[Returnanalytics-commits] r2321 - pkg/PerformanceAnalytics
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Jan 29 14:04:04 CET 2013
Author: braverock
Date: 2013-01-29 14:04:00 +0100 (Tue, 29 Jan 2013)
New Revision: 2321
Modified:
pkg/PerformanceAnalytics/ChangeLog
pkg/PerformanceAnalytics/DESCRIPTION
Log:
- bump version prior to CRAN release
- update ChangeLog
Modified: pkg/PerformanceAnalytics/ChangeLog
===================================================================
--- pkg/PerformanceAnalytics/ChangeLog 2013-01-28 23:42:36 UTC (rev 2320)
+++ pkg/PerformanceAnalytics/ChangeLog 2013-01-29 13:04:00 UTC (rev 2321)
@@ -1,7 +1,1259 @@
+2013-01-28 peter_carl
+
+ * R/chart.RollingCorrelation.R, R/chart.RollingMean.R: - added fill
+ parameter to roxygen
+ * R/chart.RollingCorrelation.R: - replaced na.pad with fill=NA
+
+2013-01-28 braverock
+
+ * DESCRIPTION, R/ES.R, R/Return.calculate.R, R/chart.Correlation.R,
+ R/chart.RollingCorrelation.R, R/chart.RollingMean.R,
+ R/chart.RollingQuantileRegression.R, R/chart.SnailTrail.R,
+ man/Return.calculate.Rd, man/Return.excess.Rd,
+ man/SystematicRisk.Rd, man/TreynorRatio.Rd,
+ man/chart.Correlation.Rd, man/chart.RollingCorrelation.Rd,
+ man/chart.RollingMean.Rd, man/chart.RollingPerformance.Rd,
+ man/charts.RollingPerformance.Rd,
+ tests/Examples/PerformanceAnalytics-Ex.Rout.save: - multiple
+ changes to pass R CMD check, almost all to documentation
+
+2013-01-23 braverock
+
+ * R/Return.excess.R: - make the which more robust
+
+2013-01-23 peter_carl
+
+ * R/SharpeRatio.annualized.R: - changed apply to sapply to pass xts
+ objects into Return.excess
+ * R/KellyRatio.R: - changed apply to sapply to pass xts objects
+ into Return.excess
+ - changed sd.xts to StdDev
+ * R/SharpeRatio.R: - changed apply to sapply to deal with
+ Return.excess and xts attributes
+
+2013-01-23 braverock
+
+ * R/Return.excess.R: - correct for Rf of length different from R
+
+2013-01-23 peter_carl
+
+ * R/chart.RollingPerformance.R: - fixed fill parameter to behave
+ with na.pad
+ * R/charts.RollingPerformance.R: - removed an unused parameter,
+ trim
+ * R/chart.RollingPerformance.R: - moved from na.pad to fill
+
+2012-12-27 bodanker
+
+ * R/Return.excess.R: - typo in Rf argument description
+
+2012-12-20 braverock
+
+ * R/StdDev.annualized.R, R/TreynorRatio.R: - rearrange handling of
+ 'scale'
+
+2012-12-15 bodanker
+
+ * R/CAPM.beta.R: - check for all NA sooner in CAPM.beta*
+ * R/CAPM.beta.R: - update CAPM.beta* to be more robust to NAs
+
+2012-11-27 braverock
+
+ * R/StdDev.annualized.R: - refactor to remove need for sd.xts
+ * R/StdDev.annualized.R: - use sd.xts again to avoid BDR's
+ gratuitous apply() warning
+
+2012-11-12 braverock
+
+ * R/Return.excess.R: - further updates to catch more use cases for
+ Return.excess
+
+2012-11-12 peter_carl
+
+ * R/SystematicRisk.R: - added multiple benchmark handling
+ - replaced calc with existing StdDev.annualized function
+ * R/TreynorRatio.R: - simplified modified calc of TreynorRatio
+ - fixed calculation
+
+2012-11-12 braverock
+
+ * R/Return.excess.R: - patch to avoid TZ issue, thanks to attention
+ by Josh and Jeff
+
+2012-11-10 braverock
+
+ * tests/Examples/PerformanceAnalytics-Ex.Rout.save: - update
+ example output using current code
+
+2012-11-08 braverock
+
+ * DESCRIPTION: - bump xts version req. for rollapply change
+
+2012-11-08 bodanker
+
+ * DESCRIPTION, NAMESPACE, R/chart.RollingRegression.R, R/zzz.R: -
+ un-register rollapply.xts S3 method (now in xts)
+ - copy (unexported) sd.xts from xts namespace
+ - convert chart.RollingRegression.R to use rollapply.xts
+ - bump version
+
+2012-11-05 braverock
+
+ * R/chart.TimeSeries.R: - add pch to legend call, does nothing in
+ the default case
+
+2012-10-26 braverock
+
+ * R/PortfolioRisk.R: - use sd.default for vector
+
+2012-10-25 braverock
+
+ * R/StdDev.annualized.R: - use sd.default for vector
+
+2012-10-06 braverock
+
+ * man/Return.calculate.Rd: - don't run the example for now.
