[Uwgarp-commits] r173 - in pkg/GARPFRM: . R man sandbox
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Jun 9 22:00:04 CEST 2014
Author: tfillebeen
Date: 2014-06-09 22:00:03 +0200 (Mon, 09 Jun 2014)
New Revision: 173
Added:
pkg/GARPFRM/R/discountFactorArbitrage.R
pkg/GARPFRM/R/riskMetricsAndHedges.R
pkg/GARPFRM/sandbox/principleComponent.R
pkg/GARPFRM/sandbox/test_discountFactorArbitrage.R
Modified:
pkg/GARPFRM/DESCRIPTION
pkg/GARPFRM/NAMESPACE
pkg/GARPFRM/man/CAPM.Rd
pkg/GARPFRM/man/EWMA.Rd
pkg/GARPFRM/man/backTestVaR.Rd
pkg/GARPFRM/man/backtestVaR.GARCH.Rd
pkg/GARPFRM/man/bootCor.Rd
pkg/GARPFRM/man/bootCov.Rd
pkg/GARPFRM/man/bootES.Rd
pkg/GARPFRM/man/bootFUN.Rd
pkg/GARPFRM/man/bootMean.Rd
pkg/GARPFRM/man/bootSD.Rd
pkg/GARPFRM/man/bootSimpleVolatility.Rd
pkg/GARPFRM/man/bootStdDev.Rd
pkg/GARPFRM/man/bootVaR.Rd
pkg/GARPFRM/man/chartSML.Rd
pkg/GARPFRM/man/efficientFrontier.Rd
pkg/GARPFRM/man/efficientFrontierTwoAsset.Rd
pkg/GARPFRM/man/endingPrices.Rd
pkg/GARPFRM/man/estimateLambdaCor.Rd
pkg/GARPFRM/man/estimateLambdaCov.Rd
pkg/GARPFRM/man/estimateLambdaVol.Rd
pkg/GARPFRM/man/forecast.Rd
pkg/GARPFRM/man/forecast.uvEWMAvol.Rd
pkg/GARPFRM/man/forecast.uvGARCH.Rd
pkg/GARPFRM/man/getAlphas.Rd
pkg/GARPFRM/man/getBetas.Rd
pkg/GARPFRM/man/getCor.Rd
pkg/GARPFRM/man/getCov.Rd
pkg/GARPFRM/man/getEstimate.Rd
pkg/GARPFRM/man/getFit.Rd
pkg/GARPFRM/man/getSpec.Rd
pkg/GARPFRM/man/getStatistics.Rd
pkg/GARPFRM/man/getVaREstimates.Rd
pkg/GARPFRM/man/getVaRViolations.Rd
pkg/GARPFRM/man/hypTest.Rd
pkg/GARPFRM/man/minVarPortfolio.Rd
pkg/GARPFRM/man/monteCarlo.Rd
pkg/GARPFRM/man/plot.EWMA.Rd
pkg/GARPFRM/man/plot.backtestVaR.Rd
pkg/GARPFRM/man/plot.capm_mlm.Rd
pkg/GARPFRM/man/plot.capm_uv.Rd
pkg/GARPFRM/man/plot.efTwoAsset.Rd
pkg/GARPFRM/man/plot.efficient.frontier.Rd
pkg/GARPFRM/man/plot.uvGARCH.Rd
pkg/GARPFRM/man/plotEndingPrices.Rd
pkg/GARPFRM/man/portReturnTwoAsset.Rd
pkg/GARPFRM/man/portSDTwoAsset.Rd
pkg/GARPFRM/man/realizedCor.Rd
pkg/GARPFRM/man/realizedCov.Rd
pkg/GARPFRM/man/realizedVol.Rd
pkg/GARPFRM/man/rollCor.Rd
pkg/GARPFRM/man/rollCov.Rd
pkg/GARPFRM/man/rollSD.Rd
pkg/GARPFRM/man/rollSimpleVolatility.Rd
pkg/GARPFRM/man/simpleVolatility.Rd
pkg/GARPFRM/man/tangentPortfolio.Rd
pkg/GARPFRM/man/uvGARCH.Rd
Log:
bond tests and functions + PCA, missing duration,convexity and lienar hedge. Also term structure has a mistake
Modified: pkg/GARPFRM/DESCRIPTION
===================================================================
--- pkg/GARPFRM/DESCRIPTION 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/DESCRIPTION 2014-06-09 20:00:03 UTC (rev 173)
@@ -17,15 +17,3 @@
PortfolioAnalytics (>= 0.9.0)
License: GPL
BuildVignettes: false
-Collate:
- 'backTestVaR.R'
- 'capm.R'
- 'EWMA.R'
- 'garch11.R'
- 'monte_carlo.R'
- 'efficient_frontier.R'
- 'rollFUN.R'
- 'volatility.R'
- 'boot.R'
- 'utils.R'
- 'generic_forecast.R'
Modified: pkg/GARPFRM/NAMESPACE
===================================================================
--- pkg/GARPFRM/NAMESPACE 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/NAMESPACE 2014-06-09 20:00:03 UTC (rev 173)
@@ -1,5 +1,36 @@
+S3method(forecast,uvEWMAvol)
+S3method(forecast,uvGARCH)
