[Uwgarp-commits] r186 - in pkg/GARPFRM: . man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Jun 11 20:23:34 CEST 2014
Author: rossbennett34
Date: 2014-06-11 20:23:34 +0200 (Wed, 11 Jun 2014)
New Revision: 186
Modified:
pkg/GARPFRM/NAMESPACE
pkg/GARPFRM/man/CAPM.Rd
pkg/GARPFRM/man/EWMA.Rd
pkg/GARPFRM/man/PCA.Rd
pkg/GARPFRM/man/backtestVaR.GARCH.Rd
pkg/GARPFRM/man/backtestVaR.Rd
pkg/GARPFRM/man/bondConvexity.Rd
pkg/GARPFRM/man/bondDuration.Rd
pkg/GARPFRM/man/bondFullPrice.Rd
pkg/GARPFRM/man/bondPrice.Rd
pkg/GARPFRM/man/bondSpec.Rd
pkg/GARPFRM/man/bondYTM.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/compoundingRate.Rd
pkg/GARPFRM/man/discountFactor.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/getLoadings.Rd
pkg/GARPFRM/man/getSpec.Rd
pkg/GARPFRM/man/getStatistics.Rd
pkg/GARPFRM/man/getVaREstimates.Rd
pkg/GARPFRM/man/getVaRViolations.Rd
pkg/GARPFRM/man/getWeights.Rd
pkg/GARPFRM/man/hypTest.Rd
pkg/GARPFRM/man/is.bond.Rd
pkg/GARPFRM/man/linearHedge.Rd
pkg/GARPFRM/man/minVarPortfolio.Rd
pkg/GARPFRM/man/monteCarlo.Rd
pkg/GARPFRM/man/optionSpec.Rd
pkg/GARPFRM/man/optionValue.Rd
pkg/GARPFRM/man/plot.EWMA.Rd
pkg/GARPFRM/man/plot.PCA.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
pkg/GARPFRM/man/ytmSolve.Rd
Log:
roxygenize
Modified: pkg/GARPFRM/NAMESPACE
===================================================================
--- pkg/GARPFRM/NAMESPACE 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/NAMESPACE 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,5 @@
+# Generated by roxygen2 (4.0.1): do not edit by hand
+
S3method(forecast,uvEWMAvol)
S3method(forecast,uvGARCH)
S3method(getAlphas,capm_mlm)
Modified: pkg/GARPFRM/man/CAPM.Rd
===================================================================
--- pkg/GARPFRM/man/CAPM.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/CAPM.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{CAPM}
\alias{CAPM}
\title{Capital Asset Pricing Model}
@@ -5,18 +6,17 @@
CAPM(R, Rmkt)
}
\arguments{
- \item{R}{asset returns}
+\item{R}{asset returns}
- \item{Rmkt}{market returns}
+\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)
Modified: pkg/GARPFRM/man/EWMA.Rd
===================================================================
--- pkg/GARPFRM/man/EWMA.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/EWMA.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{EWMA}
\alias{EWMA}
\title{EWMA Model}
@@ -6,38 +7,34 @@
type = c("volatility", "covariance", "correlation"))
}
\arguments{
- \item{R}{xts object of asset returns}
+\item{R}{xts object of asset returns}
- \item{lambda}{smoothing parameter, must be greater than 0
- or less than 1. If NULL, lambda will be estimated by
- minimizing the mean squared error between the estimated
- value and the realized value.}
+\item{lambda}{smoothing parameter, must be greater than 0 or less than 1. If
+NULL, lambda will be estimated by minimizing the mean squared error
+between the estimated value and the realized value.}
- \item{initialWindow}{initial window of observations used
- in estimating the initial conditions}
+\item{initialWindow}{initial window of observations used in estimating the
+initial conditions}
- \item{n}{number of periods used to calculate realized
- volatility, covariance, or correlation.}
+\item{n}{number of periods used to calculate realized volatility, covariance, or correlation.}
- \item{type}{estimate volatility, covariance, or
- correlation.}
+\item{type}{estimate volatility, covariance, or 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
Modified: pkg/GARPFRM/man/PCA.Rd
===================================================================
--- pkg/GARPFRM/man/PCA.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/PCA.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{PCA}
\alias{PCA}
\title{Estimate PCA loadings and creat PCA object}
@@ -5,19 +6,17 @@
PCA(data, nfactors, rotate = "none")
}
\arguments{
- \item{data}{time series data}
+\item{data}{time series data}
- \item{nfactors}{number of components to extract}
+\item{nfactors}{number of components to extract}
