[Returnanalytics-commits] r2632 - in pkg/PortfolioAnalytics: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Jul 23 03:04:45 CEST 2013
Author: rossbennett34
Date: 2013-07-23 03:04:44 +0200 (Tue, 23 Jul 2013)
New Revision: 2632
Added:
pkg/PortfolioAnalytics/man/constraint_v1.Rd
Modified:
pkg/PortfolioAnalytics/NAMESPACE
pkg/PortfolioAnalytics/R/constraints.R
pkg/PortfolioAnalytics/man/constraint.Rd
Log:
updating constraints to alias constraint_v2 to constraint and use constraint inside functions
Modified: pkg/PortfolioAnalytics/NAMESPACE
===================================================================
--- pkg/PortfolioAnalytics/NAMESPACE 2013-07-23 00:49:03 UTC (rev 2631)
+++ pkg/PortfolioAnalytics/NAMESPACE 2013-07-23 01:04:44 UTC (rev 2632)
@@ -15,6 +15,7 @@
export(constrained_objective_v2)
export(constrained_objective)
export(constraint_ROI)
+export(constraint_v1)
export(constraint_v2)
export(constraint)
export(diversification_constraint)
Modified: pkg/PortfolioAnalytics/R/constraints.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints.R 2013-07-23 00:49:03 UTC (rev 2631)
+++ pkg/PortfolioAnalytics/R/constraints.R 2013-07-23 01:04:44 UTC (rev 2632)
@@ -25,7 +25,7 @@
#' @examples
#' exconstr <- constraint(assets=10, min_sum=1, max_sum=1, min=.01, max=.35, weight_seq=generatesequence())
#' @export
-constraint <- function(assets=NULL, ... ,min,max,min_mult,max_mult,min_sum=.99,max_sum=1.01,weight_seq=NULL)
+constraint_v1 <- function(assets=NULL, ... ,min,max,min_mult,max_mult,min_sum=.99,max_sum=1.01,weight_seq=NULL)
{ # based on GPL R-Forge pkg roi by Stefan Thuessel,Kurt Hornik,David Meyer
if (hasArg(min) & hasArg(max)) {
if (is.null(assets) & (!length(min)>1) & (!length(max)>1)) {
@@ -159,6 +159,8 @@
#' @param ... any other passthru parameters
#' @param constrclass character to name the constraint class
#' @author Ross Bennett
+#' @aliases constraint
+#' @rdname constraint
#' @export
constraint_v2 <- function(type, enabled=TRUE, ..., constrclass="v2_constraint"){
if(!hasArg(type)) stop("you must specify a constraint type")
@@ -173,6 +175,10 @@
)
}
+# Alias constraint_v2 to constraint
+#' @export
+constraint <- constraint_v2
+
#' General interface for adding and/or updating optimization constraints.
#'
#' This is the main function for adding and/or updating constraints in an object of type \code{\link{portfolio}}.
@@ -386,7 +392,7 @@
max[which(tmp_max < max)] <- tmp_max[which(tmp_max < max)]
}
- Constraint <- constraint_v2(type=type, enabled=enabled, constrclass="box_constraint", ...)
+ Constraint <- constraint(type=type, enabled=enabled, constrclass="box_constraint", ...)
Constraint$min <- min
Constraint$max <- max
return(Constraint)
@@ -462,7 +468,7 @@
}
}
- Constraint <- constraint_v2(type, enabled=enabled, constrclass="group_constraint", ...)
+ Constraint <- constraint(type, enabled=enabled, constrclass="group_constraint", ...)
Constraint$groups <- groups
Constraint$group_labels <- group_labels
Constraint$cLO <- group_min
@@ -506,7 +512,7 @@
#' pspec <- add.constraint(pspec, type="active")
#' @export
weight_sum_constraint <- function(type, min_sum=0.99, max_sum=1.01, enabled=TRUE, ...){
- Constraint <- constraint_v2(type, enabled=enabled, constrclass="weight_sum_constraint", ...)
+ Constraint <- constraint(type, enabled=enabled, constrclass="weight_sum_constraint", ...)
Constraint$min_sum <- min_sum
Constraint$max_sum <- max_sum
return(Constraint)
@@ -627,7 +633,7 @@
#' pspec <- add.constraint(portfolio=pspec, type="turnover", turnover_target=0.6)
#' @export
turnover_constraint <- function(type, turnover_target, enabled=TRUE, message=FALSE, ...){
- Constraint <- constraint_v2(type, enabled=enabled, constrclass="turnover_constraint", ...)
+ Constraint <- constraint(type, enabled=enabled, constrclass="turnover_constraint", ...)