+S3method(getAlphas,capm_mlm)
+S3method(getAlphas,capm_uv)
+S3method(getBetas,capm_mlm)
+S3method(getBetas,capm_uv)
+S3method(getCor,mvEWMAcor)
+S3method(getCov,mvEWMAcov)
+S3method(getEstimate,EWMA)
+S3method(getEstimate,mvEWMAvol)
+S3method(getFit,uvGARCH)
+S3method(getSpec,uvGARCH)
+S3method(getStatistics,capm_mlm)
+S3method(getStatistics,capm_uv)
+S3method(hypTest,capm_mlm)
+S3method(hypTest,capm_uv)
+S3method(plot,EWMA)
+S3method(plot,MonteCarlo)
+S3method(plot,backtestVaR)
+S3method(plot,capm_mlm)
+S3method(plot,capm_uv)
+S3method(plot,efTwoAsset)
+S3method(plot,efficient.frontier)
+S3method(print,EWMA)
+S3method(print,backtestVaR)
+S3method(print,mvEWMAvol)
+export(CAPM)
+export(EWMA)
+export(backtestVaR)
export(backtestVaR.GARCH)
-export(backtestVaR)
+export(bondFullPrice)
+export(bondPrice)
+export(bondSpec)
export(bootCor)
export(bootCov)
export(bootES)
@@ -9,15 +40,15 @@
export(bootSimpleVolatility)
export(bootStdDev)
export(bootVaR)
-export(CAPM)
export(chartSML)
+export(compoundingRate)
+export(discountFactor)
export(efficientFrontier)
export(efficientFrontierTwoAsset)
export(endingPrices)
export(estimateLambdaCor)
export(estimateLambdaCov)
export(estimateLambdaVol)
-export(EWMA)
export(forecast)
export(getAlphas)
export(getBetas)
@@ -30,6 +61,7 @@
export(getVaREstimates)
export(getVaRViolations)
export(hypTest)
+export(is.bond)
export(minVarPortfolio)
export(monteCarlo)
export(plotEndingPrices)
@@ -45,29 +77,3 @@
export(simpleVolatility)
export(tangentPortfolio)
export(uvGARCH)
-S3method(forecast,uvEWMAvol)
-S3method(forecast,uvGARCH)
-S3method(getAlphas,capm_mlm)
-S3method(getAlphas,capm_uv)
-S3method(getBetas,capm_mlm)
-S3method(getBetas,capm_uv)
-S3method(getCor,mvEWMAcor)
-S3method(getCov,mvEWMAcov)
-S3method(getEstimate,EWMA)
-S3method(getEstimate,mvEWMAvol)
-S3method(getFit,uvGARCH)
-S3method(getSpec,uvGARCH)
-S3method(getStatistics,capm_mlm)
-S3method(getStatistics,capm_uv)
-S3method(hypTest,capm_mlm)
-S3method(hypTest,capm_uv)
-S3method(plot,backtestVaR)
-S3method(plot,capm_mlm)
-S3method(plot,capm_uv)
-S3method(plot,efficient.frontier)
-S3method(plot,efTwoAsset)
-S3method(plot,EWMA)
-S3method(plot,MonteCarlo)
-S3method(print,backtestVaR)
-S3method(print,EWMA)
-S3method(print,mvEWMAvol)
Added: pkg/GARPFRM/R/discountFactorArbitrage.R
===================================================================
--- pkg/GARPFRM/R/discountFactorArbitrage.R (rev 0)
+++ pkg/GARPFRM/R/discountFactorArbitrage.R 2014-06-09 20:00:03 UTC (rev 173)
@@ -0,0 +1,185 @@
+# Ch 6 Prices, Discount Factors, and Arbitrage (Law of one Price)
+# The Cash Flows from Fixed-Rate Government Coupon Bonds, Discount Faors, Law of One Price
+# Arbitrage opportunity: trade that generates profits without any chance of losing money.
+# If there is a deviation from the law of one price, there exists an arbitrage opportunity.
+# In order to estimate the discount factor for a particular term gives the value today,
+# or the present alue of one unit of currency to be received at the end of that term.(Pg.129)
+
+#' Constructor for bond specification
+#'
+#' Created a bond object \code{bond.spec} with data for bond specification.