+ * DESCRIPTION, NAMESPACE, R/zzz.R: - remove sd.xts and mean.xts,
+ since these are now in xts upstream
+ - bump version, dependencies
+
+2012-09-18 braverock
+
+ * R/Return.annualized.R, R/Return.cumulative.R,
+ R/Return.portfolio.R, R/SharpeRatio.annualized.R,
+ R/chart.CumReturns.R, R/chart.Drawdown.R,
+ R/chart.RiskReturnScatter.R, R/charts.PerformanceSummary.R,
+ R/findDrawdowns.R, R/maxDrawdown.R, R/table.AnnualizedReturns.R,
+ R/table.CalendarReturns.R, R/table.Variability.R, man/CDD.Rd,
+ man/Return.annualized.Rd, man/Return.calculate.Rd,
+ man/Return.cumulative.Rd, man/Return.portfolio.Rd,
+ man/SharpeRatio.annualized.Rd, man/chart.CumReturns.Rd,
+ man/chart.Drawdown.Rd, man/chart.RiskReturnScatter.Rd,
+ man/charts.PerformanceSummary.Rd, man/findDrawdowns.Rd,
+ man/maxDrawdown.Rd, man/table.AnnualizedReturns.Rd,
+ man/table.CalendarReturns.Rd, man/table.Variability.Rd: - change
+ language around geometric chaining argument to attempt to make it
+ more clear
+
+2012-09-16 ababii
+
+ * R/Return.portfolio.R: - corrected computation of returns and
+ contributions
+
+2012-09-05 braverock
+
+ * R/Return.calculate.R, man/Return.calculate.Rd: - change 'simple'
+ and 'compound' to 'discrete' and 'log', update docs
+ - add xtsAttributes for ret_type so that we can parse it later
+ and give the user intelligent warnings
+
+2012-09-02 braverock
+
+ * R/AdjustedSharpeRatio.R, R/AppraisalRatio.R,
+ R/BernadoLedoitratio.R, R/BurkeRatio.R, R/CAPM.epsilon.R,
+ R/CAPM.jensenAlpha.R, R/DRatio.R, R/DownsideDeviation.R,
+ R/DownsideFrequency.R, R/DrawdownPeak.R, R/FamaBeta.R,
+ R/Frequency.R, R/Kappa.R, R/M2Sortino.R, R/MSquared.R,
+ R/MSquaredExcess.R, R/MartinRatio.R, R/MeanAbsoluteDeviation.R,
+ R/NetSelectivity.R, R/OmegaExcessReturn.R, R/OmegaSharpeRatio.R,
+ R/PainIndex.R, R/PainRatio.R, R/ProspectRatio.R, R/Selectivity.R,
+ R/SkewnessKurtosisRatio.R, R/SpecificRisk.R, R/SystematicRisk.R,
+ R/TotalRisk.R, R/TreynorRatio.R, R/UpsideFrequency.R,
+ R/UpsideRisk.R, R/VolatilitySkewness.R, R/decomposeMVaR.R,
+ R/table.Distributions.R, R/table.DownsideRiskRatio.R,
+ R/table.DrawdownsRatio.R, R/table.InformationRatio.R,
+ R/table.SpecificRisk.R, R/table.Variability.R: - add Copyright
+ and GPL license block to files created during GSoC 2012
+
+2012-08-29 braverock
+
+ * sandbox/Meucci[DEL]: -delete Meucci directory from sandbox, moved
+ to top-level pkg dir in r2261 (and earlier revs)
+
+2012-08-24 braverock
+
+ * R/chart.TimeSeries.R: - explicitly call xts's time() fn to avoid
+ bad behavior by RMetrics TimeSreies, patch from Garrett See
+
+2012-08-20 mkshah
+
+ * sandbox/Meucci/R/RobustBayesianAllocation.R,
+ sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd:
+ Updating documentation for successful PDF Manual creation
+
+2012-08-19 mkshah
+
+ * sandbox/Meucci/00index, sandbox/Meucci/DESCRIPTION,
+ sandbox/Meucci/R/EmpiricalMultivariateOUnCointegration.R[DEL],
+ sandbox/Meucci/R/MeanDiversificationFrontier.R,
+ sandbox/Meucci/R/MultivariateOUnCointegration.R,
+ sandbox/Meucci/R/TheoryMultivariateOUnCointegration.R[DEL],
+ sandbox/Meucci/man/FitOU.Rd[ADD],
+ sandbox/Meucci/man/GenFirstEigVect.Rd[ADD],
+ sandbox/Meucci/man/GenPCBasis.Rd[ADD],
+ sandbox/Meucci/man/MaxEntropy.Rd[ADD],
+ sandbox/Meucci/man/MeanTCEntropyFrontier.Rd[ADD],
+ sandbox/Meucci/man/OUstep.Rd[ADD],
+ sandbox/Meucci/man/OUstepEuler.Rd[ADD]: Updating documentation
+ * sandbox/Meucci/R/MeanDiversificationFrontier.R: Documentation
+ * sandbox/Meucci/R/MultivariateOUnCointegration.R[ADD]: Merging
+ theoretical and empirical functions in the same file and
+ documenting
+
+2012-08-19 matthieu_lestel
+
+ * R/AdjustedSharpeRatio.R, R/AppraisalRatio.R,
+ R/DownsideDeviation.R, R/FamaBeta.R, R/MeanAbsoluteDeviation.R,
+ R/NetSelectivity.R, R/OmegaSharpeRatio.R, R/PainIndex.R,
+ R/ProspectRatio.R, R/Selectivity.R, R/SkewnessKurtosisRatio.R,
+ R/TotalRisk.R, R/UpsideRisk.R, inst/doc/PA-Bacon.Rnw[ADD],
+ inst/doc/PA-Bacon.pdf[ADD], man/AdjustedSharpeRatio.Rd,
+ man/AppraisalRatio.Rd, man/DownsideDeviation.Rd, man/FamaBeta.Rd,
+ man/MeanAbsoluteDeviation.Rd, man/NetSelectivity.Rd,
