[Highfrequency-commits] r63 - in pkg/highfrequency: . R
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Oct 21 13:41:02 CEST 2013
Author: kboudt
Date: 2013-10-21 13:41:01 +0200 (Mon, 21 Oct 2013)
New Revision: 63
Modified:
pkg/highfrequency/DESCRIPTION
pkg/highfrequency/R/highfrequencyGSOC.R
Log:
Modified: pkg/highfrequency/DESCRIPTION
===================================================================
--- pkg/highfrequency/DESCRIPTION 2013-10-16 12:21:08 UTC (rev 62)
+++ pkg/highfrequency/DESCRIPTION 2013-10-21 11:41:01 UTC (rev 63)
@@ -9,7 +9,7 @@
License: GPL (>= 2)
Depends: R (>= 2.12.0), xts, zoo
Suggests: robustbase, cubature, mvtnorm, chron, timeDate,
- quantmod, MASS, sandwich, numderiv
+ quantmod, MASS, sandwich, numDeriv
Contributors: Giang Nugyen
Thanks: A special thanks for additional contributions from Chris Blakely
LazyLoad: yes
Modified: pkg/highfrequency/R/highfrequencyGSOC.R
===================================================================
--- pkg/highfrequency/R/highfrequencyGSOC.R 2013-10-16 12:21:08 UTC (rev 62)
+++ pkg/highfrequency/R/highfrequencyGSOC.R 2013-10-21 11:41:01 UTC (rev 63)
@@ -8,7 +8,7 @@
{
rdata = data
}
- multixts = highfrequency:::.multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
result = apply.daily(rdata, minRQ, align.by, align.period, makeReturns)
@@ -17,7 +17,7 @@
if (!multixts)
{
if ((!is.null(align.by)) && (!is.null(align.period))) {
- rdata = highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata = .aggregatets(rdata, on = align.by, k = align.period)
}
if(makeReturns)
{
@@ -41,7 +41,7 @@
{
rdata = data
}
- multixts = highfrequency:::.multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
result = apply.daily(rdata, medRQ, align.by, align.period, makeReturns)
@@ -50,7 +50,7 @@
if (!multixts)
{
if ((!is.null(align.by)) && (!is.null(align.period))) {
- rdata = highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata = .aggregatets(rdata, on = align.by, k = align.period)
}
if(makeReturns)
{
@@ -72,7 +72,7 @@
{
rdata = data
}
- multixts = highfrequency:::.multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
result = apply.daily(rdata, rQuar, align.by, align.period,
@@ -82,7 +82,7 @@
if (!multixts)
{
if ((!is.null(align.by)) && (!is.null(align.period))) {
- rdata = highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata = .aggregatets(rdata, on = align.by, k = align.period)
}
if (makeReturns)
{
@@ -104,7 +104,7 @@
{
rdata = data
}
- multixts =highfrequency::: .multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
result = apply.daily(rdata, rQPVar, align.by, align.period, ##check FUN
@@ -114,7 +114,7 @@
if (!multixts)
{
if ((!is.null(align.by)) && (!is.null(align.period))) {
- rdata =highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata =.aggregatets(rdata, on = align.by, k = align.period)
}
if (makeReturns)
{
@@ -137,7 +137,7 @@
{
rdata = data
}
- multixts = highfrequency:::.multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
result = apply.daily(rdata, rTPVar, align.by, align.period,
@@ -147,7 +147,7 @@
if (!multixts)
{
if ((!is.null(align.by)) && (!is.null(align.period))) {
- rdata = highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata = .aggregatets(rdata, on = align.by, k = align.period)
}
if (makeReturns)
{
@@ -175,7 +175,7 @@
{
if (hasArg(data)){ rdata = data }
- multixts = highfrequency:::.multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
result = apply.daily(rdata, ivInference, align.by, align.period,
@@ -184,7 +184,7 @@
}
else{
if((!is.null(align.by)) && (!is.null(align.period))){
- rdata = highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata = .aggregatets(rdata, on = align.by, k = align.period)
}
if(makeReturns){ rdata=makeReturns(rdata) }
@@ -226,7 +226,7 @@
{
if (hasArg(data)){ rdata = data }
- multixts = highfrequency:::.multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
@@ -235,7 +235,7 @@
}else{
if((!is.null(align.by)) && (!is.null(align.period))) {
- rdata = highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata = .aggregatets(rdata, on = align.by, k = align.period)
}
if(makeReturns){ rdata = makeReturns(rdata) }
@@ -243,7 +243,7 @@
N=length(rdata)
## hatQV
- hatQV = highfrequency:::RV(rdata)
+ hatQV = RV(rdata)
## hatIV
hatIV = .hativ( rdata, IVestimator, N=N, ... )
@@ -260,13 +260,13 @@
##logtransform
if(logtransform)
{
- hatQV = log(highfrequency:::RV(rdata))
+ hatQV = log(RV(rdata))
hatIV = log(.hativ(rdata,IVestimator, N, ...))
}
if(!logtransform)
{
- hatQV = highfrequency:::RV(rdata)
+ hatQV = RV(rdata)
hatIV = .hativ(rdata,IVestimator, N, ...)