+#'
+#' @param time vector of sequence of coupon payments in years
+#' @param face face value of bond
+#' @param m compounding frequency
+#' @param couponRate rate the coupon pays
+#' @return a \code{bond} object with the bond data used for pricing
+#' @author TF
+#' @export
+bondSpec = function(time, face=100, m=2, couponRate=0.01){
+ if(!all(diff(time) == (1/m))) stop("misspecification of sequence of time and compounding frequency")
+ bond = list()
+ bond$m = m
+ bond$couponRate = couponRate
+ bond$face = face
+ bond$time = time
+ class(bond) = c("bond.spec", "bond")
+ return(bond)
+}
+
+#' To determine if user is specifying bond parameters correctly
+#'
+#' @param object a capm object created by \code{\link{bond.spec}}
+#' @author TF
+#' @export
+is.bond = function(object){
+ inherits(object, "bond.spec")
+}
+
+#' Estimate price of bond
+#'
+#' This function calculates the price of a fixed rate coupon bond given the
+#' discount curve and bond data. First it converts the discountCurve into CF
+#' @param bond a \code{discountFactorArbitrage} object
+#' @param discountCurve vector of discount rates
+#' @return price of the bond
+#' @author TF
+#' @export
+bondPrice = function(bond, discountCurve){
+ if(!is.bond(bond)) stop("bond must be an object of class 'bond'")
+ # Number of periods in discount curve
+ nDC <- length(discountCurve)
+ m <- bond$m
+ couponRate <- bond$couponRate
+ face <- bond$face
+ time <- bond$time
+
+ couponAmount <- face * couponRate / m
+ cashflows <- rep(couponAmount, nDC)
+ cashflows[nDC] <- couponAmount + face
+ price <- sum(cashflows * discountCurve)
+ return(price)
+}
+
+#' Estimate discountFactor
+#'
+#' This function calculates the discountFactor (DF) given price
+#' and cashFlows.
+#' @param bond a \code{discountFactorArbitrage} object
+#' @param price of a bond
+#' @return cashFlow of a bond
+#' @author TF
+#' @export
+discountFactor = function(price, cashFlow){
+ DF = solve(cashFlow) %*% price
+ return(DF)
+}
+
+#' Estimate price of bond w/ acrrued interest
+#'
+#' This function calculates the price of a fixed rate coupon bond given coupon rate, yield,
+#' compoundPd, cashFlowPd, face value, previous coupon date, next coupon date.
+#' @param couponRate is the coupon rate
+#' @param yield is the yield on the bond
+#' @param compoundPd coumpounding period
+#' @param cashFlowPd cash flow period
+#' @param face face value
+#' @param t0 previous coupon date
+#' @param t1 next coupon period
+#' @param currentDate current date
+#' @return price of the bond: clean, dirty and accrued interest
+#' @author TF
+#' @export
+bondFullPrice = function(couponRate, yield, compoundPd, cashFlowPd, face=100, t0, t1, currentDate){
+ # Apply a general dayCount (weekend included)
+ d1 = as.numeric(t1-currentDate)
+ d2 = as.numeric(t1-t0)
+ # Initialize
+ tmp = 0
+ for(k in 1:(cashFlowPd-1)){
+ tmp = tmp + ((couponRate / compoundPd * face) / ((1 + yield/compoundPd)^k))
+ }
+ # Calculate dirty price based on partial periods formula
+ dirtyP = (1 / ((1 + yield / compoundPd)^(d1/d2))) * (couponRate / compoundPd * face + tmp + face / ((1 + yield/compoundPd)^(cashFlowPd-1)))
+ # Calculate accruedInterest
+ aiDays = as.numeric(currentDate-t0)
+ couponDays = as.numeric(t1-t0)
+ ai = couponRate / compoundPd * face * aiDays / couponDays
+ cleanP = dirtyP - ai
+ return(list(dirty=dirtyP, clean=cleanP, accruedInterest=ai))
+}
+
+#' Estimate continuously conpounding rate to be used in term structure
+#'
+#' This function calculates the continuously compounding rate given an initial dataset
+#' with specific format, date of reference coumpounding frequency, and face value
+#' @param dat is a dataset with cusip, issueDate, MaturityDate, Name, Coupon, Bid/Ask
+#' @param intialDate is the date when the estimation should be conducted: date of reference
+#' @param m compounding frequency
+#' @param face face value
+#' @return continuously compounding rates
+#' @author TF
+#' @export
+compoundingRate = function(dat, initialDate=as.Date("2000-05-15"), m, face=100){
+ # Convert the dates to a date class
+ dat[, "IssueDate"] = as.Date(dat[, "IssueDate"], format="%m/%d/%Y")
+ dat[, "MaturityDate"] = as.Date(dat[, "MaturityDate"], format="%m/%d/%Y")
+ # Convert the coupon column to a numeric
+ dat[, "Coupon"] = as.numeric(gsub("%", "", dat[, "Coupon"])) / 100
+ # Vector of prices
+ price = (dat[, "Bid"] + dat[, "Ask"]) / 2
+
+ # Generate cash flow dates for each bond
+ bondData = list()
+ for(i in 1:nrow(dat)){
+ maturityDate = dat[i, "MaturityDate"]
+ # Intialize a new list for every price, coupon, coupon date.
