[Returnanalytics-commits] r2653 - in pkg/PerformanceAnalytics/sandbox/Shubhankit: Week3/Code Week3/Vignette Week5 Week5/Vignette
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sun Jul 28 13:16:20 CEST 2013
Author: shubhanm
Date: 2013-07-28 13:16:20 +0200 (Sun, 28 Jul 2013)
New Revision: 2653
Added:
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot-003.pdf
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot-concordance.tex
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.Rnw
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.log
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.pdf
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.synctex.gz
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.tex
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB-concordance.tex
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.Rnw
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.log
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.pdf
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.synctex.gz
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.tex
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Vignette/
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Vignette/ConditionalDrawdown-Graph10.pdf
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Vignette/ConditionalDrawdown-concordance.tex
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Vignette/ConditionalDrawdown.Rnw
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Vignette/ConditionalDrawdown.log
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Vignette/ConditionalDrawdown.pdf
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Vignette/ConditionalDrawdown.synctex.gz
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Vignette/ConditionalDrawdown.tex
Modified:
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/chart.Autocorrelation.R
Log:
Vignette : Week 3 and 5
Status : Complete
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/chart.Autocorrelation.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/chart.Autocorrelation.R 2013-07-27 14:32:41 UTC (rev 2652)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/chart.Autocorrelation.R 2013-07-28 11:16:20 UTC (rev 2653)
@@ -33,8 +33,8 @@
# Graph autos with adjacent bars using rainbow colors
aa= table.Autocorrelation(R)
-barplot(as.matrix(aa), main="Auto Correlation Lag", ylab= "Value of Coefficient",
- , xlab = "Fund Type",beside=TRUE, col=rainbow(6))
+ barplot(as.matrix(aa), main="ACF Lag Plot", ylab= "Value of Coefficient",
+ , xlab = NULL,col=rainbow(6))
# Place the legend at the top-left corner with no frame
# using rainbow colors
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot-003.pdf
===================================================================
(Binary files differ)
Property changes on: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot-003.pdf
___________________________________________________________________
Added: svn:mime-type
+ application/octet-stream
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot-concordance.tex
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot-concordance.tex (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot-concordance.tex 2013-07-28 11:16:20 UTC (rev 2653)
@@ -0,0 +1,2 @@
+\Sconcordance{concordance:ACFbarplot.tex:ACFbarplot.Rnw:%
+1 44 1 1 5 1 4 4 1 1 2 1 0 2 1 4 0 1 2 3 1}
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.Rnw
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.Rnw (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.Rnw 2013-07-28 11:16:20 UTC (rev 2653)
@@ -0,0 +1,67 @@
+%% no need for \DeclareGraphicsExtensions{.pdf,.eps}
+
+\documentclass[12pt,letterpaper,english]{article}
+\usepackage{times}
+\usepackage[T1]{fontenc}
+\IfFileExists{url.sty}{\usepackage{url}}
+ {\newcommand{\url}{\texttt}}
+
+\usepackage{babel}
+%\usepackage{noweb}
+\usepackage{Rd}
+
+\usepackage{Sweave}
+\SweaveOpts{engine=R,eps=FALSE}
+%\VignetteIndexEntry{Performance Attribution from Bacon}
+%\VignetteDepends{PerformanceAnalytics}
+%\VignetteKeywords{returns, performance, risk, benchmark, portfolio}
+%\VignettePackage{PerformanceAnalytics}
+
+%\documentclass[a4paper]{article}
+%\usepackage[noae]{Sweave}
+%\usepackage{ucs}
+%\usepackage[utf8x]{inputenc}
+%\usepackage{amsmath, amsthm, latexsym}
+%\usepackage[top=3cm, bottom=3cm, left=2.5cm]{geometry}
+%\usepackage{graphicx}
+%\usepackage{graphicx, verbatim}
+%\usepackage{ucs}
+%\usepackage[utf8x]{inputenc}
+%\usepackage{amsmath, amsthm, latexsym}
+%\usepackage{graphicx}
+
+\title{Stacked Bar Plot of Autocorrelation Coefficient}
+\author{R Project for Statistical Computing}
+
+\begin{document}
+\SweaveOpts{concordance=TRUE}
+
+\maketitle
+
+
+\begin{abstract}
+Creates an ACF chart stacked bar plot with the ACF and PACF set to some depict the ACF weightage of different lag factors.
+\end{abstract}
+
+<<echo=FALSE >>=
+library(PerformanceAnalytics)
+data(edhec)
+@
+
+<<echo=FALSE,eval=TRUE,results=verbatim >>=
+source("../Code/chart.Autocorrelation.R")
+@
+
+\section{Usage}
+
+In this example we use edhec database, to show autocorrelation effect of the return time series with respect to lag factors.