- \item{rotate}{"none", "varimax", "quatimax", "promax",
- "oblimin", "simplimax", and "cluster" are possible
- rotations/transformations of the solution.}
+\item{rotate}{"none", "varimax", "quatimax", "promax", "oblimin", "simplimax", and "cluster" are possible rotations/transformations of the solution.}
}
\value{
pca object loadings
}
\description{
-This function estimates the delta for hedging a particular
-bond given bond data
+This function estimates the delta for hedging a particular bond
+given bond data
}
Modified: pkg/GARPFRM/man/backtestVaR.GARCH.Rd
===================================================================
--- pkg/GARPFRM/man/backtestVaR.GARCH.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/backtestVaR.GARCH.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{backtestVaR.GARCH}
\alias{backtestVaR.GARCH}
\title{GARCH Model VaR Backtest}
@@ -6,22 +7,18 @@
window = 100)
}
\arguments{
- \item{garch}{uvGARCH object create via
- \code{\link{uvGARCH}}}
+\item{garch}{uvGARCH object create via \code{\link{uvGARCH}}}
- \item{p}{confidence level for the VaR estimate.}
+\item{p}{confidence level for the VaR estimate.}
- \item{nAhead}{number of steps ahead to forecast. (nAhead
- = 1 only supported)}
+\item{nAhead}{number of steps ahead to forecast. (nAhead = 1 only supported)}
- \item{refitEvery}{number of periods the mode is refit}
+\item{refitEvery}{number of periods the mode is refit}
- \item{window}{size of the moving window in the rolling
- VaR estimate.}
+\item{window}{size of the moving window in the rolling 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
Modified: pkg/GARPFRM/man/backtestVaR.Rd
===================================================================
--- pkg/GARPFRM/man/backtestVaR.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/backtestVaR.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{backtestVaR}
\alias{backtestVaR}
\title{Backtest Value-at-Risk (VaR)}
@@ -6,32 +7,27 @@
bootstrap = FALSE, replications = 1000, bootParallel = FALSE)
}
\arguments{
- \item{R}{xts or zoo object of asset returns}
+\item{R}{xts or zoo object of asset returns}
- \item{window}{size of the moving window in the rolling
- VaR estimate.}
+\item{window}{size of the moving window in the rolling VaR estimate.}
- \item{p}{confidence level for the VaR estimate.}
+\item{p}{confidence level for the VaR estimate.}
- \item{method}{method for the VaR calculation. Valid
- choices are "modified", "guassian", "historical", and
- "kernel"}
+\item{method}{method for the VaR calculation. Valid choices are "modified", "guassian", "historical", and "kernel"}
- \item{bootstrap}{TRUE/FALSE use the bootstrap estimate
- for the VaR calculation, (default FALSE).}
+\item{bootstrap}{TRUE/FALSE use the bootstrap estimate for the VaR calculation, (default FALSE).}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
- \item{bootParallel}{TRUE/FALSE run the bootstrap in
- parallel, (default FALSE).}
+\item{bootParallel}{TRUE/FALSE run the bootstrap in parallel, (default FALSE).}
}
\description{
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)
@@ -46,7 +42,6 @@
Ross Bennett
}
\seealso{
-\code{\link[PerformanceAnalytics]{VaR}},
-\code{\link{bootVaR}}
+\code{\link[PerformanceAnalytics]{VaR}}, \code{\link{bootVaR}}
}
Modified: pkg/GARPFRM/man/bondConvexity.Rd
===================================================================
--- pkg/GARPFRM/man/bondConvexity.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bondConvexity.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bondConvexity}
\alias{bondConvexity}
\title{Calculate the convexity of a fixed rate coupon bond}
@@ -5,16 +6,15 @@
bondConvexity(bond, discountCurve)
}
\arguments{
- \item{bond}{a \code{bond} object in
- discountFactorArbitrage}
+\item{bond}{a \code{bond} object in discountFactorArbitrage}
- \item{discountCurve}{vector of discount rates}
+\item{discountCurve}{vector of discount rates}
}
\value{
convexity of the bond
}
\description{
-This function estimates the convexity of a fixed rate
-coupon bond given the discount curve and bond data.
