[GSoC-PortA] Error with clean.boudt when passing arguments for ... in optimize.portfolio

[Ross Bennett]

Brian,

Thanks for pointing this out. It is when the portfolio moments are first
calculated in optimize.portfolio. I added checks that the arguments passed
in as dots match the formal arguments of momentFUN. This should be fixed in
r2947.

Thanks again, have a great weekend!

Ross


On Fri, Aug 30, 2013 at 2:38 PM, Brian G. Peterson <brian at braverock.com>wrote:

> On 08/30/2013 01:35 PM, Ross Bennett wrote:
>
>>
>>
>>
>> On Fri, Aug 30, 2013 at 11:11 AM, Brian G. Peterson <brian at braverock.com
>> <mailto:brian at braverock.com>> wrote:
>>
>>     On 08/29/2013 12:00 PM, Ross Bennett wrote:
>>
>>
>>     It's a little unclear why dots would be passed that deeply anyway.
>>
>>     Typically, in PortfolioAnalytics, we're matching arguments and
>>     stripping dots before calling the underlying objective functions.
>>
>>     This particular edge case is easily fixed by adding dots to the
>>     boudt method of Retur.clean, but I'm sure there's a more general
>>     solution.
>>
>>     I think we should pick it up in the argument matching, and not
>>     expect the called functions to be ready to catch any arbitrary
>>     arguments.
>>
>>
>> I printed out the .formals list right before the do.call(fun, .formals)
>> and $itermax is not an element in .formals, the arguments are being
>> matched and stripped correctly in constrained_objective before calling
>> the objective function.
>>
>
> What about when we calculate portfolio moments?  Isn't that a lot earlier
> in the process than constrained_objective?
>
>
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