}
@@ -301,7 +301,7 @@
{
product = .hatiq(rdata,IQestimator)/.hativ(rdata,IVestimator, N, ...)^2
}
- a = sqrt(N)*(1-.hativ(rdata,IVestimator, N, ...)/highfrequency:::RV(rdata))/sqrt((theta-2)*product)
+ a = sqrt(N)*(1-.hativ(rdata,IVestimator, N, ...)/RV(rdata))/sqrt((theta-2)*product)
out = {}
out$ztest = a
out$critical.value = qnorm(c(0.025,0.975))
@@ -319,8 +319,8 @@
R = .simre(pdata)
r = makeReturns(pdata)
N = length(pdata)-1
- bv = highfrequency:::RBPVar(r)
- rv = highfrequency:::RV(r)
+ bv = RBPVar(r)
+ rv = RV(r)
SwV = 2*sum(R-r)
mu1 = 2^(6/2)*gamma(1/2*(6+1))/gamma(1/2)
@@ -362,14 +362,14 @@
{
if (hasArg(data)) { pdata = data }
- multixts = highfrequency:::.multixts(pdata)
+ multixts = .multixts(pdata)
if (multixts)
{
result = apply.daily(pdata, AJjumptest, align.by, align.period, makeReturns)
return(result)
}else{
- pdata = highfrequency:::.aggregatets(pdata, on = "seconds", k = 1)
+ pdata = .aggregatets(pdata, on = "seconds", k = 1)
}
N = length(pdata)-1;
@@ -423,7 +423,7 @@
rdata = data
}
- multixts = highfrequency::: .multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
@@ -435,7 +435,7 @@
if (!multixts)
{
if ((!is.null(align.by)) && (!is.null(align.period))) {
- rdata =highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata =.aggregatets(rdata, on = align.by, k = align.period)
}
if (makeReturns)
{
@@ -468,7 +468,7 @@
rdata = data
}
- multixts =highfrequency::: .multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
@@ -480,7 +480,7 @@
if (!multixts)
{
if ((!is.null(align.by)) && (!is.null(align.period))) {
- rdata =highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata =.aggregatets(rdata, on = align.by, k = align.period)
}
if (makeReturns)
{
@@ -490,7 +490,7 @@
q=as.numeric(rdata)
N= length(q)
- rv= highfrequency:::RV(rdata)
+ rv= RV(rdata)
rSkew= sqrt(N)*sum(q^3)/rv^(3/2)
@@ -509,7 +509,7 @@
rdata = data
}
- multixts =highfrequency::: .multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
@@ -521,7 +521,7 @@
if (!multixts)
{
if ((!is.null(align.by)) && (!is.null(align.period))) {
- rdata =highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata =.aggregatets(rdata, on = align.by, k = align.period)
}
if (makeReturns)
{
@@ -531,7 +531,7 @@
q=as.numeric(rdata)
N= length(q)
- rv= highfrequency:::RV(rdata)
+ rv= RV(rdata)
rkurt= N*sum(q^4)/rv^(2)
@@ -549,7 +549,7 @@
rdata = data
}
- multixts =highfrequency::: .multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
@@ -560,7 +560,7 @@
if (!multixts)
{
if ((!is.null(align.by)) && (!is.null(align.period))) {
- rdata =highfrequency:::.aggregatets(rdata, on = align.by, k = align.period)
+ rdata =.aggregatets(rdata, on = align.by, k = align.period)
}
if (makeReturns)
{
@@ -597,13 +597,13 @@
n = length(pdata)
}
if (n == 1) {
- multixts = highfrequency:::.multixts(pdata);
+ multixts = .multixts(pdata);
if(multixts){ stop("This function does not support having an xts object of multiple days as input. Please provide a timeseries of one day as input"); }
mrc = .crv(pdata)
}
if (n > 1) {
- multixts = highfrequency:::.multixts(pdata[[1]]);
+ multixts = .multixts(pdata[[1]]);
if(multixts){ stop("This function does not support having an xts object of multiple days as input. Please provide a timeseries of one day as input"); }
if(pairwise){
@@ -675,7 +675,7 @@
rindex= makeReturns(rindex)
}
- multixts = highfrequency:::.multixts(rdata)
+ multixts = .multixts(rdata)
if (multixts)
{
@@ -716,8 +716,8 @@
{
switch(RVestimator,
- RV= highfrequency:::RV(rindex),
- BV= highfrequency:::RBPVar(rindex),
+ RV= RV(rindex),
+ BV= RBPVar(rindex),
minRV= minRV(rindex ),
medRV= medRV(rindex ),
rCov= rCov(rindex ) ,
@@ -949,8 +949,8 @@
.hativ = function( rdata, IVestimator, startV = NULL, N,...)
{
switch(IVestimator,
- RV = highfrequency:::RV(rdata),
- BV = highfrequency:::RBPVar(rdata),
+ RV = RV(rdata),
+ BV = RBPVar(rdata),
TV = rTPVar(rdata),
minRV = minRV(rdata),
medRV = medRV(rdata),
@@ -1005,6 +1005,7 @@
x[(2:l), ] = x[(2:l), ]/x[(1:(l - 1)), ]-1
x[1, ] = rep(0, dim(pdata)[2])
x = xts(x, order.by = index(pdata))
+ return(x)
}
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