[Returnanalytics-commits] r1972 - pkg/PerformanceAnalytics/R

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

Author: ababii
Date: 2012-06-03 22:25:56 +0200 (Sun, 03 Jun 2012)
New Revision: 1972

Removed:
   pkg/PerformanceAnalytics/R/contribution.R
Log:


Deleted: pkg/PerformanceAnalytics/R/contribution.R
===================================================================
--- pkg/PerformanceAnalytics/R/contribution.R	2012-06-03 20:02:53 UTC (rev 1971)
+++ pkg/PerformanceAnalytics/R/contribution.R	2012-06-03 20:25:56 UTC (rev 1972)
@@ -1,72 +0,0 @@
-#' computes contribution of the portfolio segments
-#' 
-#' @aliases contibution
-#' 
-#' Performs simple contribution analysis of returns. Used to uncover the sources 
-#' of the return using returns and portfolio weights. Total portfolio returns can be 
-#' decomposed into segments: \deqn{R=\underset{i}{\sum}w_{i}R_{i}}
-#' R=sum_i(wi*Ri)
-#'
-#' @aliases contribution
-#' @param Rp a matrix, data frame, or timeSeries of returns
-#' @param wp a matrix, data frame, or timeSeries of weights
-#' @author Andrii Babii
-#' @seealso 
-#' @references Jon A. Christopherson, David R., Wayne E. Ferson 
-#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009., Chapter 17
-#' @examples
-#' 
-#' data(portfolio)
-#'     c <- contribution(portfolio[, 6], portfolio[, 7])
-#'     data.frame(portfolio, c)
-#'
-#'
-contribution <- 
-function (Rp, wp)
-{ # @author Andrii Babii
-
-    # DESCRIPTION:
-    # This is a wrapper for calculating contribution to returns.
-    
-    # Inputs:
-    # Rp: a matrix, data frame, or timeSeries of returns
-    # wp: a matrix, data frame, or timeSeries of weights
-  
-    # Outputs:
-    # This function returns the vector or matrix of contribution to returns
-
-    # FUNCTION:
-
-    Rp = checkData(Rp, method = "zoo")
-    wp = checkData(wp, method = "zoo")
-    
-    columns = ncol(Rp)
-    rows = nrow(Rp)
-    columnames = colnames(Rp)
-    
-    for(i in 1:columns){
-    contr = Rp[, i] * wp[, i]
-    if(i == 1){
-        result.contr = contr
-    } else{
-        result.contr = merge(result.contr, contr)
-    }
-    }
-    colnames(result.contr) = columnames
-    return(result.contr)
-}
-
-#' @export 
-#' @rdname contribution
-
-###############################################################################
-# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
-#
-# Copyright (c) 2004-2012 Peter Carl and Brian G. Peterson
-#
-# This R package is distributed under the terms of the GNU Public License (GPL)
-# for full details see the file COPYING
-#
-# $Id: CalmarRatio.R 1905 2012-04-21 19:23:13Z braverock $
-#
-###############################################################################