+ bondData[[i]] = list()
+ # Store price and the number of the coupon
+ bondData[[i]]$price = price[i]
+ bondData[[i]]$coupon = dat[i, "Coupon"]
+ # Remove initialDate
+ tmpSeq <- seq(from=initialDate, to=maturityDate, by="3 months")
+ bondData[[i]]$couponDates = tmpSeq[-1]
+ tmpDates = bondData[[i]]$couponDates
+ tmpCoupons = vector("numeric", length(tmpDates))
+ for(j in 1:length(tmpDates)){
+ tmpCoupons[j] = bondData[[i]]$coupon / m * face
+ if(j == length(tmpDates)){
+ tmpCoupons[j] = face + bondData[[i]]$coupon / m * face
+ }
+ }
+ bondData[[i]]$cashFlow = tmpCoupons
+ }
+ # Create a matrix of cash flows
+ CF = matrix(0, length(price), length(price))
+ # Populate the CF matrix
+ for(i in 1:nrow(CF)){
+ tmp = bondData[[i]]$cashFlow
+ index = 1:length(tmp)
+ CF[i, index] = tmp
+ }
+ # Utilize the discountFactor function
+ DF = discountFactor(price,CF)
+
+ dates = bondData[[nrow(dat)]]$couponDates
+ years = vector("numeric", length(dates))
+ for(i in 1:length(years)){
+ years[i] = (as.numeric(strftime(dates[i], "%Y")) + as.numeric(strftime(dates[i], "%m"))/12) - (as.numeric(strftime(initialDate, "%Y")) + as.numeric(strftime(initialDate, "%m"))/12)
+ }
+ # Calculate continuously compounded rates from discount factors
+ ccRate = vector("numeric", length(years))
+ for(i in 1:length(ccRate)){
+ ccRate[i] = - log(DF[i]) / years[i]
+ }
+ rate = list()
+ rate$years = years
+ rate$ccRate = ccRate
+ return(rate)
+}
+
+
+## Plot of continuously compounded spot rates
+#plot(x=years, y=ccRate, type="l", ylab="rate", xlab="Time to Maturity",
+# main="Term Structure of Spot Rates")
+#dev.off()
Added: pkg/GARPFRM/R/riskMetricsAndHedges.R
===================================================================
--- pkg/GARPFRM/R/riskMetricsAndHedges.R (rev 0)
+++ pkg/GARPFRM/R/riskMetricsAndHedges.R 2014-06-09 20:00:03 UTC (rev 173)
@@ -0,0 +1,4 @@
+# Convexity and Duration
+
+# linear hedge
+
Modified: pkg/GARPFRM/man/CAPM.Rd
===================================================================
--- pkg/GARPFRM/man/CAPM.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/CAPM.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{CAPM}
\title{Capital Asset Pricing Model}
\usage{
- CAPM(R, Rmkt)
+CAPM(R, Rmkt)
}
\arguments{
\item{R}{asset returns}
@@ -10,13 +10,13 @@
\item{Rmkt}{market returns}
}
\description{
- CAPM describes the relationship between risk and
- (expected) return
+CAPM describes the relationship between risk and (expected)
+return
}
\details{
- Retrieves alphas, betas, as well as pvalue and tstats.
- The CAPM is used to determine a theoretically appropriate
- rate of return of the non-diversifiable risk of an asset.
+Retrieves alphas, betas, as well as pvalue and tstats. The
+CAPM is used to determine a theoretically appropriate rate
+of return of the non-diversifiable risk of an asset.
}
\examples{
data(crsp.short)
@@ -31,6 +31,6 @@
tmp <- CAPM(R=R, Rmkt=MKT)
}
\author{
- Thomas Fillebeen
+Thomas Fillebeen
}
Modified: pkg/GARPFRM/man/EWMA.Rd
===================================================================
--- pkg/GARPFRM/man/EWMA.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/EWMA.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,8 +2,8 @@
\alias{EWMA}
\title{EWMA Model}
\usage{
- EWMA(R, lambda = 0.94, initialWindow = 10, n = 10,
- type = c("volatility", "covariance", "correlation"))
+EWMA(R, lambda = 0.94, initialWindow = 10, n = 10,
+ type = c("volatility", "covariance", "correlation"))
}
\arguments{
\item{R}{xts object of asset returns}
@@ -23,21 +23,21 @@
correlation.}
}
\value{
- an EWMA object with the following elements \itemize{
- \item \code{estimate} EWMA model estimated statistic
- \item \code{model} list with model parameters \item
- \code{data} list with original returns data and realized
- statistic if applicable }
+an EWMA object with the following elements \itemize{ \item
+\code{estimate} EWMA model estimated statistic \item
+\code{model} list with model parameters \item \code{data}
+list with original returns data and realized statistic if
+applicable }
}
\description{
- EWMA model to estimate volatility, covariance, and
- correlation
+EWMA model to estimate volatility, covariance, and
+correlation
}
\details{
- If lambda=NULL, the lambda value can be estimated for
- univariate estimates of volatility, covariance, and
- correlation by minimizing the mean squared error between
- the estimated value and realized value.
+If lambda=NULL, the lambda value can be estimated for
+univariate estimates of volatility, covariance, and
+correlation by minimizing the mean squared error between
+the estimated value and realized value.
