[Highfrequency-commits] r75 - pkg/highfrequency/R

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

Author: kboudt
Date: 2014-08-28 17:25:10 +0200 (Thu, 28 Aug 2014)
New Revision: 75

Modified:
   pkg/highfrequency/R/realized.R
Log:


Modified: pkg/highfrequency/R/realized.R
===================================================================
--- pkg/highfrequency/R/realized.R	2014-08-28 15:22:56 UTC (rev 74)
+++ pkg/highfrequency/R/realized.R	2014-08-28 15:25:10 UTC (rev 75)
@@ -2411,73 +2411,7 @@
 }
 
 
-###### start SPOTVOL FUNCTIONS formerly in periodicityTAQ #########
-# Documented function:
 
-spotVol =  function(pdata, dailyvol = "bipower", periodicvol = "TML", on = "minutes", 
-                    k = 5, dummies = FALSE, P1 = 4, P2 = 2,  marketopen = "09:30:00", 
-                    marketclose = "16:00:00") 
-{
-  require(chron);
-  dates = unique(format(time(pdata), "%Y-%m-%d"))
-  cDays = length(dates)
-  rdata = mR = c()
-  if(on=="minutes"){
-    intraday = seq(from=times(marketopen), to=times(marketclose), by=times(paste("00:0",k,":00",sep=""))) 
-  }
-  if(tail(intraday,1)!=marketclose){intraday=c(intraday,marketclose)}
-  intraday = intraday[2:length(intraday)];
-  for (d in 1:cDays) {
-    pdatad = pdata[as.character(dates[d])]
-    pdatad = aggregatePrice(pdatad, on = on, k = k , marketopen = marketopen, marketclose = marketclose)
-    z = xts( rep(1,length(intraday)) , order.by = timeDate( paste(dates[d],as.character(intraday),sep="") , format = "%Y-%m-%d %H:%M:%S"))
-    pdatad = merge.xts( z , pdatad )$pdatad
-    pdatad = na.locf(pdatad)
-    rdatad = makeReturns(pdatad)
-    rdatad = rdatad[time(rdatad) > min(time(rdatad))]
-    rdata = rbind(rdata, rdatad)
-    mR = rbind(mR, as.numeric(rdatad))
-  }
-  mR[is.na(mR)]=0
-  M = ncol(mR)
-  if (cDays == 1) {
-    mR = as.numeric(rdata)
-    estimdailyvol = switch(dailyvol, bipower = rBPCov(mR), 
-                           medrv = medRV(mR), rv = RV(mR))
-  }else {
-    estimdailyvol = switch(dailyvol, bipower = apply(mR, 
-                                                     1, "rBPCov"), medrv = apply(mR, 1, "medRV"), rv = apply(mR, 
-                                                                                                             1, "RV"))
-  }
-  if (cDays <= 50) {
-    print("Periodicity estimation requires at least 50 observations. Periodic component set to unity")
-    estimperiodicvol = rep(1, M)
-  }
-  else {
-    mstdR = mR/sqrt(estimdailyvol * (1/M))
-    selection = c(1:M)[ (nrow(mR)-apply(mR,2,'countzeroes')) >=20] 
-    # preferably no na is between
-    selection = c( min(selection) : max(selection) )
-    mstdR = mstdR[,selection]
-    estimperiodicvol_temp = diurnal(stddata = mstdR, method = periodicvol, 
-                                    dummies = dummies, P1 = P1, P2 = P2)[[1]]
-    estimperiodicvol = rep(1,M)
-    estimperiodicvol[selection] = estimperiodicvol_temp
-    mfilteredR = mR/matrix(rep(estimperiodicvol, cDays), 
-                           byrow = T, nrow = cDays)
-    estimdailyvol = switch(dailyvol, bipower = apply(mfilteredR, 
-                                                     1, "rBPCov"), medrv = apply(mfilteredR, 1, "medRV"), 
-                           rv = apply(mfilteredR, 1, "RV"))
-  }
-  out = cbind(rdata, rep(sqrt(estimdailyvol * (1/M)), each = M) * 
-    rep(estimperiodicvol, cDays), rep(sqrt(estimdailyvol * 
-    (1/M)), each = M), rep(estimperiodicvol, cDays))
-  out = xts(out, order.by = time(rdata))
-  names(out) = c("returns", "vol", "dailyvol", "periodicvol")
-  return(out)
-}
-
-
 # internal non documented functions: 
 HRweight = function( d,k){
   # Hard rejection weight function