[Returnanalytics-commits] r2479 - pkg/PortfolioAnalytics/sandbox

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

Author: rossbennett34
Date: 2013-07-01 00:14:54 +0200 (Mon, 01 Jul 2013)
New Revision: 2479

Added:
   pkg/PortfolioAnalytics/sandbox/testing_constraint_fn_map.R
Log:
adding testing for constraint_fn_map functions for different scenarios

Added: pkg/PortfolioAnalytics/sandbox/testing_constraint_fn_map.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/testing_constraint_fn_map.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/testing_constraint_fn_map.R	2013-06-30 22:14:54 UTC (rev 2479)
@@ -0,0 +1,54 @@
+# testing for constraint_fnMap functions
+
+##### test txfrm_box_constraint #####
+# transform weights that violate min and max box constraints
+
+min <- c(0.05, 0.08, 0.15, 0.1, 0.15)
+max <- c(0.45, 0.55, 0.45, 0.6, 0.45)
+
+# elements 2 and 5 violate min
+# element 3 violates max
+w <- c(0.1, 0.06, 0.48, 0.25, 0.11)
+which(w < min)
+which(w > max)
+
+w.box <- txfrm_box_constraint(w, min, max)
+sum(w.box) # max_sum is violated
+w.box
+any(w.box < min)
+any(w.box > max)
+
+###### test txfrm_group_constraint #####
+# transform weights that violate group constraints
+groups <- c(2,2)
+cLO <- c(0.1, 0.2)
+cUP <- c(0.3, 0.8)
+
+# cUP is violated for the first group
+w <- c(0.15, 0.2, 0.15, 0.5)
+
+w.grp <- txfrm_group_constraint(weights=w, groups=groups, cLO=cLO, cUP=cUP)
+w.grp
+sum(w.grp) # min_sum  is violated
+
+##### test txfrm_weight_sum_constraint #####
+# normalizes the weights to min_sum or max_sum by transforming the entire vector
+sum(w.box)
+w1 <- txfrm_weight_sum_constraint(weights=w.box, min_sum=0.99, max_sum=1.01)
+w1
+min
+# elements 2 and 5 barely violate min
+
+sum(w.grp)
+w2 <- txfrm_weight_sum_constraint(weights=w.grp, min_sum=0.99, max_sum=1.01)
+cLO
+cUP
+# the first group barely violates cUP
+sum(w2[1:2])
+sum(w2[3:4])
+
+
+
+
+
+