}
\examples{
# data and parameters for EWMA estimate
@@ -78,6 +78,6 @@
cor_mv
}
\author{
- Ross Bennett and Thomas Fillebeen
+Ross Bennett and Thomas Fillebeen
}
Modified: pkg/GARPFRM/man/backTestVaR.Rd
===================================================================
--- pkg/GARPFRM/man/backTestVaR.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/backTestVaR.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,9 +2,8 @@
\alias{backtestVaR}
\title{Backtest Value-at-Risk (VaR)}
\usage{
- backtestVaR(R, window = 100, p = 0.95,
- method = "historical", bootstrap = FALSE,
- replications = 1000, bootParallel = FALSE)
+backtestVaR(R, window = 100, p = 0.95, method = "historical",
+ bootstrap = FALSE, replications = 1000, bootParallel = FALSE)
}
\arguments{
\item{R}{xts or zoo object of asset returns}
@@ -27,13 +26,12 @@
parallel, (default FALSE).}
}
\description{
- Backtesting Value-at-Risk estimate over a moving window.
+Backtesting Value-at-Risk estimate over a moving window.
}
\details{
- The size of the moving window is set with the
- \code{window} argument. For example, if the window size
- is 100, periods 1:100 are used to estimate the VaR level
- for period 101.
+The size of the moving window is set with the \code{window}
+argument. For example, if the window size is 100, periods
+1:100 are used to estimate the VaR level for period 101.
}
\examples{
data(crsp_weekly)
@@ -45,10 +43,10 @@
head(getVaRViolations(backtest))
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link[PerformanceAnalytics]{VaR}},
- \code{\link{bootVaR}}
+\code{\link[PerformanceAnalytics]{VaR}},
+\code{\link{bootVaR}}
}
Modified: pkg/GARPFRM/man/backtestVaR.GARCH.Rd
===================================================================
--- pkg/GARPFRM/man/backtestVaR.GARCH.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/backtestVaR.GARCH.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,8 +2,8 @@
\alias{backtestVaR.GARCH}
\title{GARCH Model VaR Backtest}
\usage{
- backtestVaR.GARCH(garch, p = c(0.95, 0.99), nAhead = 1,
- refitEvery = 25, window = 100)
+backtestVaR.GARCH(garch, p = c(0.95, 0.99), nAhead = 1, refitEvery = 25,
+ window = 100)
}
\arguments{
\item{garch}{uvGARCH object create via
@@ -20,13 +20,13 @@
VaR estimate.}
}
\description{
- Function for rolling estimate of GARCH model and VaR
- backtest
+Function for rolling estimate of GARCH model and VaR
+backtest
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link[rugarch]{ugarchroll}}
+\code{\link[rugarch]{ugarchroll}}
}
Modified: pkg/GARPFRM/man/bootCor.Rd
===================================================================
--- pkg/GARPFRM/man/bootCor.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/bootCor.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{bootCor}
\title{Bootstrap Correlation}
\usage{
- bootCor(R, ..., replications = 1000)
+bootCor(R, ..., replications = 1000)
}
\arguments{
\item{R}{xts object or matrix of asset returns}
@@ -13,8 +13,8 @@
\item{replications}{number of bootstrap replications.}
}
\description{
- Bootstrap the correlation of an xts object or matrix of
- asset returns
+Bootstrap the correlation of an xts object or matrix of
+asset returns
}
\examples{
data(crsp_weekly)
@@ -24,9 +24,9 @@
bootCor(R)
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link[stats]{cor}}
+\code{\link[stats]{cor}}
}
Modified: pkg/GARPFRM/man/bootCov.Rd
===================================================================
--- pkg/GARPFRM/man/bootCov.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/bootCov.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{bootCov}
\title{Bootstrap Covariance}
\usage{
- bootCov(R, ..., replications = 1000)
+bootCov(R, ..., replications = 1000)
}
\arguments{
\item{R}{xts object or matrix of asset returns}
@@ -13,8 +13,8 @@
\item{replications}{number of bootstrap replications.}
}
\description{
- Bootstrap the covariance of an xts object or matrix of
- asset returns
+Bootstrap the covariance of an xts object or matrix of
+asset returns
}
\examples{
data(crsp_weekly)
@@ -23,9 +23,9 @@
bootCov(R)
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link[stats]{cov}}
+\code{\link[stats]{cov}}
}
Modified: pkg/GARPFRM/man/bootES.Rd
===================================================================
--- pkg/GARPFRM/man/bootES.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/bootES.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{bootES}
\title{Bootstrap Expected Shortfall}
\usage{
- bootES(R, ..., replications = 1000)
+bootES(R, ..., replications = 1000)
}
\arguments{
\item{R}{xts object or matrix of asset returns}
@@ -13,8 +13,8 @@
\item{replications}{number of bootstrap replications.}
}
\description{
- Bootstrap the Expected Shortfall (ES) of an xts object or
- matrix of asset returns
+Bootstrap the Expected Shortfall (ES) of an xts object or
+matrix of asset returns
}
\examples{
data(crsp_weekly)
@@ -24,9 +24,9 @@
bootVaR(R, p=0.9, method="historical", invert=FALSE)
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link[PerformanceAnalytics]{ES}}
+\code{\link[PerformanceAnalytics]{ES}}
}
Modified: pkg/GARPFRM/man/bootFUN.Rd
===================================================================
--- pkg/GARPFRM/man/bootFUN.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/bootFUN.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{bootFUN}
\title{Bootstrap}
\usage{
- bootFUN(R, FUN = "mean", ..., replications = 1000)
+bootFUN(R, FUN = "mean", ..., replications = 1000)
}
\arguments{
\item{R}{xts object or matrix of data passed to
@@ -15,28 +15,27 @@
\item{replications}{number of bootstrap replications.}
}
\description{
- Bootstrap a function
+Bootstrap a function
}
\details{
- \code{R} is the data passed to \code{FUN}. \code{FUN}
- must have \code{x} or \code{R} as arguments for the data.
