[Returnanalytics-commits] r2226 - pkg/PortfolioAnalytics/sandbox/attribution/R

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

Author: ababii
Date: 2012-08-09 14:59:54 +0200 (Thu, 09 Aug 2012)
New Revision: 2226

Modified:
   pkg/PortfolioAnalytics/sandbox/attribution/R/AttributionFixedIncome.R
   pkg/PortfolioAnalytics/sandbox/attribution/R/attribution.R
   pkg/PortfolioAnalytics/sandbox/attribution/R/attribution.levels.R
Log:
- stop and display warning if portfolio and benchmark returns are not conformable

Modified: pkg/PortfolioAnalytics/sandbox/attribution/R/AttributionFixedIncome.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/R/AttributionFixedIncome.R	2012-08-09 08:15:01 UTC (rev 2225)
+++ pkg/PortfolioAnalytics/sandbox/attribution/R/AttributionFixedIncome.R	2012-08-09 12:59:54 UTC (rev 2226)
@@ -106,7 +106,20 @@
     wp = Weight.transform(wp, Rp)
     wb = Weight.transform(wb, Rb)
     wbf = Weight.transform(wbf, Rb)
-    
+    if (ncol(Rb) == 1){
+      Rb = matrix(rep(coredata(Rb), ncol(Rp)), nrow(Rp), ncol(Rp))
+    }
+    if (ncol(Rb) != ncol(Rp)){
+      stop("Please use benchmark xts that has columns with benchmarks for each
+            asset or one common benchmark for all assets")
+    }
+    if (ncol(Db) == 1){
+      Db = matrix(rep(coredata(Db), ncol(Dp)), nrow(Dp), ncol(Dp))
+    }
+    if (ncol(Db) != ncol(Dp)){
+      print("Please use benchmark xts that has columns with benchmarks for each
+            asset or one common benchmark for all assets")
+    }
     if (is.vector(WP)  & is.vector(WB) & is.vector(WBF)){
       rp = Return.portfolio(Rp, WP, geometric = geometric)
       rb = Return.portfolio(Rb, WB, geometric = geometric)

Modified: pkg/PortfolioAnalytics/sandbox/attribution/R/attribution.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/R/attribution.R	2012-08-09 08:15:01 UTC (rev 2225)
+++ pkg/PortfolioAnalytics/sandbox/attribution/R/attribution.R	2012-08-09 12:59:54 UTC (rev 2226)
@@ -205,6 +205,13 @@
       Rp = Rp[2:nrow(Rp)]
       Rb = Rb[2:nrow(Rb)]
     }
+    if (ncol(Rb) == 1){
+      Rb = matrix(rep(coredata(Rb), ncol(Rp)), nrow(Rp), ncol(Rp))
+    }
+    if (ncol(Rb) != ncol(Rp)){
+      stop("Please use benchmark xts that has columns with benchmarks for each
+            asset or one common benchmark for all assets")
+    }
     method = method[1]
     linking = linking[1]
     

Modified: pkg/PortfolioAnalytics/sandbox/attribution/R/attribution.levels.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/R/attribution.levels.R	2012-08-09 08:15:01 UTC (rev 2225)
+++ pkg/PortfolioAnalytics/sandbox/attribution/R/attribution.levels.R	2012-08-09 12:59:54 UTC (rev 2226)
@@ -79,6 +79,13 @@
       Rp = Rp[2:nrow(Rp)]
       Rb = Rb[2:nrow(Rb)]
     }
+    if (ncol(Rb) == 1){
+      Rb = matrix(rep(coredata(Rb), ncol(Rp)), nrow(Rp), ncol(Rp))
+    }
+    if (ncol(Rb) != ncol(Rp)){
+      stop("Please use benchmark xts that has columns with benchmarks for each
+            asset or one common benchmark for all assets")
+    }
 
     levels <- unlist(list(...))
     if (!is.null(levels)) stopifnot(is.character(levels))