[Blotter-commits] r84 - pkg/R

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

Author: peter_carl
Date: 2009-04-15 05:38:26 +0200 (Wed, 15 Apr 2009)
New Revision: 84

Modified:
   pkg/R/updateAcct.R
   pkg/R/updatePortf.R
   pkg/R/updatePosPL.R
Log:
- all functions now have the same Dates parameter that takes xts subsets


Modified: pkg/R/updateAcct.R
===================================================================
--- pkg/R/updateAcct.R	2009-03-21 03:28:30 UTC (rev 83)
+++ pkg/R/updateAcct.R	2009-04-15 03:38:26 UTC (rev 84)
@@ -8,9 +8,7 @@
 
     # Inputs
     # Prices: close prices in an xts OHLC object with a columnname == "Close"
-    # StartDate: Date from which to calculate equity account
-    # EndDate: Date to stop calculating equity account
-    # These dates must appear in the price stream
+    # Dates: Dates from which to calculate equity account
 
     # Outputs
     # Account object.
@@ -25,6 +23,7 @@
         Dates = time(Portfolio[[1]]$posPL)
     else
         Dates = time(Portfolio[[1]]$posPL[Dates,])
+
     # For each date, calculate realized and unrealized P&L
     for(d in 1:length(Dates)){ # d is a date slot counter
     # I shouldn't have to do this but I lose the class for the element when I do

Modified: pkg/R/updatePortf.R
===================================================================
--- pkg/R/updatePortf.R	2009-03-21 03:28:30 UTC (rev 83)
+++ pkg/R/updatePortf.R	2009-04-15 03:38:26 UTC (rev 84)
@@ -1,5 +1,5 @@
 `updatePortf` <-
-function(Portfolio, StartDate, EndDate)
+function(Portfolio, Dates)
 { # @author Peter Carl
 
     # DESCRIPTION
@@ -9,8 +9,7 @@
     # Inputs
     # Portfolio: a portfolio object containing transactions
     # Symbol: an instrument identifier for a symbol included in the portfolio
-    # StartDate: Date from which to calculate equity account
-    # EndDate: Date to stop calculating equity account
+    # Dates: Dates for which to calculate equity account
     # These dates must appear in the price stream
 
     # Outputs
@@ -19,7 +18,7 @@
     # FUNCTION
     symbols = names(Portfolio)
     for(symbol in symbols){
-      Portfolio = updatePosPL(Portfolio, symbol, StartDate, EndDate, Cl(get(symbol)))
+      Portfolio = updatePosPL(Portfolio, symbol, Dates, Cl(get(symbol)))
   }
   return(Portfolio)
 }

Modified: pkg/R/updatePosPL.R
===================================================================
--- pkg/R/updatePosPL.R	2009-03-21 03:28:30 UTC (rev 83)
+++ pkg/R/updatePosPL.R	2009-04-15 03:38:26 UTC (rev 84)
@@ -1,5 +1,5 @@
 `updatePosPL` <-
-function(Portfolio, Symbol, StartDate, EndDate, Prices=Cl(get(Symbol)))
+function(Portfolio, Symbol, Dates, Prices=Cl(get(Symbol)))
 { # @author Peter Carl
 
     # DESCRIPTION
@@ -10,8 +10,7 @@
     # Portfolio: a portfolio object structured with initPortf()
     # Symbol: an instrument identifier for a symbol included in the portfolio
     # Prices: close prices in an xts object with a columnname == "Close"
-    # StartDate: Date from which to calculate equity account
-    # EndDate: Date to stop calculating equity account
+    # Dates: xts subset of dates, e.g., "2007-01::2008-04-15"
     ## These dates must appear in the price stream
 
     # Outputs
@@ -21,15 +20,17 @@
     PosAvgCost = 0
     PosQty = 0
 
-    StartDateRow = grep(StartDate, time(Prices))
-    EndDateRow = grep(EndDate, time(Prices))
+    if(is.null(Dates)) # if no date is specified, get all available dates
+        Dates = time(Prices)
+    else # could test to see if it's a list of dates, which would pass through
+        Dates = time(Prices[Dates,])
 
     # For each date, calculate realized and unrealized P&L
-    for(i in StartDateRow:EndDateRow){ ##
+    for(i in 1:length(Dates)){ ##
         # Get the current date and close price
-        CurrentDate = time(Prices)[i]
+        CurrentDate = Dates[i]
         if(i>1) # if it isn't the first price in the time series
-            PrevDate = time(Prices)[i-1]
+            PrevDate = Dates[i-1]
         else
             PrevDate = NA
 
@@ -37,7 +38,7 @@
         TxnFees = getTxnFees(Portfolio, Symbol, CurrentDate)
         PosQty = getPosQty(Portfolio, Symbol, CurrentDate)
         ClosePrice = as.numeric(Prices[i, grep("Close", colnames(Prices))]) #not necessary
-        PosValue = PosQty * ClosePrice # function?
+        PosValue = PosQty * ClosePrice # @todo: calcPosValue(PosQty, ClosePrice)
 
         if(is.na(PrevDate))
             PrevPosQty = 0
@@ -48,12 +49,12 @@
             PrevClosePrice = 0
         else
             PrevClosePrice = as.numeric(Prices[i-1,grep("Close", colnames(Prices))]) # not necessary
-        PrevPosValue = PrevPosQty * PrevClosePrice
+        PrevPosValue = PrevPosQty * PrevClosePrice # @todo: use calcPosValue()
 
-        TradingPL = PosValue - PrevPosValue - TxnValue #
+        TradingPL = PosValue - PrevPosValue - TxnValue # @todo: calcTradingPL(PosValue, PrevPosValue, TxnValue)
 
         RealizedPL = getRealizedPL(Portfolio, Symbol, CurrentDate)
-        UnrealizedPL = TradingPL - RealizedPL #
+        UnrealizedPL = TradingPL - RealizedPL # @todo: calcUnrealizedPL(TradingPL, RealizedPL)
 
         NewPeriod = as.xts(t(c(PosQty, PosValue, TxnValue, TxnFees, RealizedPL, UnrealizedPL, TradingPL)), order.by=as.POSIXct(CurrentDate))
         colnames(NewPeriod) = c('Pos.Qty', 'Pos.Value', 'Txn.Value', 'Txn.Fees', 'Realized.PL', 'Unrealized.PL', 'Trading.PL')