+ man/OmegaSharpeRatio.Rd, man/PainIndex.Rd, man/ProspectRatio.Rd,
+ man/Selectivity.Rd, man/SkewnessKurtosisRatio.Rd,
+ man/TotalRisk.Rd, man/UpsideRisk.Rd: little corrections in
+ documentation + additon of vignette on Bacon
+
+2012-08-19 mkshah
+
+ * sandbox/Meucci/demo/00index: Updating the Index file for the
+ newly added demos
+ * sandbox/Meucci/demo/S_DeterministicEvolution.R[ADD]: Additional
+ demo for Theoretical Multivariate OU and Cointegration
+ * sandbox/Meucci/R/TheoryMultivariateOUnCointegration.R,
+ sandbox/Meucci/demo/S_CheckDiagonalization.R[ADD],
+ sandbox/Meucci/demo/S_CovarianceEvolution.R[ADD]: Correcting
+ functions and adding demos for
+ TheoryMultivariateOUnCointegration.R
+ * sandbox/Meucci/R/EmpiricalMultivariateOUnCointegration.R,
+ sandbox/Meucci/R/MeanDiversificationFrontier.R,
+ sandbox/Meucci/data/00index,
+ sandbox/Meucci/data/DB_SwapParRates.rda[ADD],
+ sandbox/Meucci/demo/MeanDiversificationFrontier.R,
+ sandbox/Meucci/demo/S_FitProjectRates.R[ADD]: Correcting
+ functions, adding demos and data files
+
+2012-08-18 mkshah
+
+ * sandbox/Meucci/R/MeanDiversificationFrontier.R,
+ sandbox/Meucci/data/MeanDiversificationFrontier.rda[ADD],
+ sandbox/Meucci/demo/MeanDiversificationFrontier.R[ADD]: Adding
+ demo and data file for MeanDiversificationFrontier.R and editing
+ the core functions
+
+2012-08-16 mkshah
+
+ * sandbox/Meucci/R/MeanDiversificationFrontier.R: Completing
+ functions for MeanDiversificationFrontier.R
+ * sandbox/Meucci/R/EmpiricalMultivariateOUnCointegration.R,
+ sandbox/Meucci/R/TheoryMultivariateOUnCointegration.R[ADD]:
+ Adding functions for theoretical Multivariate OU and correcting
+ functions for empirical Multivariate OU
+ * sandbox/Meucci/R/EmpiricalMultivariateOUnCointegration.R:
+ Remaining functions added
+ * sandbox/Meucci/R/EmpiricalMultivariateOUnCointegration.R[ADD]:
+ Creating a R script for empirical version of Multivariate OU
+
+2012-08-12 matthieu_lestel
+
+ * R/AdjustedSharpeRatio.R, R/BurkeRatio.R, R/CAPM.epsilon.R,
+ R/CAPM.jensenAlpha.R, R/M2Sortino.R, R/MSquared.R,
+ R/MSquaredExcess.R, R/MartinRatio.R, R/NetSelectivity.R,
+ R/OmegaExcessReturn.R, R/PainRatio.R, R/TreynorRatio.R,
+ man/AdjustedSharpeRatio.Rd, man/BurkeRatio.Rd,
+ man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd, man/MSquared.Rd,
+ man/MSquaredExcess.Rd, man/PainRatio.Rd: returns annualised
+ everywhere they were not yet + use of Frequency everywhere
+ possible to lighten the code
+
+2012-08-10 matthieu_lestel
+
+ * R/DownsideDeviation.R, R/TreynorRatio.R, R/UpsideRisk.R, R/VaR.R,
+ R/chart.RollingRegression.R, R/chart.TimeSeries.R,
+ R/mean.utils.R, R/textplot.R,
+ man/PerformanceAnalytics-package.Rd, man/TreynorRatio.Rd,
+ man/VaR.Rd, man/chart.RollingRegression.Rd,
+ man/chart.TimeSeries.Rd, man/mean.geometric.Rd, man/textplot.Rd:
+ no more warnings in R CMD check
+
+2012-08-09 matthieu_lestel
+
+ * NAMESPACE, R/SkewnessKurtosisRatio.R, R/SpecificRisk.R[ADD],
+ R/SystematicRisk.R, R/TotalRisk.R, R/table.Distributions.R[ADD],
+ R/table.DownsideRiskRatio.R[ADD], R/table.DrawdownsRatio.R[ADD],
+ R/table.InformationRatio.R[ADD], R/table.SpecificRisk.R[ADD],
+ R/table.Variability.R[ADD], man/SpecificRisk.Rd[ADD],
+ man/SystematicRisk.Rd, man/TotalRisk.Rd, man/UlcerIndex.Rd[ADD],
+ man/table.Distributions.Rd[ADD],
+ man/table.DownsideRiskRatio.Rd[ADD],
+ man/table.DrawdownsRatio.Rd[ADD],
+ man/table.InformationRatio.Rd[ADD],
+ man/table.SpecificRisk.Rd[ADD], man/table.Variability.Rd[ADD]:
+ addition of SpecificRisk, table.Variability, table.SpecificRisk,
+ table.InformationRisk, table.Distributions, table.DrawdownsRatio,
+ table.DownsideRiskRatio with documentation + doc of Ulcer Index +
+ minor modifications
+
+2012-08-07 matthieu_lestel
+
+ * R/DownsideDeviation.R, R/MartinRatio.R, R/PainRatio.R,
+ R/TreynorRatio.R, R/VolatilitySkewness.R,
+ man/portfolio_bacon.Rd[ADD]: documentation of portfolio_bacon
+ data + other modification to fix warnings in R CMD check
+
+2012-08-03 matthieu_lestel
+
+ * NAMESPACE, R/MartinRatio.R[ADD], R/NetSelectivity.R[ADD],
