[Returnanalytics-commits] r2273 - pkg/Meucci

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

Author: peter_carl
Date: 2012-09-05 03:35:12 +0200 (Wed, 05 Sep 2012)
New Revision: 2273

Modified:
   pkg/Meucci/DESCRIPTION
Log:
- wrote more complete description and title lines


Modified: pkg/Meucci/DESCRIPTION
===================================================================
--- pkg/Meucci/DESCRIPTION	2012-09-02 22:24:14 UTC (rev 2272)
+++ pkg/Meucci/DESCRIPTION	2012-09-05 01:35:12 UTC (rev 2273)
@@ -1,25 +1,24 @@
 Package: Meucci
 Type: Package
-Title: Port of Attilio Meucci's Matlab code to R
-Version: 0.2
+Title: Collection of functionality ported from the MATLAB code of Attilio Meucci.
+Version: 1.0.4.5
 Date: $Date: 2012-06-06 15:18:48 -0500 (Wed, 06 Jun 2012) $
-Author: Ram Ahluwalia, Manan Shah
+Author: Manan Shah 
 Maintainer: Brian G. Peterson <brian at braverock.com>
-Description: Port of Attilio Meucci's Matlab code to R performed 
-persuant to GSoC 2012.
+Description: Attilio Meucci is a thought leader in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction), Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), and Copula-Marginal Algorithm (algorithm to generate panic copulas).
+
+Attilio is somewhat rare in the world of financial research, in that he regularly posts code along with his working papers.  Unfortunately for those of us using R, he prefers to code in Matlab.  Some of that code requires Matlab's additional Optimization Toolkit.
+
+This package is the result of a Google Summer of Code project in 2012 that sought to convert some subset of his Matlab code to R to make it more widely assessible to R users.  All of Meucci's original MATLAB source is available on www.symmys.com.  That code should be considered the reference code that this package seeks to port to R.  
+
+This package remains under heavy development (and likely will as long as Attilio keeps publishing code), and any and all feedback is appreciated.  
+
 Depends:
     R (>= 2.14.0),
     zoo,
     xts (>= 0.8),
-    matlab,
-    ggplot2,
-    MASS,
-    pracma,
-    Hmisc,
-    Matrix,
-    nloptr,
-    limSolve,moments,
-    quadprog
+    matlab
+Suggests:
 License: GPL
 URL: http://r-forge.r-project.org/projects/returnanalytics/
-Copyright: (c) 2004-2012
+Copyright: (c) 2012