTest.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -2,13 +2,15 @@
\alias{hypTest}
\title{CAPM hypTest}
\usage{
- hypTest(object, CI)
+hypTest(object, CI)
}
\arguments{
\item{object}{a capm object created by
\code{\link{CAPM}}}
}
\description{
- Description of CAPM beta/alpha hypothesis test
+Description of CAPM beta/alpha hypothesis test
+Generalization is termed a two-sided or two-tailed test.
+Returns a true (reject) or false (fail to reject).
}
Modified: pkg/GARPFRM/man/monteCarlo.Rd
===================================================================
--- pkg/GARPFRM/man/monteCarlo.Rd 2014-02-08 18:05:42 UTC (rev 74)
+++ pkg/GARPFRM/man/monteCarlo.Rd 2014-02-08 18:22:29 UTC (rev 75)
@@ -2,8 +2,8 @@
\alias{monteCarlo}
\title{Monte Carlo Price Path Simulation}
\usage{
- monteCarlo(mu, sigma, N = 100, Time = 1, steps = 52,
- starting_value = 100, log = TRUE)
+monteCarlo(mu, sigma, N = 100, Time = 1, steps = 52,
+ starting_value = 100, log = TRUE)
}
\arguments{
\item{mu}{annualized expected return}
@@ -22,10 +22,10 @@
rather than S; where S is the price of the asset.}
}
\value{
- matrix of Monte Carlo simulated price paths
+matrix of Monte Carlo simulated price paths
}
\description{
- Description for Monte Carlo. Geometric brownian motion.
- mu and sigma are assumed constant
+Description for Monte Carlo. Geometric brownian motion. mu
+and sigma are assumed constant
}
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