[Blotter-commits] r54 - pkg/man

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

Author: peter_carl
Date: 2009-01-22 13:52:02 +0100 (Thu, 22 Jan 2009)
New Revision: 54

Added:
   pkg/man/calcPortfWgt.Rd
Log:
- initial commit of documentation


Added: pkg/man/calcPortfWgt.Rd
===================================================================
--- pkg/man/calcPortfWgt.Rd	                        (rev 0)
+++ pkg/man/calcPortfWgt.Rd	2009-01-22 12:52:02 UTC (rev 54)
@@ -0,0 +1,38 @@
+\name{calcPortfWgt}
+\alias{calcPortfWgt}
+\title{ calculate portfolio weights for positions }
+\description{
+  Calculates the relative weights of each position within the portfolio.
+}
+\usage{
+calcPortfWgt(Portfolio, Symbols = NULL, Dates = NULL, denominator = c("Gross.Value", "Net.Value", "Long.Value", "Short.Value"), Account = NULL)
+}
+%- maybe also 'usage' for other objects documented here.
+\arguments{
+  \item{Portfolio}{ The Portfolio object for which to calculate the weights. }
+  \item{Symbols}{ A subset of symbols to calculate.  Default is NULL, for which it returns weights for all symbols. }
+  \item{Dates}{ The ISO 8601 date to calculate the attribute for.  If no date is specified (NULL by default), the function calculates for all available dates }
+  \item{denominator}{ the aggregate measure of the portfolio to use as the denominator }
+  \item{Account}{ Not implemented. }
+}
+\details{
+  Portfolio weights can be calculated several different ways, and this function accommodates several methods.  The denominator may be specified as:
+  \item{Long.Value}{ The sum of the notional value of all positions held long in the portfolio.}
+  \item{Short.Value}{The sum of the notional value of all positions held short in the portfolio.} 
+  \item{Net.Value}{The sum of the notional long and notional short value of the portfolio.}
+  \item{Gross.Value}{Default. The sum of the notional long and absolute value of the notional short value of the portfolio.}
+}
+\value{
+  Time series object (xts) with weights by date in rows and symbolname in columns.
+}
+\author{ Peter Carl }
+\note{ 
+As currently implemented, Portfolio objects do not contain cash proceeds of sales or outflows from purchases.  These weights, then, are approximations relative only to the aggregate positions.
+}
+\seealso{ \code{\link{calcPortfAttr}}, \code{\link{getBySymbol}} }
+\examples{
+}
+% Add one or more standard keywords, see file 'KEYWORDS' in the
+% R documentation directory.
+\keyword{ utilities }
+\keyword{ manip }