+ R/OmegaExcessReturn.R[ADD], R/UlcerIndex.R,
+ man/MartinRatio.Rd[ADD], man/NetSelectivity.Rd[ADD],
+ man/OmegaExcessReturn.Rd[ADD], man/Selectivity.Rd: Net
+ Selectivity, Omega excess return and Martin ratio with examples
+ and documentation
+
+2012-07-30 mkshah
+
+ * sandbox/Meucci/R/MeanDiversificationFrontier.R[ADD]: Adding a
+ script for "Managing Diversification" part of Meucci's research
+
+2012-07-27 braverock
+
+ * sandbox/Meucci/DESCRIPTION, sandbox/Meucci/NAMESPACE[ADD],
+ sandbox/Meucci/R/CmaCopula.R, sandbox/Meucci/R/EntropyProg.R,
+ sandbox/Meucci/R/HermiteGrid.R,
+ sandbox/Meucci/R/InvariantProjection.R,
+ sandbox/Meucci/R/RankingInformation.R,
+ sandbox/Meucci/R/logToArithmeticCovariance.R,
+ sandbox/Meucci/man/EntropyProg.Rd: - updates to get closer to
+ passing R CMD check
+ * sandbox/Meucci/data/00index[CPY],
+ sandbox/Meucci/data/butterflyAnalytics.Rda[DEL],
+ sandbox/Meucci/data/butterflyAnalytics.rda[CPY],
+ sandbox/Meucci/data/datalist[DEL],
+ sandbox/Meucci/data/pseudodata.Rda[DEL],
+ sandbox/Meucci/data/pseudodata.rda[CPY]: - cleanup for R CMD
+ check
+ * R/ES.R, R/PortfolioRisk.R, man/ES.Rd: - remove ES portfolio
+ kernel method for now, lay groudwork for adding it back in later
+ * R/ES.R, R/MultivariateMoments.R, man/ES.Rd: - fix component ES
+ multivariat moments bug, reported by Eric Zivot
+
+2012-07-27 matthieu_lestel
+
+ * NAMESPACE: modif of NAMESPACE to pass R CMD check
+ * NAMESPACE, R/AppraisalRatio.R, R/FamaBeta.R[ADD],
+ R/ProspectRatio.R, R/Selectivity.R[ADD], man/AppraisalRatio.Rd,
+ man/DownsideDeviation.Rd, man/FamaBeta.Rd[ADD],
+ man/ProspectRatio.Rd, man/Selectivity.Rd[ADD]: modified jensen's
+ alpha, alternative modified jensen's alpha, selectivity and fama
+ beta with examples and documentation
+
+2012-07-27 peter_carl
+
+ * R/PortfolioRisk.R: - fixed the last fix by changing sign on VaR
+ value
+ * R/PortfolioRisk.R: - fixed corner case in ES.historical where no
+ observations are larger than VaR
+ - in that case, set ES = VaR and warn the user
+
+2012-07-25 braverock
+
+ * R/chart.Correlation.R: - fix problem with R CMD check
+
+2012-07-25 matthieu_lestel
+
+ * NAMESPACE, R/AppraisalRatio.R[ADD], R/BernadoLedoitratio.R,
+ R/CAPM.jensenAlpha.R, R/M2Sortino.R[ADD], R/ProspectRatio.R[ADD],
+ R/SystematicRisk.R, man/AppraisalRatio.Rd[ADD],
+ man/BernardoLedoitRatio.Rd[ADD], man/CAPM.jensenAlpha.Rd,
+ man/DrawdownPeak.Rd[ADD], man/M2Sortino.Rd[ADD],
+ man/ProspectRatio.Rd[ADD]: M2Sortino, AppraisalRatio and
+ ProspectRatio with examples and documentation + some doc I forgot
+ to add in the svn commit
+
+2012-07-25 mkshah
+
+ * sandbox/Meucci/demo/00index: Correcting demo name
+ * sandbox/Meucci/demo/00index[ADD],
+ sandbox/Meucci/demo/InvariantProjection.R: Adding Index File for
+ demo folder and deleting unnecessary code in
+ InvariantProjection.R
+
+2012-07-23 braverock
+
+ * R/chart.Correlation.R, man/chart.Correlation.Rd: - update to pass
+ method to cor() per request from John Muschelli @ JH
+
+2012-07-23 mkshah
+
+ * sandbox/Meucci/data/MeucciReturnsDistribution.rda[DEL],
+ sandbox/Meucci/data/butterflyTradingX.rda[DEL],
+ sandbox/Meucci/data/datalist[ADD]: Deleting unnecessary datasets
+ and adding datalist which contains information about all the data
+ files
+ * sandbox/Meucci/00index[ADD], sandbox/Meucci/DESCRIPTION: Adding
+ the 00index file and changing DESCRIPTION
+ * sandbox/Meucci/man/CMAcombination.Rd,
+ sandbox/Meucci/man/CMAseparation.Rd,
+ sandbox/Meucci/man/Central2Raw.Rd,
+ sandbox/Meucci/man/ComputeMVE.Rd,
+ sandbox/Meucci/man/ComputeMoments.Rd,
+ sandbox/Meucci/man/CondProbViews.Rd,
+ sandbox/Meucci/man/Cumul2Raw.Rd,
+ sandbox/Meucci/man/DetectOutliersViaMVE.Rd,
+ sandbox/Meucci/man/EntropyProg.Rd,
+ sandbox/Meucci/man/GenerateLogNormalDistribution.Rd,
+ sandbox/Meucci/man/MvnRnd.Rd,
+ sandbox/Meucci/man/NoisyObservations.Rd,
+ sandbox/Meucci/man/PanicCopula.Rd,
+ sandbox/Meucci/man/PartialConfidencePosterior.Rd,
+ sandbox/Meucci/man/PlotDistributions.Rd,
+ sandbox/Meucci/man/Prior2Posterior.Rd,
+ sandbox/Meucci/man/RIEfficientFrontier.Rd[ADD],
