[Returnanalytics-commits] r2055 - pkg/PortfolioAnalytics/sandbox/attribution/R

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

Author: ababii
Date: 2012-06-24 19:12:24 +0200 (Sun, 24 Jun 2012)
New Revision: 2055

Modified:
   pkg/PortfolioAnalytics/sandbox/attribution/R/test_suite.R
Log:
- Davies-Laker linking

Modified: pkg/PortfolioAnalytics/sandbox/attribution/R/test_suite.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/R/test_suite.R	2012-06-24 17:08:36 UTC (rev 2054)
+++ pkg/PortfolioAnalytics/sandbox/attribution/R/test_suite.R	2012-06-24 17:12:24 UTC (rev 2055)
@@ -1,9 +1,11 @@
 # I. Different options
 data(attrib)
 for (i in c("none", "top.down", "bottom.up")){
-    for (j in c("carino", "menchero", "grap", "frongello")){
+    for (j in c("carino", "menchero", "grap", "frongello", "davies.laker")){
         for (k in c(TRUE, FALSE)){
-            Attribution(Rp, wp, Rb, wb, i, j, k)
+            for (l in c(TRUE, FALSE)){
+            Attribution(Rp, wp, Rb, wb, i, j, k, l)
+            }
         }
     }
 }
@@ -12,7 +14,8 @@
 Attribution(Rp, wp, Rb, wb, method = "bottom.up", linking = "menchero")
 Attribution(Rp, wp, Rb, wb, method = "none", linking = "grap")
 Attribution(Rp, wp, Rb, wb, method = "none", linking = "frongello")
-Attribution(Rp, wp, Rb, wb, geometric = TRUE)
+Attribution(Rp, wp, Rb, wb, method = "none", linking = "davies.laker")
+Attribution(Rp, wp, Rb, wb, method = "none", geometric = TRUE)
 
 Weight.transform(wp, Rp)
 Return.level(Rp, wp, h, level = "Sector")
@@ -61,20 +64,20 @@
 Attribution(RP, WP, RB, WB, "none", "carino") # The same as in Table 5.2 (Bacon, 2008)
 
 # 2. Carino linking
-Carino(rp, rb, allocation)   # Total attribution effects are the same as in Table 8.2 (Bacon, 2008)
-Carino(rp, rb, selection)    # Total attribution effects are the same as in Table 8.2 (Bacon, 2008)
+Carino(rp, rb, allocation, TRUE)   # Attribution effects are the same as in Table 8.2 (Bacon, 2008)
+Carino(rp, rb, selection, TRUE)    # Attribution effects are the same as in Table 8.2 (Bacon, 2008)
 
 # 3. Menchero linking
-Menchero(rp, rb, allocation) # Total attribution effects are the same as in Table 8.3 (Bacon, 2008)
-Menchero(rp, rb, selection)  # Total attribution effects are the same as in Table 8.3 (Bacon, 2008)
+Menchero(rp, rb, allocation, TRUE) # Attribution effects are the same as in Table 8.3 (Bacon, 2008)
+Menchero(rp, rb, selection, TRUE)  # Attribution effects are the same as in Table 8.3 (Bacon, 2008)
 
 # 4. GRAP linking
-Grap(rp, rb, allocation)     # Total attribution effects are the same as in Table 8.4 (Bacon, 2008)
-Grap(rp, rb, selection)      # Total attribution effects are the same as in Table 8.4 (Bacon, 2008)
+Grap(rp, rb, allocation, TRUE)     # Attribution effects are the same as in Table 8.4 (Bacon, 2008)
+Grap(rp, rb, selection, TRUE)      # Attribution effects are the same as in Table 8.4 (Bacon, 2008)
 
 # 5. Frongello linking
-Frongello(rp, rb, allocation)# Total attribution effects are the same as in Table 8.5 (Bacon, 2008)
-Frongello(rp, rb, selection) # Total attribution effects are the same as in Table 8.5 (Bacon, 2008)
+Frongello(rp, rb, allocation, TRUE)# Attribution effects are the same as in Table 8.5 (Bacon, 2008)
+Frongello(rp, rb, selection, TRUE) # Attribution effects are the same as in Table 8.5 (Bacon, 2008)
 
 # 6. Geometric attribution
 # 6.1 Single-period
@@ -87,7 +90,5 @@
 # 6.2 Multi-period
 index(wp) <- as.Date(c("2011-12-31", "2012-02-01", "2012-03-01", "2012-04-01"))
 index(wb) <- as.Date(c("2011-12-31", "2012-02-01", "2012-03-01", "2012-04-01"))
-Attribution(Rp, wp, Rb, wb, geometric = TRUE) # Total effects and annualized excess returns are the 
-                                              # same as in Table 8.6 and Exhibit 8.12 (Bacon, 2008)
-                                    
-# 7. Multi-level geometric attribution
+Attribution(Rp, wp, Rb, wb, geometric = TRUE) # Total effects and total excess returns are the 
+                                              # same as in Table 8.6 and Exhibit 8.12 (Bacon, 2008)
\ No newline at end of file