- For example, see the functions linked to in the 'See
- Also' section. Care must be taken when using
- \code{bootFUN} on multivariate data. This function is
- designed to only accept univariate (i.e. ncol(R) = 1)
- data, however is made to work with bivariate data for
- \code{bootCor} and \code{bootCov}. For multivariate data,
- a wrapper function should be written to apply the
- bootstrap function to each column of data.
+\code{R} is the data passed to \code{FUN}. \code{FUN} must
+have \code{x} or \code{R} as arguments for the data. For
+example, see the functions linked to in the 'See Also'
+section. Care must be taken when using \code{bootFUN} on
+multivariate data. This function is designed to only accept
+univariate (i.e. ncol(R) = 1) data, however is made to work
+with bivariate data for \code{bootCor} and \code{bootCov}.
+For multivariate data, a wrapper function should be written
+to apply the bootstrap function to each column of data.
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link{bootMean}}, \code{\link{bootSD}},
- \code{\link{bootStdDev}},
- \code{\link{bootSimpleVolatility}},
- \code{\link{bootCor}}, \code{\link{bootCov}},
- \code{\link{bootVaR}}, \code{\link{bootES}}
+\code{\link{bootMean}}, \code{\link{bootSD}},
+\code{\link{bootStdDev}},
+\code{\link{bootSimpleVolatility}}, \code{\link{bootCor}},
+\code{\link{bootCov}}, \code{\link{bootVaR}},
+\code{\link{bootES}}
}
Modified: pkg/GARPFRM/man/bootMean.Rd
===================================================================
--- pkg/GARPFRM/man/bootMean.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/bootMean.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{bootMean}
\title{Bootstrap Mean}
\usage{
- bootMean(R, ..., replications = 1000)
+bootMean(R, ..., replications = 1000)
}
\arguments{
\item{R}{xts object or matrix of asset returns}
@@ -13,8 +13,8 @@
\item{replications}{number of bootstrap replications.}
}
\description{
- Bootstrap the mean of an xts object or matrix of asset
- returns
+Bootstrap the mean of an xts object or matrix of asset
+returns
}
\examples{
data(crsp_weekly)
@@ -23,9 +23,9 @@
bootMean(R)
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link[base]{mean}}
+\code{\link[base]{mean}}
}
Modified: pkg/GARPFRM/man/bootSD.Rd
===================================================================
--- pkg/GARPFRM/man/bootSD.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/bootSD.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{bootSD}
\title{Bootstrap Standard Deviation}
\usage{
- bootSD(R, ..., replications = 1000)
+bootSD(R, ..., replications = 1000)
}
\arguments{
\item{R}{xts object or matrix of asset returns}
@@ -13,8 +13,8 @@
\item{replications}{number of bootstrap replications.}
}
\description{
- Bootstrap the standard deviation of an xts object or
- matrix of asset returns
+Bootstrap the standard deviation of an xts object or matrix
+of asset returns
}
\examples{
data(crsp_weekly)
@@ -23,9 +23,9 @@
bootSD(R)
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link[stats]{sd}}
+\code{\link[stats]{sd}}
}
Modified: pkg/GARPFRM/man/bootSimpleVolatility.Rd
===================================================================
--- pkg/GARPFRM/man/bootSimpleVolatility.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/bootSimpleVolatility.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{bootSimpleVolatility}
\title{Bootstrap Simple Volatility}
\usage{
- bootSimpleVolatility(R, ..., replications = 1000)
+bootSimpleVolatility(R, ..., replications = 1000)
}
\arguments{
\item{R}{xts object or matrix of asset returns}
@@ -13,8 +13,8 @@
\item{replications}{number of bootstrap replications.}
}
\description{
- Bootstrap the simple volatility of an xts object or
- matrix of asset returns
+Bootstrap the simple volatility of an xts object or matrix
+of asset returns
}
\examples{
data(crsp_weekly)
@@ -23,9 +23,9 @@
bootSimpleVolatility(R)
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link{simpleVolatility}}
+\code{\link{simpleVolatility}}
}
Modified: pkg/GARPFRM/man/bootStdDev.Rd
===================================================================
--- pkg/GARPFRM/man/bootStdDev.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/bootStdDev.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{bootStdDev}
\title{Bootstrap StdDev}
\usage{
- bootStdDev(R, ..., replications = 1000)
+bootStdDev(R, ..., replications = 1000)
}
\arguments{
\item{R}{xts object or matrix of asset returns}
@@ -13,8 +13,8 @@
\item{replications}{number of bootstrap replications.}
}
\description{
- Bootstrap the StdDev of an xts object or matrix of asset
- returns
+Bootstrap the StdDev of an xts object or matrix of asset