+ sandbox/Meucci/man/Raw2Central.Rd,
+ sandbox/Meucci/man/Raw2Cumul.Rd,
+ sandbox/Meucci/man/RejectOutlier.Rd,
+ sandbox/Meucci/man/StackedBarChart.Rd,
+ sandbox/Meucci/man/SummStats.Rd, sandbox/Meucci/man/Tweak.Rd,
+ sandbox/Meucci/man/ViewRanking.Rd,
+ sandbox/Meucci/man/efficientFrontier.Rd,
+ sandbox/Meucci/man/gaussHermiteMesh.Rd[ADD],
+ sandbox/Meucci/man/hermitePolynomial.Rd[ADD],
+ sandbox/Meucci/man/integrateSubIntervals.Rd[ADD],
+ sandbox/Meucci/man/kernelbw.Rd[ADD],
+ sandbox/Meucci/man/kernelcdf.Rd[ADD],
+ sandbox/Meucci/man/kernelinv.Rd[ADD],
+ sandbox/Meucci/man/kernelpdf.Rd[ADD],
+ sandbox/Meucci/man/linreturn.Rd,
+ sandbox/Meucci/man/normalizeProb.Rd[ADD],
+ sandbox/Meucci/man/pHist.Rd,
+ sandbox/Meucci/man/private_fun.Rd[ADD],
+ sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd,
+ sandbox/Meucci/man/std.Rd,
+ sandbox/Meucci/man/subIntervals.Rd[ADD]: Adding documentation
+ files for new functions and updating comments for other functions
+ * sandbox/Meucci/R/HermiteGrid.R: Correcting mistakes in commenting
+ * sandbox/Meucci/R/HermiteGrid.R: Adding comments for remaining
+ functions
+ * sandbox/Meucci/R/HermiteGrid.R: Adding and updating comments for
+ Kernel functions
+ * sandbox/Meucci/R/InvariantProjection.R: Updating comments
+ * sandbox/Meucci/R/DetectOutliersviaMVE.R,
+ sandbox/Meucci/R/RankingInformation.R,
+ sandbox/Meucci/R/RobustBayesianAllocation.R: Updating comments
+ and correcting code
+
+2012-07-22 mkshah
+
+ * sandbox/Meucci/R/DetectOutliersviaMVE.R,
+ sandbox/Meucci/R/RobustBayesianAllocation.R: Updating comments
+ * sandbox/Meucci/man/ProjectInvariant.Rd[DEL]: Deleting an unused
+ function documentation file
+ * sandbox/Meucci/R/Prior2Posterior.R: Updating comments
+ * sandbox/Meucci/demo/InvariantProjection.R: Removing Roxygen like
+ commenting
+
+2012-07-21 matthieu_lestel
+
+ * NAMESPACE, R/AdjustedSharpeRatio.R, R/BernadoLedoitratio.R,
+ R/BurkeRatio.R, R/CAPM.epsilon.R, R/CAPM.jensenAlpha.R,
+ R/CoMoments.R, R/DRatio.R, R/DownsideDeviation.R,
+ R/DownsideFrequency.R, R/DrawdownPeak.R, R/Frequency.R[ADD],
+ R/MSquared.R, R/MSquaredExcess.R[ADD], R/MeanAbsoluteDeviation.R,
+ R/OmegaSharpeRatio.R, R/PainIndex.R, R/PainRatio.R,
+ R/SkewnessKurtosisRatio.R, R/SystematicRisk.R, R/TotalRisk.R,
+ R/TreynorRatio.R, R/UpsideFrequency.R, R/UpsideRisk.R,
+ R/VolatilitySkewness.R, R/chart.Correlation.R, R/kurtosis.R,
+ R/skewness.R, man/AdjustedSharpeRatio.Rd, man/BurkeRatio.Rd,
+ man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd, man/CoMoments.Rd,
+ man/DRatio.Rd, man/DownsideDeviation.Rd,
+ man/DownsideFrequency.Rd, man/Frequency.Rd[ADD], man/MSquared.Rd,
+ man/MSquaredExcess.Rd[ADD], man/MeanAbsoluteDeviation.Rd,
+ man/OmegaSharpeRatio.Rd, man/PainIndex.Rd, man/PainRatio.Rd,
+ man/SkewnessKurtosisRatio.Rd, man/SystematicRisk.Rd,
+ man/TotalRisk.Rd, man/TreynorRatio.Rd, man/UpsideFrequency.Rd,
+ man/UpsideRisk.Rd, man/VolatilitySkewness.Rd,
+ man/chart.Correlation.Rd, man/kurtosis.Rd, man/skewness.Rd:
+ frequency with examples and documentation + MSquaredExcess with
+ examples and documentation + correction of all latex equations in
+ the doc to avoid the html part to appear in the pdf + some
+ warning corrected in R CMD check
+
+2012-07-19 matthieu_lestel
+
+ * R/DownsideDeviation.R, R/MSquared.R[ADD], R/SystematicRisk.R,
+ man/DownsideDeviation.Rd, man/MSquared.Rd[ADD],
+ man/SystematicRisk.Rd: better with the addition of the file
+ * NAMESPACE, R/DownsideDeviation.R, R/SystematicRisk.R,
+ R/TotalRisk.R, man/DownsideDeviation.Rd, man/SystematicRisk.Rd,
+ man/TotalRisk.Rd: msquared with examples and documentation
+ * R/AdjustedSharpeRatio.R, R/BurkeRatio.R, R/CAPM.epsilon.R,
+ R/DRatio.R, R/DownsideFrequency.R, R/Kappa.R,
+ R/MeanAbsoluteDeviation.R, R/OmegaSharpeRatio.R, R/PainRatio.R,
+ R/SkewnessKurtosisRatio.R, R/UpsideFrequency.R, R/UpsideRisk.R,
+ R/VolatilitySkewness.R, man/DRatio.Rd, man/DownsideDeviation.Rd,
+ man/DownsideFrequency.Rd, man/Kappa.Rd, man/OmegaSharpeRatio.Rd,
+ man/PainRatio.Rd, man/SkewnessKurtosisRatio.Rd,
+ man/UpsideFrequency.Rd, man/UpsideRisk.Rd,
