[Returnanalytics-commits] r3283 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2013-12-16 06:28:36 +0100 (Mon, 16 Dec 2013)
New Revision: 3283

Modified:
   pkg/PortfolioAnalytics/R/applyFUN.R
   pkg/PortfolioAnalytics/R/extract.efficient.frontier.R
Log:
Cleaning up applyFUN and efficient frontiers

Modified: pkg/PortfolioAnalytics/R/applyFUN.R
===================================================================
--- pkg/PortfolioAnalytics/R/applyFUN.R	2013-12-16 05:26:32 UTC (rev 3282)
+++ pkg/PortfolioAnalytics/R/applyFUN.R	2013-12-16 05:28:36 UTC (rev 3283)
@@ -6,7 +6,7 @@
 #' @param R xts object of asset returns
 #' @param weights a matrix of weights generated from random_portfolios or \code{optimize.portfolio}
 #' @param FUN name of a function
-#' @param ... any passthrough arguments to FUN
+#' @param arguments named list of arguments to FUN
 #' @author Ross Bennett
 #' @export
 applyFUN <- function(R, weights, FUN="mean", arguments){
@@ -92,11 +92,15 @@
 #' 
 #' @param R xts object of asset returns
 #' @param FUN name of function
-#' @param ... any passthrough arguments to FUN
+#' @param arguments named list of arguments to FUN
 #' @author Ross Bennett
 #' @export
-scatterFUN <- function(R, FUN, arguments){
-  nargs <- arguments
+scatterFUN <- function(R, FUN, arguments=NULL){
+  if(is.null(arguments)){
+    nargs <- list()
+  } else{
+    nargs <- arguments
+  }
   
   # match the FUN arg to a risk or return function
   switch(FUN,

Modified: pkg/PortfolioAnalytics/R/extract.efficient.frontier.R
===================================================================
--- pkg/PortfolioAnalytics/R/extract.efficient.frontier.R	2013-12-16 05:26:32 UTC (rev 3282)
+++ pkg/PortfolioAnalytics/R/extract.efficient.frontier.R	2013-12-16 05:28:36 UTC (rev 3283)
@@ -184,6 +184,7 @@
     }
     colnames(out) <- c("mean", names(stats))
   }
+  out <- na.omit(out)
   return(structure(out, class="frontier"))
 }
 
@@ -257,8 +258,7 @@
   # length.out is the number of portfolios to create
   ret_seq <- seq(from=minret, to=maxret, length.out=n.portfolios)
   
-  out <- matrix(0, nrow=length(ret_seq), ncol=length(extractStats(tmp)))
-  
+#   out <- matrix(0, nrow=length(ret_seq), ncol=length(extractStats(tmp)))
 #   for(i in 1:length(ret_seq)){
 #     portfolio$objectives[[mean_idx]]$target <- ret_seq[i]
 #     out[i, ] <- extractStats(optimize.portfolio(R=R, portfolio=portfolio, optimize_method="ROI"))
@@ -269,6 +269,7 @@
     extractStats(optimize.portfolio(R=R, portfolio=portfolio, optimize_method="ROI", ef=TRUE, ...=...))
   }
   colnames(out) <- names(stats)
+  out <- na.omit(out)
   return(structure(out, class="frontier"))
 }