+returns
}
\examples{
data(crsp_weekly)
@@ -23,9 +23,9 @@
bootStdDev(R)
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link[PerformanceAnalytics]{StdDev}}
+\code{\link[PerformanceAnalytics]{StdDev}}
}
Modified: pkg/GARPFRM/man/bootVaR.Rd
===================================================================
--- pkg/GARPFRM/man/bootVaR.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/bootVaR.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{bootVaR}
\title{Bootstrap Value at Risk}
\usage{
- bootVaR(R, ..., replications = 1000)
+bootVaR(R, ..., replications = 1000)
}
\arguments{
\item{R}{xts object or matrix of asset returns}
@@ -13,8 +13,8 @@
\item{replications}{number of bootstrap replications.}
}
\description{
- Bootstrap the Value at Risk (VaR) of an xts object or
- matrix of asset returns
+Bootstrap the Value at Risk (VaR) of an xts object or
+matrix of asset returns
}
\examples{
data(crsp_weekly)
@@ -24,9 +24,9 @@
bootVaR(R, p=0.9, method="historical", invert=FALSE)
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link[PerformanceAnalytics]{VaR}}
+\code{\link[PerformanceAnalytics]{VaR}}
}
Modified: pkg/GARPFRM/man/chartSML.Rd
===================================================================
--- pkg/GARPFRM/man/chartSML.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/chartSML.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{chartSML}
\title{CAPM SML}
\usage{
- chartSML(object, ..., main = "Estimated SML")
+chartSML(object, ..., main = "Estimated SML")
}
\arguments{
\item{object}{a capm object created by
@@ -14,12 +14,12 @@
\item{main}{a main title for the plot.}
}
\description{
- Security Market Line (SML) of the CAPM. The SML is a
- represesentation of the CAPM. It illustrates the expected
- rate of return of an individual security as a function of
- systematic, non-diversified risk (known as beta).
+Security Market Line (SML) of the CAPM. The SML is a
+represesentation of the CAPM. It illustrates the expected
+rate of return of an individual security as a function of
+systematic, non-diversified risk (known as beta).
}
\author{
- Thomas Fillebeen
+Thomas Fillebeen
}
Modified: pkg/GARPFRM/man/efficientFrontier.Rd
===================================================================
--- pkg/GARPFRM/man/efficientFrontier.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/efficientFrontier.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,9 +2,8 @@
\alias{efficientFrontier}
\title{Efficient Frontier}
\usage{
- efficientFrontier(R, nPortfolios = 25, minBox = 0,
- maxBox = 1, groupList = NULL, groupMin = NULL,
- groupMax = NULL)
+efficientFrontier(R, nPortfolios = 25, minBox = 0, maxBox = 1,
+ groupList = NULL, groupMin = NULL, groupMax = NULL)
}
\arguments{
\item{R}{xts object of asset returns}
@@ -23,14 +22,14 @@
\item{groupMax}{group constraint maximum}
}
\description{
- Generate portfolios along an efficient frontier.
+Generate portfolios along an efficient frontier.
}
\details{
- This is a wrapper function for code in PortfolioAnalytics
- to initialize a portfolio and create an efficint frontier
- in mean - standard deviation space. Box constraints and
- group constraints are supported for constrained
- optimization to generate portfolios along the efficient
- frontier.
+This is a wrapper function for code in PortfolioAnalytics
+to initialize a portfolio and create an efficint frontier
+in mean - standard deviation space. Box constraints and
+group constraints are supported for constrained
+optimization to generate portfolios along the efficient
+frontier.
}
Modified: pkg/GARPFRM/man/efficientFrontierTwoAsset.Rd
===================================================================
--- pkg/GARPFRM/man/efficientFrontierTwoAsset.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/efficientFrontierTwoAsset.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,9 +2,8 @@
\alias{efficientFrontierTwoAsset}
\title{Efficient Frontier for Portfolio of Two Assets}
\usage{
- efficientFrontierTwoAsset(R1, R2, sigma1, sigma2, rho,
- nPortfolios = 25, rf = 0, allowShorting = FALSE,
- weights = NULL)
+efficientFrontierTwoAsset(R1, R2, sigma1, sigma2, rho, nPortfolios = 25,
+ rf = 0, allowShorting = FALSE, weights = NULL)
}
\arguments{
\item{R1}{expected return for asset 1}
@@ -32,13 +31,13 @@
ignored.}
}
\description{
- Create an efficient frontier for a portfolio of two risky
- assets
+Create an efficient frontier for a portfolio of two risky
+assets
}
\details{
- This is a specialized function to generate points along
- the efficient frontier for a portfolio of two assets
- following the equations presented in Chapter 3:
- Delineating Efficient Portfolios.