+ man/VolatilitySkewness.Rd: modification to use xts objects inside
+ the functions
+
+2012-07-18 matthieu_lestel
+
+ * NAMESPACE, R/AdjustedSharpeRatio.R, R/BernadoLedoitratio.R,
+ R/DownsideDeviation.R, R/ES.R, R/MeanAbsoluteDeviation.R,
+ R/PainIndex.R, R/PainRatio.R, R/SkewnessKurtosisRatio.R,
+ R/TreynorRatio.R, R/UpsideRisk.R, R/VolatilitySkewness.R,
+ R/chart.RollingRegression.R, data/portfolio_bacon.csv,
+ data/portfolio_bacon.rda, man/AdjustedSharpeRatio.Rd,
+ man/BernardoLedoitratio.Rd[DEL], man/ES.Rd,
+ man/MeanAbsoluteDeviation.Rd, man/PainIndex.Rd, man/PainRatio.Rd,
+ man/SkewnessKurtosisRatio.Rd, man/VolatilitySkewness.Rd,
+ man/chart.RollingRegression.Rd: Rcheck pass + some other minor
+ modifications
+
+2012-07-16 braverock
+
+ * NAMESPACE, R/Return.portfolio.R: - add @export for
+ Return.portfolio
+ * NAMESPACE, R/CoMoments.R: - minor change to exports
+ * DESCRIPTION, NAMESPACE, R/CAPM.beta.R, R/CAPM.utils.R,
+ R/CoMoments.R, R/DownsideDeviation.R, R/InformationRatio.R,
+ R/KellyRatio.R, R/Omega.R, R/OmegaSharpeRatio.R,
+ R/Return.Geltner.R, R/Return.annualized.R, R/Return.calculate.R,
+ R/Return.clean.R, R/Return.cumulative.R, R/Return.excess.R,
+ R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R,
+ R/SemiDeviation.R, R/SharpeRatio.R, R/SharpeRatio.annualized.R,
+ R/SkewnessKurtosisRatio.R, R/SmoothingIndex.R, R/SortinoRatio.R,
+ R/StdDev.R, R/SystematicRisk.R, R/TotalRisk.R, R/TrackingError.R,
+ R/TreynorRatio.R, R/UlcerIndex.R, R/UpDownRatios.R,
+ R/UpsidePotentialRatio.R, R/VaR.R, R/chart.ACF.R,
+ R/chart.ACFplus.R, R/chart.Bar.R, R/chart.Boxplot.R,
+ R/chart.CaptureRatios.R, R/chart.Correlation.R,
+ R/chart.CumReturns.R, R/chart.Drawdown.R, R/chart.ECDF.R,
+ R/chart.QQPlot.R, R/chart.Regression.R,
+ R/chart.RelativePerformance.R, R/chart.RiskReturnScatter.R,
+ R/chart.RollingCorrelation.R, R/chart.RollingMean.R,
+ R/chart.RollingPerformance.R,
+ R/chart.RollingQuantileRegression.R, R/chart.Scatter.R,
+ R/chart.SnailTrail.R, R/chart.StackedBar.R, R/chart.TimeSeries.R,
+ R/chart.VaRSensitivity.R, R/charts.Bar.R, R/charts.BarVaR.R,
+ R/charts.PerformanceSummary.R, R/charts.RollingPerformance.R,
+ R/charts.RollingRegression.R, R/charts.TimeSeries.R,
+ R/checkData.R, R/findDrawdowns.R, R/kurtosis.R, R/legend.R,
+ R/maxDrawdown.R, R/mean.utils.R, R/skewness.R, R/sortDrawdowns.R,
+ R/table.AnnualizedReturns.R, R/table.Arbitrary.R,
+ R/table.Autocorrelation.R, R/table.CAPM.R,
+ R/table.CalendarReturns.R, R/table.CaptureRatios.R,
+ R/table.Correlation.R, R/table.HigherMoments.R,
+ R/table.RollingPeriods.R, R/textplot.R, man/BetaCoMoments.Rd,
+ man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.beta.Rd,
+ man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd,
+ man/DownsideDeviation.Rd, man/Return.calculate.Rd,
+ man/Return.portfolio.Rd, man/TreynorRatio.Rd, man/chart.ACF.Rd,
+ man/chart.RollingRegression.Rd, man/chart.TimeSeries.Rd,
+ sandbox/Meucci/DESCRIPTION, sandbox/Meucci/man/CMAcombination.Rd,
+ sandbox/Meucci/man/CMAseparation.Rd,
+ sandbox/Meucci/man/Central2Raw.Rd,
+ sandbox/Meucci/man/Cumul2Raw.Rd,
+ sandbox/Meucci/man/PartialConfidencePosterior.Rd,
+ sandbox/Meucci/man/Prior2Posterior.Rd,
+ sandbox/Meucci/man/Raw2Central.Rd,
+ sandbox/Meucci/man/Raw2Cumul.Rd,
+ sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd: -
+ update roxygen doec, specifically @export tags
+
+2012-07-15 matthieu_lestel
+
+ * R/AdjustedSharpeRatio.R, R/BurkeRatio.R, R/CAPM.epsilon.R,
+ R/CAPM.jensenAlpha.R, R/TreynorRatio.R: modification of the
+ method of calcul for return to match Bacon(2008) in some
+ functions
+ * R/PainRatio.R[ADD], R/TreynorRatio.R, man/PainRatio.Rd[ADD]: Pain
+ ratio with examples and documentation
+ * R/DrawdownPeak.R[ADD], R/MeanAbsoluteDeviation.R, R/PainIndex.R,
+ man/MeanAbsoluteDeviation.Rd, man/PainIndex.Rd[ADD]:
+ documentation of PainIndex, correction of PainIndex.R, addition
+ of DrawdownPeak to calculate drawdown since previous peak
+
+2012-07-14 matthieu_lestel
+
+ * R/MeanAbsoluteDeviation.R[ADD],
+ man/MeanAbsoluteDeviation.Rd[ADD]: Mean absolute deviation with
