[Returnanalytics-commits] r1918 - pkg/PortfolioAnalytics/sandbox

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

Author: peter_carl
Date: 2012-04-28 04:03:16 +0200 (Sat, 28 Apr 2012)
New Revision: 1918

Modified:
   pkg/PortfolioAnalytics/sandbox/script.workshop2012.R
Log:
- first cut at distributions slide


Modified: pkg/PortfolioAnalytics/sandbox/script.workshop2012.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/script.workshop2012.R	2012-04-27 21:09:07 UTC (rev 1917)
+++ pkg/PortfolioAnalytics/sandbox/script.workshop2012.R	2012-04-28 02:03:16 UTC (rev 1918)
@@ -112,6 +112,31 @@
 ## EDHEC Indexes Table of Return and Risk Statistics
 # --------------------------------------------------------------------
 # @TODO: This is frosting, do it last
+png(filename="EDHEC-Distributions.png", units="in", height=5.5, width=9, res=96) 
+op <- par(no.readonly = TRUE)
+# c(bottom, left, top, right)
+par(oma = c(5,12,6,2), mar=c(0,0,0,3))
+layout(matrix(1:21, ncol=3, byrow=TRUE))
+# layout.show(n=21)
+chart.mins=min(edhec.R)
+chart.maxs=max(edhec.R)
+# @TODO: Fix chart.ECDF - delete xlim, ylim; add xaxis, yaxis=TRUE
+# @TODO: Fix chart.QQPlot - add xaxis, yaxis=TRUE; ylim; add 45 degree line abline(0,1) and dashed best fit line
+# @TODO: Unify blue default color between fits
+for(i in 1:7){
+  if(i==7){
+    chart.Histogram(edhec.R[,i], main="", xlim=c(chart.mins, chart.maxs), breaks=seq(-0.15,0.10, by=0.01))
+    chart.QQPlot(edhec.R[,i], main="")
+    chart.ECDF(edhec.R[,i], main="", xlim=c(chart.mins, chart.maxs))
+  }
+  else{
+    chart.Histogram(edhec.R[,i], main="", xlim=c(chart.mins, chart.maxs), breaks=seq(-0.15,0.10, by=0.01), xaxis=FALSE, yaxis=FALSE)
+    chart.QQPlot(edhec.R[,i], main="")
+    chart.ECDF(edhec.R[,i], main="", xlim=c(chart.mins, chart.maxs), xaxis=FALSE, yaxis=FALSE)
+  }
+}
+par(op)
+dev.off()
 
 # --------------------------------------------------------------------
 # Correlation