+This is a specialized function to generate points along the
+efficient frontier for a portfolio of two assets following
+the equations presented in Chapter 3: Delineating Efficient
+Portfolios.
}
Modified: pkg/GARPFRM/man/endingPrices.Rd
===================================================================
--- pkg/GARPFRM/man/endingPrices.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/endingPrices.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,18 +2,18 @@
\alias{endingPrices}
\title{Ending Prices of Monte Carlo Simulation}
\usage{
- endingPrices(mc)
+endingPrices(mc)
}
\arguments{
\item{mc}{monte carlo object created with
\code{monteCarlo}}
}
\value{
- vector ending prices
+vector ending prices
}
\description{
- Get the ending prices, i.e. terminal values, of a monte
- carlo simulation
+Get the ending prices, i.e. terminal values, of a monte
+carlo simulation
}
\examples{
library(GARPFRM)
Modified: pkg/GARPFRM/man/estimateLambdaCor.Rd
===================================================================
--- pkg/GARPFRM/man/estimateLambdaCor.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/estimateLambdaCor.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{estimateLambdaCor}
\title{Estimated Lambda}
\usage{
- estimateLambdaCor(R, initialWindow = 10, n = 10)
+estimateLambdaCor(R, initialWindow = 10, n = 10)
}
\arguments{
\item{R}{xts object of asset returns}
@@ -14,12 +14,12 @@
correlation}
}
\description{
- Estimate lambda for EWMA correlation estimate
+Estimate lambda for EWMA correlation estimate
}
\details{
- The optimal value for lambda is calcualted by minimizing
- the mean squared error between the estimated correlation
- and realized correlation.
+The optimal value for lambda is calcualted by minimizing
+the mean squared error between the estimated correlation
+and realized correlation.
}
\examples{
data(crsp_weekly)
@@ -28,6 +28,6 @@
lambda <- estimateLambdaCor(R, initialWindow, n=10)
}
\author{
- Ross Bennett
+Ross Bennett
}
Modified: pkg/GARPFRM/man/estimateLambdaCov.Rd
===================================================================
--- pkg/GARPFRM/man/estimateLambdaCov.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/estimateLambdaCov.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{estimateLambdaCov}
\title{Estimated Lambda}
\usage{
- estimateLambdaCov(R, initialWindow = 10, n = 10)
+estimateLambdaCov(R, initialWindow = 10, n = 10)
}
\arguments{
\item{R}{xts object of asset returns}
@@ -14,12 +14,12 @@
covariance}
}
\description{
- Estimate lambda for EWMA covariance estimate
+Estimate lambda for EWMA covariance estimate
}
\details{
- The optimal value for lambda is calcualted by minimizing
- the mean squared error between the estimated covariance
- and realized covariance.
+The optimal value for lambda is calcualted by minimizing
+the mean squared error between the estimated covariance and
+realized covariance.
}
\examples{
data(crsp_weekly)
@@ -28,6 +28,6 @@
lambda <- estimateLambdaCov(R, initialWindow, n=10)
}
\author{
- Ross Bennett
+Ross Bennett
}
Modified: pkg/GARPFRM/man/estimateLambdaVol.Rd
===================================================================
--- pkg/GARPFRM/man/estimateLambdaVol.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/estimateLambdaVol.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{estimateLambdaVol}
\title{Estimated Lambda}
\usage{
- estimateLambdaVol(R, initialWindow = 10, n = 10)
+estimateLambdaVol(R, initialWindow = 10, n = 10)
}
\arguments{
\item{R}{xts object of asset returns}
@@ -14,12 +14,12 @@
volatility}
}
\description{
- Estimate lambda for EWMA volatility estimate
+Estimate lambda for EWMA volatility estimate
}
\details{
- The optimal value for lambda is calcualted by minimizing
- the mean squared error between the estimated volatility
- and realized volatility.
+The optimal value for lambda is calcualted by minimizing
+the mean squared error between the estimated volatility and
+realized volatility.
}
\examples{
data(crsp_weekly)
@@ -28,6 +28,6 @@
lambda <- estimateLambdaVol(R, initialWindow, n=10)
}
\author{
- Ross Bennett
+Ross Bennett
}
Modified: pkg/GARPFRM/man/forecast.Rd
===================================================================
--- pkg/GARPFRM/man/forecast.Rd 2014-04-26 23:56:28 UTC (rev 172)
+++ pkg/GARPFRM/man/forecast.Rd 2014-06-09 20:00:03 UTC (rev 173)
@@ -2,7 +2,7 @@
\alias{forecast}
\title{Model Forecasting}
\usage{
- forecast(model, nAhead, ...)
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/uwgarp -r 173
More information about the Uwgarp-commits
mailing list