[Returnanalytics-commits] r2865 - in pkg/PortfolioAnalytics: . R man

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

Author: rossbennett34
Date: 2013-08-23 21:33:56 +0200 (Fri, 23 Aug 2013)
New Revision: 2865

Modified:
   pkg/PortfolioAnalytics/NAMESPACE
   pkg/PortfolioAnalytics/R/charts.efficient.frontier.R
   pkg/PortfolioAnalytics/R/extract.efficient.frontier.R
   pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd
Log:
Modifying the create.EfficientFrontier function to return the asset returns and set the class. Adding function to chart an efficient frontier of an objected created by create.EfficientFrontier.

Modified: pkg/PortfolioAnalytics/NAMESPACE
===================================================================
--- pkg/PortfolioAnalytics/NAMESPACE	2013-08-23 18:32:04 UTC (rev 2864)
+++ pkg/PortfolioAnalytics/NAMESPACE	2013-08-23 19:33:56 UTC (rev 2865)
@@ -3,6 +3,7 @@
 export(applyFUN)
 export(box_constraint)
 export(CCCgarch.MM)
+export(chart.EfficientFrontier.efficient.frontier)
 export(chart.EfficientFrontier.optimize.portfolio.ROI)
 export(chart.EfficientFrontier.optimize.portfolio)
 export(chart.EfficientFrontier)

Modified: pkg/PortfolioAnalytics/R/charts.efficient.frontier.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.efficient.frontier.R	2013-08-23 18:32:04 UTC (rev 2864)
+++ pkg/PortfolioAnalytics/R/charts.efficient.frontier.R	2013-08-23 19:33:56 UTC (rev 2865)
@@ -198,11 +198,11 @@
 #' @export
 chart.Weights.EF <- function(object, colorset=NULL, ..., match.col="ES", main="EF Weights", las=1, cex.lab=0.8, cex.axis=0.8, cex.legend=0.8, legend.loc="under", legend.labels=NULL, element.color="darkgray"){
   if(!inherits(object, "efficient.frontier")) stop("object must be of class 'efficient.frontier'")
-  
+  frontier <- object$frontier
   # get the columns with weights
-  cnames <- colnames(object)
+  cnames <- colnames(frontier)
   wts_idx <- grep(pattern="^w\\.", cnames)
-  wts <- object[, wts_idx]
+  wts <- frontier[, wts_idx]
   
   if(!is.null(legend.labels)){
     # use legend.labels passed in by user
@@ -227,7 +227,7 @@
   if(is.na(mtc)) stop("could not match match.col with column name of extractStats output")
   
   # plot the 'match.col' (risk) as the x-axis labels 
-  xlabels <- round(object[, mtc], 4)
+  xlabels <- round(frontier[, mtc], 4)
   
   chart.StackedBar(w=wts, colorset=colorset, ..., main=main, las=las, space=0, 
                    cex.lab=cex.lab, cex.axis=cex.axis, cex.legend=cex.legend, 
@@ -235,3 +235,56 @@
                    xaxis.labels=xlabels, xlab=match.col, ylab="Weights")
 }
 
+#' @rdname chart.EfficientFrontier
+#' @export
+chart.EfficientFrontier.efficient.frontier <- function(object, chart.assets=TRUE, match.col="ES", n.portfolios=NULL, xlim=NULL, ylim=NULL, cex.axis=0.8, element.color="darkgray", main="Efficient Frontier", ...){
+  if(!inherits(object, "efficient.frontier")) stop("object must be of class 'efficient.frontier'")
+  
+  # get the returns and efficient frontier object
+  R <- object$R
+  frontier <- object$frontier
+  
+  # get the column names from the frontier object
+  cnames <- colnames(frontier)
+  
+  # get the "mean" column
+  mean.mtc <- pmatch("mean", cnames)
+  if(is.na(mean.mtc)) {
+    mean.mtc <- pmatch("mean.mean", cnames)
+  }
+  if(is.na(mean.mtc)) stop("could not match 'mean' with column name of extractStats output")
+  
+  # get the match.col column
+  mtc <- pmatch(match.col, cnames)
+  if(is.na(mtc)) {
+    mtc <- pmatch(paste(match.col,match.col,sep='.'),cnames)
+  }
+  if(is.na(mtc)) stop("could not match match.col with column name of extractStats output")
+  
+  if(chart.assets){
+    # get the data to plot scatter of asset returns
+    asset_ret <- scatterFUN(R=R, FUN="mean")
+    asset_risk <- scatterFUN(R=R, FUN=match.col)
+    rnames <- colnames(R)
+    
+    # set the x and y limits
+    if(is.null(xlim)){
+      xlim <- range(c(frontier[, mtc], asset_risk))
+    }
+    if(is.null(ylim)){
+      ylim <- range(c(frontier[, mean.mtc], asset_ret))
+    }
+  }
+  
+  # plot the efficient frontier line
+  plot(x=frontier[, mtc], y=frontier[, mean.mtc], ylab="mean", xlab=match.col, main=main, xlim=xlim, ylim=ylim, pch=5, axes=FALSE, ...)
+  if(chart.assets){
+    # risk-return scatter of the assets
+    points(x=asset_risk, y=asset_ret)
+    text(x=asset_risk, y=asset_ret, labels=rnames, pos=4, cex=0.8)
+  }
+  axis(1, cex.axis = cex.axis, col = element.color)
+  axis(2, cex.axis = cex.axis, col = element.color)
+  box(col = element.color)
+}
+

Modified: pkg/PortfolioAnalytics/R/extract.efficient.frontier.R
===================================================================
--- pkg/PortfolioAnalytics/R/extract.efficient.frontier.R	2013-08-23 18:32:04 UTC (rev 2864)
+++ pkg/PortfolioAnalytics/R/extract.efficient.frontier.R	2013-08-23 19:33:56 UTC (rev 2865)
@@ -327,6 +327,7 @@
                                                              n.portfolios=n.portfolios)
          }
   )
-  return(frontier)
+  return(structure(list(frontier=frontier,
+                        R=R), class="efficient.frontier"))
 }
 

Modified: pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd	2013-08-23 18:32:04 UTC (rev 2864)
+++ pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd	2013-08-23 19:33:56 UTC (rev 2865)
@@ -1,5 +1,6 @@
 \name{chart.EfficientFrontier}
 \alias{chart.EfficientFrontier}
+\alias{chart.EfficientFrontier.efficient.frontier}
 \alias{chart.EfficientFrontier.optimize.portfolio}
 \alias{chart.EfficientFrontier.optimize.portfolio.ROI}
 \title{chart the efficient frontier and risk-return scatter plot of the assets}
@@ -20,6 +21,12 @@
     ylim = NULL, cex.axis = 0.8,
     element.color = "darkgray",
     main = "Efficient Frontier", ...)
+
+  chart.EfficientFrontier.efficient.frontier(object,
+    chart.assets = TRUE, match.col = "ES",
+    n.portfolios = NULL, xlim = NULL, ylim = NULL,
+    cex.axis = 0.8, element.color = "darkgray",
+    main = "Efficient Frontier", ...)
 }
 \arguments{
   \item{object}{optimal portfolio created by