+This function estimates the convexity of a fixed rate coupon bond
+given the discount curve and bond data.
}
Modified: pkg/GARPFRM/man/bondDuration.Rd
===================================================================
--- pkg/GARPFRM/man/bondDuration.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bondDuration.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bondDuration}
\alias{bondDuration}
\title{Calculate the modified duration of a bond}
@@ -5,20 +6,18 @@
bondDuration(bond, discountCurve, percentChangeYield = 0)
}
\arguments{
- \item{bond}{a \code{bond} object in
- discountFactorArbitrage}
+\item{bond}{a \code{bond} object in discountFactorArbitrage}
- \item{discountCurve}{vector of discount rates}
+\item{discountCurve}{vector of discount rates}
- \item{percentChangeYield}{optional elasticity measure}
+\item{percentChangeYield}{optional elasticity measure}
}
\value{
duration of the bond
}
\description{
-The function estimates modified duration of a fixed rate
-coupon bond given the discount curve and bond data. The
-modified duration is calculated using the continuously
-compounded yield
+The function estimates modified duration of a fixed rate coupon bond
+given the discount curve and bond data. The modified duration is calculated
+using the continuously compounded yield
}
Modified: pkg/GARPFRM/man/bondFullPrice.Rd
===================================================================
--- pkg/GARPFRM/man/bondFullPrice.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bondFullPrice.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bondFullPrice}
\alias{bondFullPrice}
\title{Estimate price of bond w/ acrrued interest}
@@ -5,25 +6,24 @@
bondFullPrice(bond, yield, cashFlowPd, t0, t1, currentDate)
}
\arguments{
- \item{bond}{is a bondSpec object}
+\item{bond}{is a bondSpec object}
- \item{yield}{is the yield on the bond}
+\item{yield}{is the yield on the bond}
- \item{cashFlowPd}{cash flow period}
+\item{cashFlowPd}{cash flow period}
- \item{t0}{previous coupon date}
+\item{t0}{previous coupon date}
- \item{t1}{next coupon period}
+\item{t1}{next coupon period}
- \item{currentDate}{current date}
+\item{currentDate}{current date}
}
\value{
price of the bond: clean, dirty and accrued interest
}
\description{
-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.
+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.
}
\author{
TF
Modified: pkg/GARPFRM/man/bondPrice.Rd
===================================================================
--- pkg/GARPFRM/man/bondPrice.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bondPrice.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bondPrice}
\alias{bondPrice}
\title{Estimate price of bond}
@@ -5,17 +6,16 @@
bondPrice(bond, discountCurve)
}
\arguments{
- \item{bond}{a \code{discountFactorArbitrage} object}
+\item{bond}{a \code{discountFactorArbitrage} object}
- \item{discountCurve}{vector of discount rates}
+\item{discountCurve}{vector of discount rates}
}
\value{
price of the bond
}
\description{
-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
+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
}
\author{
TF
Modified: pkg/GARPFRM/man/bondSpec.Rd
===================================================================
--- pkg/GARPFRM/man/bondSpec.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bondSpec.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bondSpec}
\alias{bondSpec}
\title{Constructor for bond specification}
@@ -6,21 +7,19 @@
couponRate = 0.01)
}
\arguments{
- \item{time}{vector of sequence of coupon payments in
- years}
+\item{time}{vector of sequence of coupon payments in years}
- \item{face}{face value of bond}
+\item{face}{face value of bond}
- \item{m}{compounding frequency}
+\item{m}{compounding frequency}
- \item{couponRate}{rate the coupon pays}
+\item{couponRate}{rate the coupon pays}
}
\value{
a \code{bond} object with the bond data used for pricing
}
\description{
-Created a bond object \code{bond.spec} with data for bond
-specification.