+ examples and documentation
+
+2012-07-13 matthieu_lestel
+
+ * R/BurkeRatio.R, R/kurtosis.R, R/skewness.R, man/kurtosis.Rd,
+ man/skewness.Rd: correction of calcul of skewness and kurtosis,
+ update of documentation, addition of sample skewness, sample
+ kurtosis and sample excess kurtosis
+
+2012-07-13 mkshah
+
+ * sandbox/Meucci/R/RobustBayesianAllocation.R: Correcting
+ documentation mistakes
+ * sandbox/Meucci/R/InvariantProjection.R: Correcting documentation
+ mistakes
+ * sandbox/Meucci/R/EntropyProg.R: Correcting documentation mistakes
+ * sandbox/Meucci/R/ButterflyTrading.R[DEL]: Deleting
+ ButterflyTrading.R since all the functions have been moved to the
+ demo script demo/ButterflyTrading.R
+ * sandbox/Meucci/demo/ButterflyTrading.R: Including
+ ButterflyTrading functions in the demo file since it is a case
+ study and doesn't include any generalized method/process
+ * sandbox/Meucci/R/HermiteGrid.R: Adding comments for the functions
+ subIntervals, gaussHermiteMesh and hermitePolynomial
+ * sandbox/Meucci/R/CmaCopula.R: Updating comments for
+ CMACombination and CMASeperation
+
+2012-07-11 braverock
+
+ * sandbox/Meucci/R/DetectOutliersviaMVE.R,
+ sandbox/Meucci/R/EntropyProg.R,
+ sandbox/Meucci/R/FullyFlexibleBayesNets.R,
+ sandbox/Meucci/R/InvariantProjection.R,
+ sandbox/Meucci/R/Prior2Posterior.R,
+ sandbox/Meucci/R/RankingInformation.R,
+ sandbox/Meucci/R/RobustBayesianAllocation.R,
+ sandbox/Meucci/R/logToArithmeticCovariance.R,
+ sandbox/Meucci/man/Central2Raw.Rd,
+ sandbox/Meucci/man/ComputeMVE.Rd,
+ sandbox/Meucci/man/CondProbViews.Rd,
+ sandbox/Meucci/man/Cumul2Raw.Rd,
+ sandbox/Meucci/man/EfficientFrontier.Rd[DEL],
+ sandbox/Meucci/man/GenerateLogNormalDistribution.Rd,
+ sandbox/Meucci/man/PartialConfidencePosterior.Rd,
+ sandbox/Meucci/man/PlotDistributions.Rd,
+ sandbox/Meucci/man/Prior2Posterior.Rd,
+ sandbox/Meucci/man/Raw2Central.Rd,
+ sandbox/Meucci/man/Raw2Cumul.Rd,
+ sandbox/Meucci/man/StackedBarChart.Rd,
+ sandbox/Meucci/man/Tweak.Rd, sandbox/Meucci/man/ViewRanking.Rd,
+ sandbox/Meucci/man/linreturn.Rd,
+ sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd,
+ sandbox/Meucci/man/std.Rd: - changes to roxygen comments and a
+ few manual edits to .Rd files so documentation will compile, more
+ to do here.
+
+2012-07-10 mkshah
+
+ * sandbox/Meucci/R/ButterflyTrading.R: Removing unnecessary
+ comments
+ * sandbox/Meucci/demo/RankingInformation.R: Changing function name
+ to avoid conflicts
+ * sandbox/Meucci/R/RankingInformation.R: Changing function name to
+ avoid conflicts
+
+2012-07-09 braverock
+
+ * sandbox/Meucci/DESCRIPTION, sandbox/Meucci/man/Central2Raw.Rd,
+ sandbox/Meucci/man/ComputeMVE.Rd,
+ sandbox/Meucci/man/Cumul2Raw.Rd,
+ sandbox/Meucci/man/EntropyProg.Rd,
+ sandbox/Meucci/man/GenerateLogNormalDistribution.Rd,
+ sandbox/Meucci/man/PartialConfidencePosterior.Rd,
+ sandbox/Meucci/man/Prior2Posterior.Rd,
+ sandbox/Meucci/man/Raw2Central.Rd,
+ sandbox/Meucci/man/Raw2Cumul.Rd,
+ sandbox/Meucci/man/StackedBarChart.Rd,
+ sandbox/Meucci/man/efficientFrontier.Rd,
+ sandbox/Meucci/man/linreturn.Rd,
+ sandbox/Meucci/man/pHist.Rd[ADD],
+ sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd: -
+ update roxygen docs
+ - update DESCRIPTION for easier compilation
+
+2012-07-09 mkshah
+
+ * sandbox/Meucci/R/RobustBayesianAllocation.R: Deleting duplicated
+ demo content which has already been shifted to
+ RobustBayesianAllocation.R in the demo folder
+ * sandbox/Meucci/demo/HermiteGrid_CVaR_Recursion.R: Correcting plot
+ parameters
+ * sandbox/Meucci/R/RobustBayesianAllocation.R: Updating equations
+ and references
+ * sandbox/Meucci/R/DetectOutliersviaMVE.R: Updating equations and
+ references
+ * sandbox/Meucci/R/Prior2Posterior.R: Removing unnecessary comments
+ * sandbox/Meucci/R/RankingInformation.R: Updating comments
+ * sandbox/Meucci/R/EntropyProg.R: Updating equations and references
+ * sandbox/Meucci/R/logToArithmeticCovariance.R: Updating equations
+ and references
+ * sandbox/Meucci/R/InvariantProjection.R: Adding equations and
+ references.
