[Returnanalytics-commits] r2497 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2013-07-04 01:49:26 +0200 (Thu, 04 Jul 2013)
New Revision: 2497

Modified:
   pkg/PortfolioAnalytics/R/constraints.R
Log:
removing volatility as a constraint type

Modified: pkg/PortfolioAnalytics/R/constraints.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints.R	2013-07-03 22:49:48 UTC (rev 2496)
+++ pkg/PortfolioAnalytics/R/constraints.R	2013-07-03 23:49:26 UTC (rev 2497)
@@ -187,7 +187,7 @@
 #' @param \dots any other passthru parameters to specify constraints
 #' @param indexnum if you are updating a specific constraint, the index number in the $objectives list to update
 #' @author Ross Bennett
-#' @seealso \code{\link{constraint_v2}}, \code{\link{weight_sum_constraint}}, \code{\link{box_constraint}}, \code{\link{group_constraint}}, \code{\link{turnover_constraint}}, \code{\link{diversification_constraint}}, \code{\link{volatility_constraint}}, \code{\link{position_limit_constraint}}
+#' @seealso \code{\link{constraint_v2}}, \code{\link{weight_sum_constraint}}, \code{\link{box_constraint}}, \code{\link{group_constraint}}, \code{\link{turnover_constraint}}, \code{\link{diversification_constraint}}, \code{\link{position_limit_constraint}}
 #' @export
 add.constraint <- function(portfolio, type, enabled=FALSE, ..., indexnum=NULL){
   # Check to make sure that the portfolio passed in is a portfolio object
@@ -242,11 +242,6 @@
                                                                          enabled=enabled,
                                                                          ...=...)
          },
-         # Volatility constraint
-         volatility = {tmp_constraint <- volatility_constraint(type=type,
-                                                               enabled=enabled,
-                                                               ...=...)
-         },
          # Position limit constraint
          position_limit = {tmp_constraint <- position_limit_constraint(type=type,
                                                                        enabled=enabled,
@@ -606,25 +601,6 @@
   return(Constraint)
 }
 
-#' constructor for volatility_constraint
-#' 
-#' This function is called by add.constraint when type="volatility" is specified, \code{\link{add.constraint}}
-#' Penalize if portfolio standard deviation deviates from volatility target
-#' 
-#' @param type character type of the constraint
-#' @param vol_target target volatilty constraint
-#' @param enabled TRUE/FALSE
-#' @param \dots any other passthru parameters to specify box and/or group constraints
-#' @author Ross Bennett
-#' @export
-volatility_constraint <- function(type, vol_target, enabled=FALSE, ...){
-  Constraint <- constraint_v2(type, enabled=enabled, constrclass="volatility_constraint", ...)
-  # Constraint$min.vol <- min.vol
-  # Constraint$max.vol <- max.vol
-  Constraint$vol_target <- vol_target
-  return(Constraint)
-}
-
 #' constructor for position_limit_constraint
 #' 
 #' This function is called by add.constraint when type="position_limit" is specified, \code{\link{add.constraint}}