[Returnanalytics-commits] r1942 - pkg/PerformanceAnalytics/R

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

Author: ababii
Date: 2012-05-04 17:14:09 +0200 (Fri, 04 May 2012)
New Revision: 1942

Added:
   pkg/PerformanceAnalytics/R/contribution.R
Log:
Test submission to make sure that I can make commits

Added: pkg/PerformanceAnalytics/R/contribution.R
===================================================================
--- pkg/PerformanceAnalytics/R/contribution.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/R/contribution.R	2012-05-04 15:14:09 UTC (rev 1942)
@@ -0,0 +1,60 @@
+#' dissects the total portfolio returns into components
+#' 
+#' @aliases contibution
+#' 
+#' Performs simple contribution analysis by dissecting the total portoflio
+#' returns into components
+
+#' Performance calculated at the total portfolio level summarizes a lot 
+#' of data within a single return number. Dissecting the total portfolio 
+#' return into components allows an analyst to uncover the sources of 
+#' the return. 
+#'
+#' @aliases contribution
+#' @param Rp vector of portfolio returns
+#' @param wp vector of portfolio weights
+#' @author Andrii Babii
+#' @seealso 
+#' @references Jon A. Christopherson, David R., Wayne E. Ferson 
+#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
+#' @examples
+#' 
+#'     data(managers)
+#'     CalmarRatio(managers[,1,drop=FALSE])
+#'     CalmarRatio(managers[,1:6]) 
+#'     SterlingRatio(managers[,1,drop=FALSE])
+#'     SterlingRatio(managers[,1:6])
+#' 
+contribution <- function (Rp, wp)
+{ # @author Andrii Babii
+
+    # DESCRIPTION:
+    # Inputs:
+    # Rp: portfolio returns
+    # wp: portfolio weights
+    # Outputs:
+    # This function returns contibutions of each segment
+
+    # FUNCTION:
+    Rp = checkData(Rp)
+    wp = checkData(wp)
+    contr <- function(Rp, wp){
+        c = Rp * wp
+    }
+}
+
+
+#' @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 $
+#
+###############################################################################