+Created a bond object \code{bond.spec} with data for bond specification.
}
\author{
TF
Modified: pkg/GARPFRM/man/bondYTM.Rd
===================================================================
--- pkg/GARPFRM/man/bondYTM.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bondYTM.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bondYTM}
\alias{bondYTM}
\title{Calculate the yield to maturity of a bond}
@@ -5,15 +6,15 @@
bondYTM(bond, discountCurve)
}
\arguments{
- \item{bond}{a \code{bond} object}
+\item{bond}{a \code{bond} object}
- \item{discountCurve}{vector of discount rates}
+\item{discountCurve}{vector of discount rates}
}
\value{
yield to maturity of the bond
}
\description{
-This function calculates the yield to maturity of a fixed
-rate coupon bond given the discount curve and bond data.
+This function calculates the yield to maturity of a fixed rate coupon bond
+given the discount curve and bond data.
}
Modified: pkg/GARPFRM/man/bootCor.Rd
===================================================================
--- pkg/GARPFRM/man/bootCor.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bootCor.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootCor}
\alias{bootCor}
\title{Bootstrap Correlation}
@@ -5,16 +6,14 @@
bootCor(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[stats]{cor}}}
+\item{\dots}{passthrough parameters to \code{\link[stats]{cor}}}
- \item{replications}{number of bootstrap replications.}
+\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)
Modified: pkg/GARPFRM/man/bootCov.Rd
===================================================================
--- pkg/GARPFRM/man/bootCov.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bootCov.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootCov}
\alias{bootCov}
\title{Bootstrap Covariance}
@@ -5,16 +6,14 @@
bootCov(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[stats]{cov}}}
+\item{\dots}{passthrough parameters to \code{\link[stats]{cov}}}
- \item{replications}{number of bootstrap replications.}
+\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)
Modified: pkg/GARPFRM/man/bootES.Rd
===================================================================
--- pkg/GARPFRM/man/bootES.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bootES.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootES}
\alias{bootES}
\title{Bootstrap Expected Shortfall}
@@ -5,16 +6,14 @@
bootES(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[PerformanceAnalytics]{ES}}}
+\item{\dots}{passthrough parameters to \code{\link[PerformanceAnalytics]{ES}}}
- \item{replications}{number of bootstrap replications.}
+\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)
Modified: pkg/GARPFRM/man/bootFUN.Rd
===================================================================
--- pkg/GARPFRM/man/bootFUN.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bootFUN.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootFUN}
\alias{bootFUN}
\title{Bootstrap}
@@ -5,37 +6,32 @@
bootFUN(R, FUN = "mean", ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of data passed to
- \code{FUN}.}
+\item{R}{xts object or matrix of data passed to \code{FUN}.}
- \item{FUN}{the function to be applied.}
+\item{FUN}{the function to be applied.}
- \item{\dots}{optional arguments to \code{FUN}.}
+\item{\dots}{optional arguments to \code{FUN}.}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
}
\description{
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
}
\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 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bootMean.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootMean}
\alias{bootMean}
\title{Bootstrap Mean}
@@ -5,16 +6,14 @@
bootMean(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[base]{mean}}}
+\item{\dots}{passthrough parameters to \code{\link[base]{mean}}}
- \item{replications}{number of bootstrap replications.}
+\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)
Modified: pkg/GARPFRM/man/bootSD.Rd
===================================================================
--- pkg/GARPFRM/man/bootSD.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bootSD.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootSD}
\alias{bootSD}
\title{Bootstrap Standard Deviation}
@@ -5,16 +6,14 @@
bootSD(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[stats]{sd}}}
+\item{\dots}{passthrough parameters to \code{\link[stats]{sd}}}
- \item{replications}{number of bootstrap replications.}
+\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)
Modified: pkg/GARPFRM/man/bootSimpleVolatility.Rd
