[Returnanalytics-commits] r2279 - pkg/Meucci

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

Author: braverock
Date: 2012-09-07 17:23:35 +0200 (Fri, 07 Sep 2012)
New Revision: 2279

Added:
   pkg/Meucci/NAMESPACE
Removed:
   pkg/Meucci/.~lock.Meucci_functions.csv#
Modified:
   pkg/Meucci/DESCRIPTION
Log:
- updates to hopefully allow build on R-Forge


Deleted: pkg/Meucci/.~lock.Meucci_functions.csv#
===================================================================
--- pkg/Meucci/.~lock.Meucci_functions.csv#	2012-09-06 20:56:25 UTC (rev 2278)
+++ pkg/Meucci/.~lock.Meucci_functions.csv#	2012-09-07 15:23:35 UTC (rev 2279)
@@ -1 +0,0 @@
-Brian Peterson,brian,brian-rcg,23.04.2012 15:26,file:///home/brian/.libreoffice/3;
\ No newline at end of file

Modified: pkg/Meucci/DESCRIPTION
===================================================================
--- pkg/Meucci/DESCRIPTION	2012-09-06 20:56:25 UTC (rev 2278)
+++ pkg/Meucci/DESCRIPTION	2012-09-07 15:23:35 UTC (rev 2279)
@@ -1,24 +1,34 @@
 Package: Meucci
 Type: Package
-Title: Collection of functionality ported from the MATLAB code of Attilio Meucci.
+Title: Collection of functionality ported from the MATLAB code of Attilio
+    Meucci.
 Version: 0.2
 Date: $Date: 2012-06-06 15:18:48 -0500 (Wed, 06 Jun 2012) $
 Author: Ram Ahluwalia, Manan Shah
 Maintainer: Brian G. Peterson <brian at braverock.com>
-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 a 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.  
-
+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 a
+    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
+    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
-Suggests:
 License: GPL
 URL: http://r-forge.r-project.org/projects/returnanalytics/
 Copyright: (c) 2012

Added: pkg/Meucci/NAMESPACE
===================================================================
--- pkg/Meucci/NAMESPACE	                        (rev 0)
+++ pkg/Meucci/NAMESPACE	2012-09-07 15:23:35 UTC (rev 2279)
@@ -0,0 +1,28 @@
+export(Central2Raw)
+export(CMAcombination)
+export(CMAseparation)
+export(ComputeMoments)
+export(ComputeMVE)
+export(CondProbViews)
+export(Cumul2Raw)
+export(DetectOutliersViaMVE)
+export(EntropyProg)
+export(GenerateLogNormalDistribution)
+export(hermitePolynomial)
+export(integrateSubIntervals)
+export(linreturn)
+export(MvnRnd)
+export(NoisyObservations)
+export(normalizeProb)
+export(PanicCopula)
+export(PartialConfidencePosterior)
+export(PlotDistributions)
+export(Raw2Central)
+export(Raw2Cumul)
+export(RejectOutlier)
+export(RIEfficientFrontier)
+export(robustBayesianPortfolioOptimization)
+export(std)
+export(subIntervals)
+export(SummStats)
+export(Tweak)