+
+2012-07-08 mkshah
+
+ * sandbox/Meucci/R/EntropyProg.R: Updating comments
+
+2012-07-08 matthieu_lestel
+
+ * R/AdjustedSharpeRatio.R[ADD], man/AdjustedSharpeRatio.Rd[ADD]:
+ adjusted sharpe ratio with examples and documentation
+
+2012-07-07 mkshah
+
+ * sandbox/Meucci/demo/HermiteGrid_CVaR_Recursion.R[ADD]: Adding a
+ demo replicating the S_CVaR_Recursion.m file provided by Meucci
+ * sandbox/Meucci/R/HermiteGrid.R: Correcting the Kernel Functions
+ * sandbox/Meucci/R/EntropyProg.R: Correcting Comments
+ * sandbox/Meucci/demo/HermiteGrid_CaseStudy.R: Completed and
+ checked the results of the demo with Meucci's Matlab code
+
+2012-07-06 matthieu_lestel
+
+ * R/BurkeRatio.R[ADD], man/BurkeRatio.Rd[ADD]: Burke ratio and
+ modified Burke ratio with examples and documentation
+
+2012-07-05 mkshah
+
+ * sandbox/Meucci/demo/HermiteGrid_CaseStudy.R[ADD]: Duplicating the
+ S_CaseStudy.m Demo as provided by Meucci for Fully Flexible
+ Extreme Views
+ * sandbox/Meucci/R/HermiteGrid.R: Adding the kernel functions as
+ defined by Meucci for the CaseStudy Demo
+
+2012-07-04 mkshah
+
+ * sandbox/Meucci/data/pseudodata.Rda[ADD]: Adding dataset for the
+ demo of FullyFlexibleExtremeViews by Meucci
+ * sandbox/Meucci/demo/S_plotGaussHermite.R[ADD]: New Demo for
+ gaussHermiteMesh function as given by Meucci
+ * sandbox/Meucci/R/HermiteGrid.R: Making hermitePolynomial
+ executable and adding a function gaussHermiteMesh
+ * sandbox/Meucci/demo/S_ToyExample.R[ADD]: Adding another example
+ for Fully Flexible Bayesian Network as suggested by Meucci
+ * sandbox/Meucci/R/FullyFlexibleBayesNets.R: Commenting out
+ unnecessary lines of code
+ * sandbox/Meucci/R/ButterflyTrading.R: Indenting and correcting
+ code
+ * sandbox/Meucci/demo/ButterflyTrading.R: Correcting code
+ * sandbox/Meucci/data/butterflyAnalytics.Rda[ADD]: Consolidating
+ data for ButterflyTrading in one workspace
+ * sandbox/Meucci/R/CmaCopula.R: Cleaning and checking results
+ against Meucci's Matlab Version
+ * sandbox/Meucci/R/EntropyProg.R: Changing the parameter list for
+ pHist
+
+2012-07-04 matthieu_lestel
+
+ * R/SystematicRisk.R, R/TotalRisk.R, R/TreynorRatio.R,
+ man/SystematicRisk.Rd, man/TreynorRatio.Rd: Modified Treynor
+ ratio with examples and documentation
+
+2012-07-02 matthieu_lestel
+
+ * R/SkewnessKurtosisRatio.R, man/SkewnessKurtosisRatio.Rd: addition
+ of expected value in the exemples
+ * R/SkewnessKurtosisRatio.R[ADD],
+ man/SkewnessKurtosisRatio.Rd[ADD]: SkewnessKurtosisRatio with
+ examples and documentation
+
+2012-06-30 matthieu_lestel
+
+ * R/DownsideDeviation.R, R/UpsideRisk.R,
+ R/VolatilitySkewness.R[ADD], man/DownsideDeviation.Rd,
+ man/UpsideRisk.Rd, man/VolatilitySkewness.Rd[ADD]: Volatiliy and
+ variability skewness with examples and documentation
+
+2012-06-29 matthieu_lestel
+
+ * R/OmegaSharpeRatio.R[ADD], man/OmegaSharpeRatio.Rd[ADD]:
+ OmegaSharpeRatio with examples and documentation
+ * R/DownsideDeviation.R: modification of DownsideDeviation to make
+ it easier to use for other functions
+
+2012-06-28 matthieu_lestel
+
+ * R/TotalRisk.R[ADD], man/TotalRisk.Rd[ADD]: Total risk with
+ examples and documentation
+
+2012-06-26 matthieu_lestel
+
+ * R/CAPM.jensenAlpha.R, R/SystematicRisk.R[ADD],
+ man/CAPM.jensenAlpha.Rd, man/SystematicRisk.Rd[ADD]: Systematic
+ risk with exemples and documentation
+
+2012-06-25 matthieu_lestel
+
+ * R/CAPM.epsilon.R, R/CAPM.jensenAlpha.R[ADD], man/CAPM.epsilon.Rd,
+ man/CAPM.jensenAlpha.Rd[ADD]: jensen's alpha with exemples and
+ documentation
+ * R/CAPM.alpha.R, R/CAPM.epsilon.R[ADD], R/UpsideRisk.R,
+ data/portfolio_bacon.csv, man/CAPM.epsilon.Rd[ADD]: epsilon
+ regression with documentation
+
+2012-06-25 mkshah
+
+ * sandbox/Meucci/demo/FullyFlexibleBayesNets.R: Cleaned code and
+ checked against Meucci's Matlab Code
+ * sandbox/Meucci/R/FullyFlexibleBayesNets.R: Code cleaning
+
+2012-06-24 mkshah
+
+ * sandbox/Meucci/demo/InvariantProjection.R[ADD]: Created a new
+ demo file for InvariantProjection and checked the results with
+ Meucci's Matlab Code
+ * sandbox/Meucci/R/InvariantProjection.R: Cleaned code and shifted
+ the demo part to demo/InvariantProjection.R
+ * sandbox/Meucci/R/HermiteGrid.R: Moving common functions
+ prior2Posterior and pHist to EntropyProg.R
+ * sandbox/Meucci/R/EntropyProg.R: Moving common functions pHist and
+ prior2Posterior to EntropyProg.R
+ * sandbox/Meucci/R/Prior2Posterior.R: Moving common functions to
+ EntropyProg.R
+ * sandbox/Meucci/demo/HermiteGrid_demo.R: Cleaned and checked
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/returnanalytics -r 2321
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