===================================================================
--- pkg/GARPFRM/man/bootSimpleVolatility.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bootSimpleVolatility.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootSimpleVolatility}
\alias{bootSimpleVolatility}
\title{Bootstrap Simple Volatility}
@@ -5,16 +6,14 @@
bootSimpleVolatility(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link{simpleVolatility}}}
+\item{\dots}{passthrough parameters to \code{\link{simpleVolatility}}}
- \item{replications}{number of bootstrap replications.}
+\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)
Modified: pkg/GARPFRM/man/bootStdDev.Rd
===================================================================
--- pkg/GARPFRM/man/bootStdDev.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bootStdDev.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootStdDev}
\alias{bootStdDev}
\title{Bootstrap StdDev}
@@ -5,16 +6,14 @@
bootStdDev(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[PerformanceAnalytics]{StdDev}}}
+\item{\dots}{passthrough parameters to \code{\link[PerformanceAnalytics]{StdDev}}}
- \item{replications}{number of bootstrap replications.}
+\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)
Modified: pkg/GARPFRM/man/bootVaR.Rd
===================================================================
--- pkg/GARPFRM/man/bootVaR.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/bootVaR.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootVaR}
\alias{bootVaR}
\title{Bootstrap Value at Risk}
@@ -5,16 +6,14 @@
bootVaR(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[PerformanceAnalytics]{VaR}}}
+\item{\dots}{passthrough parameters to \code{\link[PerformanceAnalytics]{VaR}}}
- \item{replications}{number of bootstrap replications.}
+\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)
Modified: pkg/GARPFRM/man/chartSML.Rd
===================================================================
--- pkg/GARPFRM/man/chartSML.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/chartSML.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{chartSML}
\alias{chartSML}
\title{CAPM SML}
@@ -5,19 +6,17 @@
chartSML(object, ..., main = "Estimated SML")
}
\arguments{
- \item{object}{a capm object created by
- \code{\link{CAPM}}.}
+\item{object}{a capm object created by \code{\link{CAPM}}.}
- \item{\dots}{passthrough parameters to
- \code{\link{plot}}.}
+\item{\dots}{passthrough parameters to \code{\link{plot}}.}
- \item{main}{a main title for the plot.}
+\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
Modified: pkg/GARPFRM/man/compoundingRate.Rd
===================================================================
--- pkg/GARPFRM/man/compoundingRate.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/compoundingRate.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{compoundingRate}
\alias{compoundingRate}
\title{Estimate continuously conpounding rate to be used in term structure}
@@ -5,23 +6,20 @@
compoundingRate(dat, initialDate = as.Date("1995-05-15"), m, face = 100)
}
\arguments{
- \item{dat}{is a dataset with cusip, issueDate,
- MaturityDate, Name, Coupon, Bid/Ask}
+\item{dat}{is a dataset with cusip, issueDate, MaturityDate, Name, Coupon, Bid/Ask}
- \item{intialDate}{is the date when the estimation should
- be conducted: date of reference}
+\item{intialDate}{is the date when the estimation should be conducted: date of reference}
- \item{m}{compounding frequency}
+\item{m}{compounding frequency}
- \item{face}{face value}
+\item{face}{face value}
}
\value{
continuously compounding rates
}
\description{
-This function calculates the continuously compounding rate
-given an initial dataset with specific format, date of
-reference coumpounding frequency, and face value
+This function calculates the continuously compounding rate given an initial dataset
+with specific format, date of reference coumpounding frequency, and face value
}
\author{
TF
Modified: pkg/GARPFRM/man/discountFactor.Rd
===================================================================
--- pkg/GARPFRM/man/discountFactor.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/discountFactor.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{discountFactor}
\alias{discountFactor}
\title{Estimate discountFactor}
@@ -5,16 +6,16 @@
discountFactor(price, cashFlow)
}
\arguments{
- \item{bond}{a \code{discountFactorArbitrage} object}
+\item{bond}{a \code{discountFactorArbitrage} object}
- \item{price}{of a bond}
+\item{price}{of a bond}
}
\value{
cashFlow of a bond
}
\description{
-This function calculates the discountFactor (DF) given
-price and cashFlows.
