[Returnanalytics-commits] r2848 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2013-08-22 00:32:48 +0200 (Thu, 22 Aug 2013)
New Revision: 2848

Modified:
   pkg/PortfolioAnalytics/R/moment.functions.R
Log:
adding ETL and mETL in the switch statement for set.portfolio.moments

Modified: pkg/PortfolioAnalytics/R/moment.functions.R
===================================================================
--- pkg/PortfolioAnalytics/R/moment.functions.R	2013-08-21 22:25:10 UTC (rev 2847)
+++ pkg/PortfolioAnalytics/R/moment.functions.R	2013-08-21 22:32:48 UTC (rev 2848)
@@ -214,6 +214,8 @@
              mES =,
              CVaR =,
              cVaR =,
+             ETL=,
+             mETL=,
              ES = {
                if(is.null(momentargs$mu)) momentargs$mu = matrix( as.vector(apply(R,2,'mean')),ncol=1);
                if(is.null(momentargs$sigma)) momentargs$sigma = cov(R)