[Returnanalytics-commits] r2861 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2013-08-23 04:36:19 +0200 (Fri, 23 Aug 2013)
New Revision: 2861

Modified:
   pkg/PortfolioAnalytics/R/charts.efficient.frontier.R
   pkg/PortfolioAnalytics/R/extract.efficient.frontier.R
Log:
Adding n.portfolios as an optional argument to extract.efficient.frontier to generate the sequence

Modified: pkg/PortfolioAnalytics/R/charts.efficient.frontier.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.efficient.frontier.R	2013-08-23 01:42:10 UTC (rev 2860)
+++ pkg/PortfolioAnalytics/R/charts.efficient.frontier.R	2013-08-23 02:36:19 UTC (rev 2861)
@@ -150,7 +150,7 @@
   rnames <- colnames(R)
   
   # get the data of the efficient frontier
-  frontier <- extract.efficient.frontier(object=object, match.col=match.col)
+  frontier <- extract.efficient.frontier(object=object, match.col=match.col, n.portfolios=n.portfolios)
   
   # data points to plot the frontier
   x.f <- frontier[, match.col]

Modified: pkg/PortfolioAnalytics/R/extract.efficient.frontier.R
===================================================================
--- pkg/PortfolioAnalytics/R/extract.efficient.frontier.R	2013-08-23 01:42:10 UTC (rev 2860)
+++ pkg/PortfolioAnalytics/R/extract.efficient.frontier.R	2013-08-23 02:36:19 UTC (rev 2861)
@@ -35,14 +35,14 @@
 #' @param portfolio an object of type "portfolio" specifying the constraints and objectives for the optimization, see \code{\link{portfolio.spec}}
 #' @param optimize_method one of "DEoptim", "random", "ROI", "pso", or "GenSA"
 #' @export
-extract.efficient.frontier <- function (object=NULL, match.col='ES', from=0, to=1, by=0.005, ..., R=NULL, portfolio=NULL, optimize_method='random')
+extract.efficient.frontier <- function (object=NULL, match.col='ES', from=NULL, to=NULL, by=0.005, n.portfolios=NULL, ..., R=NULL, portfolio=NULL, optimize_method='random')
 {
     #TODO add a threshold argument for how close it has to be to count
     # do we need to recalc the constrained_objective too?  I don't think so.
     if(!inherits(object, "optimize.portfolio")) stop("object passed in must of of class 'portfolio'")
     
-    set<-seq(from=from,to=to,by=by)
-    set<-cbind(quantmod::Lag(set,1),as.matrix(set))[-1,]
+    #set<-seq(from=from,to=to,by=by)
+    #set<-cbind(quantmod::Lag(set,1),as.matrix(set))[-1,]
     if(is.null(object)){
         if(!is.null(R) & !is.null(portfolio)){
             portfolios<-optimize.portfolio(portfolio=portfolio, R=R, optimize_method=optimize_method[1], trace=TRUE, ...)
@@ -67,7 +67,21 @@
     if(is.na(mtc)) {
         mtc = pmatch(paste(match.col,match.col,sep='.'),columnnames)
     }
+    if(is.null(from)){
+      from <- min(xtract[, mtc])
+    }
+    if(is.null(to)){
+      to <- max(xtract[, mtc])
+    }
+    if(!is.null(n.portfolios)){
+      # create the sequence using length.out if the user has specified a value for the n.portfolios arg
+      set<-seq(from=from, to=to, length.out=n.portfolios)
+    } else {
+      # fall back to using by to create the sequence
+      set<-seq(from=from, to=to, by=by)
+    }
     
+    set<-cbind(quantmod::Lag(set,1),as.matrix(set))[-1,]
     result <- foreach(i=1:nrow(set),.inorder=TRUE, .combine=rbind, .errorhandling='remove') %do% {
         tmp<-xtract[which(xtract[,mtc]>=set[i,1] & xtract[,mtc]<set[i,2]),]
         #tmp<-tmp[which.min(tmp[,'out']),]