[Returnanalytics-commits] r2790 - pkg/PerformanceAnalytics/sandbox/pulkit/week7

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

Author: pulkit
Date: 2013-08-15 12:30:02 +0200 (Thu, 15 Aug 2013)
New Revision: 2790

Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/week7/ExtremeDrawdown.R
Log:
Extreme Drawdown in Drawdowns

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week7/ExtremeDrawdown.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week7/ExtremeDrawdown.R	2013-08-15 05:40:53 UTC (rev 2789)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week7/ExtremeDrawdown.R	2013-08-15 10:30:02 UTC (rev 2790)
@@ -27,13 +27,29 @@
 #'
 #'
 #' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of asset return 
+#' @param type The type of distribution "gpd","pd","weibull","exponential"
+#' @param threshold The threshold beyond which the drawdowns have to be modelled
 #' 
 #'@references
-#'Mendes, Beatriz V.M. and Leal, Ricardo P.C., Maximum Drawdown: Models and Applications (November 2003). Coppead Working Paper Series No. 359. Available at SSRN: http://ssrn.com/abstract=477322 or http://dx.doi.org/10.2139/ssrn.477322.
+#'Mendes, Beatriz V.M. and Leal, Ricardo P.C., Maximum Drawdown: Models and Applications (November 2003). Coppead Working Paper Series No. 359. 
+#'Available at SSRN: http://ssrn.com/abstract=477322 or http://dx.doi.org/10.2139/ssrn.477322.
 #'
 #'
+DrawdownGPD<-function(R,type=c("gpd","pd","weibull","exponential"),threshold=0.90){
+    x = checkData(R)
+    columns = ncol(R)
+    columnnames = colnames(R)
+    type = type[1]
+    dr = -Drawdowns(R)
+    dr_sorted = sort(as.vector(dr))
+    data = dr_sorted[0.9*nrow(R):nrow(r)]
+}
 
 
 
 
 
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