[Returnanalytics-commits] r2215 - in pkg/PerformanceAnalytics: R man

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

Author: braverock
Date: 2012-07-27 19:52:27 +0200 (Fri, 27 Jul 2012)
New Revision: 2215

Modified:
   pkg/PerformanceAnalytics/R/ES.R
   pkg/PerformanceAnalytics/R/PortfolioRisk.R
   pkg/PerformanceAnalytics/man/ES.Rd
Log:
- remove ES portfolio kernel method for now, lay groudwork for adding it back in later

Modified: pkg/PerformanceAnalytics/R/ES.R
===================================================================
--- pkg/PerformanceAnalytics/R/ES.R	2012-07-27 17:10:06 UTC (rev 2214)
+++ pkg/PerformanceAnalytics/R/ES.R	2012-07-27 17:52:27 UTC (rev 2215)
@@ -16,7 +16,7 @@
 #' @param R a vector, matrix, data frame, timeSeries or zoo object of asset
 #' returns
 #' @param p confidence level for calculation, default p=.95
-#' @param method one of "modified","gaussian","historical", "kernel", see
+#' @param method one of "modified","gaussian","historical", see
 #' Details.
 #' @param clean method for data cleaning through \code{\link{Return.clean}}.
 #' Current options are "none", "boudt", or "geltner".
@@ -116,7 +116,7 @@
 #'     ES(edhec, clean="boudt", portfolio_method="component")
 #' 
 ETL <- CVaR <- ES <- function (R=NULL , p=0.95, ..., 
-        method=c("modified","gaussian","historical", "kernel"), 
+        method=c("modified","gaussian","historical"), 
         clean=c("none","boudt", "geltner"),  
         portfolio_method=c("single","component"), 
         weights=NULL, mu=NULL, sigma=NULL, m3=NULL, m4=NULL, 
@@ -187,7 +187,7 @@
                 switch(method,
                         modified = { rES=mES.MM(w=weights, mu=mu, sigma=sigma, M3=m3 , M4=m4 , p=p) }, 
                         gaussian = { rES=GES.MM(w=weights, mu=mu, sigma=sigma, p=p) },
-                        historical = { rES = (ES.historical(R=R,p=p) %*% weights) } # note that this is not tested for weighting the univariate calc by the weights
+                        historical = { rES = ES.historical(R=R,p=p) %*% weights }, # note that this is not tested for weighting the univariate calc by the weights,
                 ) # end multivariate method
             }
 	        # check for unreasonable results
@@ -224,7 +224,8 @@
 			     else return(ES.CornishFisher.portfolio(p,weights,mu,sigma,m3,m4))
 			   },
                 gaussian = { return(ES.Gaussian.portfolio(p,weights,mu,sigma)) },
-                historical = { return(ES.historical.portfolio(R, p,weights)) }
+                historical = { return(ES.historical.portfolio(R, p,weights)) },
+                kernel = { return(ES.kernel.portfolio(R=R,p=p,w=w)) }
             )
 
         } # end component portfolio switch

Modified: pkg/PerformanceAnalytics/R/PortfolioRisk.R
===================================================================
--- pkg/PerformanceAnalytics/R/PortfolioRisk.R	2012-07-27 17:10:06 UTC (rev 2214)
+++ pkg/PerformanceAnalytics/R/PortfolioRisk.R	2012-07-27 17:52:27 UTC (rev 2215)
@@ -290,6 +290,20 @@
    return(ret)
 }
 
+ES.kernel.portfolio= function( R, p, w )
+{#WARNING incomplete
+    VAR<-VaR.kernel.portfolio( R, p, w )
+    
+    #I'm sure that using Return.portfolio probably makes more sense here...
+    T = dim(R)[1]; N = dim(R)[2];
+    portfolioreturn = c();
+    for( t in 1:T ){ portfolioreturn = c( portfolioreturn , sum(w*R[t,]) ) }
+    
+    PES<-mean(portfolioreturn>VAR$VaR)
+    
+    
+}
+
 ES.Gaussian.portfolio =  function(p,w,mu,sigma)
 {
    alpha = .setalphaprob(p)

Modified: pkg/PerformanceAnalytics/man/ES.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/ES.Rd	2012-07-27 17:10:06 UTC (rev 2214)
+++ pkg/PerformanceAnalytics/man/ES.Rd	2012-07-27 17:52:27 UTC (rev 2215)
@@ -6,7 +6,7 @@
 univariate and component, using a variety of analytical methods.}
 \usage{
   ETL(R = NULL, p = 0.95, ...,
-    method = c("modified", "gaussian", "historical", "kernel"),
+    method = c("modified", "gaussian", "historical"),
     clean = c("none", "boudt", "geltner"),
     portfolio_method = c("single", "component"),
     weights = NULL, mu = NULL, sigma = NULL, m3 = NULL,
@@ -19,7 +19,7 @@
   \item{p}{confidence level for calculation, default p=.95}
 
   \item{method}{one of "modified","gaussian","historical",
-  "kernel", see Details.}
+  see Details.}
 
   \item{clean}{method for data cleaning through
   \code{\link{Return.clean}}. Current options are "none",