+This function calculates the discountFactor (DF) given price
+and cashFlows.
}
\author{
TF
Modified: pkg/GARPFRM/man/efficientFrontier.Rd
===================================================================
--- pkg/GARPFRM/man/efficientFrontier.Rd 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/efficientFrontier.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{efficientFrontier}
\alias{efficientFrontier}
\title{Efficient Frontier}
@@ -6,30 +7,27 @@
groupList = NULL, groupMin = NULL, groupMax = NULL)
}
\arguments{
- \item{R}{xts object of asset returns}
+\item{R}{xts object of asset returns}
- \item{nPortfolios}{number of portfolios to generate along
- efficient frontier}
+\item{nPortfolios}{number of portfolios to generate along efficient frontier}
- \item{minBox}{box constraint minimum}
+\item{minBox}{box constraint minimum}
- \item{maxBox}{box constraint maximum}
+\item{maxBox}{box constraint maximum}
- \item{groupList}{list specifying asset groups}
+\item{groupList}{list specifying asset groups}
- \item{groupMin}{group constraint minimum}
+\item{groupMin}{group constraint minimum}
- \item{groupMax}{group constraint maximum}
+\item{groupMax}{group constraint maximum}
}
\description{
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 2014-06-11 18:02:32 UTC (rev 185)
+++ pkg/GARPFRM/man/efficientFrontierTwoAsset.Rd 2014-06-11 18:23:34 UTC (rev 186)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{efficientFrontierTwoAsset}
\alias{efficientFrontierTwoAsset}
\title{Efficient Frontier for Portfolio of Two Assets}
@@ -6,38 +7,32 @@
rf = 0, allowShorting = FALSE, weights = NULL)
}
\arguments{
- \item{R1}{expected return for asset 1}
+\item{R1}{expected return for asset 1}
- \item{R2}{expected return for asset 2}
+\item{R2}{expected return for asset 2}
- \item{sigma1}{standard deviation for asset 1}
+\item{sigma1}{standard deviation for asset 1}
- \item{sigma2}{standard deviation for asset 2}
+\item{sigma2}{standard deviation for asset 2}
- \item{rho}{correlation coefficient between asset 1 and
- asset 2}
+\item{rho}{correlation coefficient between asset 1 and asset 2}
- \item{nPortfolios}{number of portfolios to generate along
- efficient frontier}
+\item{nPortfolios}{number of portfolios to generate along efficient frontier}
- \item{rf}{risk free rate}
+\item{rf}{risk free rate}
- \item{allowShorting}{TRUE/FALSE to allow short sales}
+\item{allowShorting}{TRUE/FALSE to allow short sales}
- \item{weights}{vector of weights for fraction of asset 1
- used to generate the efficient frontier. If the
- \code{weights} argument is specified, the
- \code{nPortfolios} and \code{allowShorting} arguments are
- ignored.}
+\item{weights}{vector of weights for fraction of asset 1 used to generate
+the efficient frontier. If the \code{weights} argument is specified, the
+\code{nPortfolios} and \code{allowShorting} arguments are 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.
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/uwgarp -r 186
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