Constraint$turnover_target <- turnover_target
return(Constraint)
}
@@ -651,7 +657,7 @@
#' pspec <- add.constraint(portfolio=pspec, type="diversification", div_target=0.7)
#' @export
diversification_constraint <- function(type, div_target, enabled=TRUE, message=FALSE, ...){
- Constraint <- constraint_v2(type, enabled=enabled, constrclass="diversification_constraint", ...)
+ Constraint <- constraint(type, enabled=enabled, constrclass="diversification_constraint", ...)
Constraint$div_target <- div_target
return(Constraint)
}
@@ -716,7 +722,7 @@
# coerce to integer
max_pos_short <- as.integer(max_pos_short)
}
- Constraint <- constraint_v2(type, enabled=enabled, constrclass="position_limit_constraint", ...)
+ Constraint <- constraint(type, enabled=enabled, constrclass="position_limit_constraint", ...)
Constraint$max_pos <- max_pos
Constraint$max_pos_long <- max_pos_long
Constraint$max_pos_short <- max_pos_short
Modified: pkg/PortfolioAnalytics/man/constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/constraint.Rd 2013-07-23 00:49:03 UTC (rev 2631)
+++ pkg/PortfolioAnalytics/man/constraint.Rd 2013-07-23 01:04:44 UTC (rev 2632)
@@ -1,47 +1,27 @@
-\name{constraint}
+\name{constraint_v2}
\alias{constraint}
-\title{constructor for class constraint}
+\alias{constraint_v2}
+\title{constructor for class v2_constraint}
\usage{
- constraint(assets = NULL, ..., min, max, min_mult,
- max_mult, min_sum = 0.99, max_sum = 1.01,
- weight_seq = NULL)
+ constraint_v2(type, enabled = TRUE, ...,
+ constrclass = "v2_constraint")
}
\arguments{
+ \item{type}{character type of the constraint to add or
+ update, currently 'weight_sum', 'box', or 'group'}
+
\item{assets}{number of assets, or optionally a named
vector of assets specifying seed weights}
\item{...}{any other passthru parameters}
- \item{min}{numeric or named vector specifying minimum
- weight box constraints}
-
- \item{max}{numeric or named vector specifying minimum
- weight box constraints}
-
- \item{min_mult}{numeric or named vector specifying
- minimum multiplier box constraint from seed weight in
- \code{assets}}
-
- \item{max_mult}{numeric or named vector specifying
- maximum multiplier box constraint from seed weight in
- \code{assets}}
-
- \item{min_sum}{minimum sum of all asset weights, default
- .99}
-
- \item{max_sum}{maximum sum of all asset weights, default
- 1.01}
-
- \item{weight_seq}{seed sequence of weights, see
- \code{\link{generatesequence}}}
+ \item{constrclass}{character to name the constraint
+ class}
}
\description{
- constructor for class constraint
+ constructor for class v2_constraint
}
-\examples{
-exconstr <- constraint(assets=10, min_sum=1, max_sum=1, min=.01, max=.35, weight_seq=generatesequence())
-}
\author{
- Peter Carl and Brian G. Peterson
+ Ross Bennett
}
Added: pkg/PortfolioAnalytics/man/constraint_v1.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/constraint_v1.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/constraint_v1.Rd 2013-07-23 01:04:44 UTC (rev 2632)
@@ -0,0 +1,47 @@
+\name{constraint_v1}
+\alias{constraint_v1}
+\title{constructor for class constraint}
+\usage{
+ constraint_v1(assets = NULL, ..., min, max, min_mult,
+ max_mult, min_sum = 0.99, max_sum = 1.01,
+ weight_seq = NULL)
+}
+\arguments{
+ \item{assets}{number of assets, or optionally a named
+ vector of assets specifying seed weights}
+
+ \item{...}{any other passthru parameters}
+
+ \item{min}{numeric or named vector specifying minimum
+ weight box constraints}
+
+ \item{max}{numeric or named vector specifying minimum
+ weight box constraints}
+
+ \item{min_mult}{numeric or named vector specifying
+ minimum multiplier box constraint from seed weight in
+ \code{assets}}
+
+ \item{max_mult}{numeric or named vector specifying
+ maximum multiplier box constraint from seed weight in
+ \code{assets}}
+
+ \item{min_sum}{minimum sum of all asset weights, default
+ .99}
+
+ \item{max_sum}{maximum sum of all asset weights, default
+ 1.01}
+
+ \item{weight_seq}{seed sequence of weights, see
+ \code{\link{generatesequence}}}
+}
+\description{
+ constructor for class constraint
+}
+\examples{
+exconstr <- constraint(assets=10, min_sum=1, max_sum=1, min=.01, max=.35, weight_seq=generatesequence())
+}
+\author{
+ Peter Carl and Brian G. Peterson
+}
+
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