+
+<<fig=TRUE>>=
+library(PerformanceAnalytics)
+data(edhec)
+chart.Autocorrelation(edhec[,1:3])
+@
+
+
+
+\end{document}
\ No newline at end of file
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.log
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.log (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.log 2013-07-28 11:16:20 UTC (rev 2653)
@@ -0,0 +1,348 @@
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+Fbarplot-003.pdf>]
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+ankit\Week3\Vignette\ACFbarplot.aux") )
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Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.pdf
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+ application/octet-stream
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.tex
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.tex (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ACFbarplot.tex 2013-07-28 11:16:20 UTC (rev 2653)
@@ -0,0 +1,63 @@
+%% no need for \DeclareGraphicsExtensions{.pdf,.eps}
+
+\documentclass[12pt,letterpaper,english]{article}
+\usepackage{times}
+\usepackage[T1]{fontenc}
+\IfFileExists{url.sty}{\usepackage{url}}
+ {\newcommand{\url}{\texttt}}
+
+\usepackage{babel}
+%\usepackage{noweb}
+\usepackage{Rd}
+
+\usepackage{Sweave}
+
+%\VignetteIndexEntry{Performance Attribution from Bacon}
+%\VignetteDepends{PerformanceAnalytics}
+%\VignetteKeywords{returns, performance, risk, benchmark, portfolio}
+%\VignettePackage{PerformanceAnalytics}
+
+%\documentclass[a4paper]{article}
+%\usepackage[noae]{Sweave}
+%\usepackage{ucs}
+%\usepackage[utf8x]{inputenc}
+%\usepackage{amsmath, amsthm, latexsym}
+%\usepackage[top=3cm, bottom=3cm, left=2.5cm]{geometry}
+%\usepackage{graphicx}
+%\usepackage{graphicx, verbatim}
+%\usepackage{ucs}
+%\usepackage[utf8x]{inputenc}
+%\usepackage{amsmath, amsthm, latexsym}
+%\usepackage{graphicx}
+
+\title{Stacked Bar Plot of Autocorrelation Coefficient}
+\author{R Project for Statistical Computing}
+
+\begin{document}
+\input{ACFbarplot-concordance}
+
+\maketitle
+
+
+\begin{abstract}
+Creates an ACF chart stacked bar plot with the ACF and PACF set to some depict the ACF weightage of different lag factors.
+\end{abstract}
+
+
+
+\section{Usage}
+
+In this example we use edhec database, to show autocorrelation effect of the return time series with respect to lag factors.
+
+\begin{Schunk}
+\begin{Sinput}
+> library(PerformanceAnalytics)
+> data(edhec)
+> chart.Autocorrelation(edhec[,1:3])
+\end{Sinput}
+\end{Schunk}
+\includegraphics{ACFbarplot-003}
+
+
+
+\end{document}
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB-concordance.tex
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB-concordance.tex (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB-concordance.tex 2013-07-28 11:16:20 UTC (rev 2653)
@@ -0,0 +1,2 @@
+\Sconcordance{concordance:ExpectedMaxDDGMB.tex:ExpectedMaxDDGMB.Rnw:%
+1 45 1 1 5 1 4 9 1 1 2 1 0 2 1 25 0 1 2 3 1}
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.Rnw
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.Rnw (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.Rnw 2013-07-28 11:16:20 UTC (rev 2653)
@@ -0,0 +1,73 @@
+%% no need for \DeclareGraphicsExtensions{.pdf,.eps}
+
+\documentclass[12pt,letterpaper,english]{article}
+\usepackage{times}
+\usepackage[T1]{fontenc}
+\IfFileExists{url.sty}{\usepackage{url}}
+ {\newcommand{\url}{\texttt}}
+
+\usepackage{babel}
+%\usepackage{noweb}
+\usepackage{Rd}
+
+\usepackage{Sweave}
+\SweaveOpts{engine=R,eps=FALSE}
+%\VignetteIndexEntry{Performance Attribution from Bacon}
+%\VignetteDepends{PerformanceAnalytics}
+%\VignetteKeywords{returns, performance, risk, benchmark, portfolio}
+%\VignettePackage{PerformanceAnalytics}
+
+%\documentclass[a4paper]{article}
+%\usepackage[noae]{Sweave}
+%\usepackage{ucs}
+%\usepackage[utf8x]{inputenc}
+%\usepackage{amsmath, amsthm, latexsym}
+%\usepackage[top=3cm, bottom=3cm, left=2.5cm]{geometry}
+%\usepackage{graphicx}
+%\usepackage{graphicx, verbatim}
+%\usepackage{ucs}
+%\usepackage[utf8x]{inputenc}
+%\usepackage{amsmath, amsthm, latexsym}
+%\usepackage{graphicx}
+
+\title{Maximum Drawdown of a Brownian Motion}
+\author{R Project for Statistical Computing}
+
+\begin{document}
+\SweaveOpts{concordance=TRUE}
+
+\maketitle
+
+
+\begin{abstract}
+if $\hat{X}$(t) is a random process on [0,T], the maximum drawdown in defined as the largest drop from a peak to a bottom.This paper investigates the behavior of this statistic for a Brownian motion with drift. In particular, it gives an $\infty$ series representation of its distribution, and consider its expected value. When the drift is zero, it gives an analytic expression for the expected value, and for non-zero drift, it gives an $\infty$ series representation.For all cases, we compute the limiting T tends to $\infty$ behavior, which can be
+logarithmic ($\mu$ greater than 0), square root ( $\mu$ equal to 0), or linear ($\mu$ less than 0).
+\end{abstract}
+
+<<echo=FALSE >>=
+library(PerformanceAnalytics)
+data(edhec)
+@
+
+<<echo=FALSE,eval=TRUE,results=verbatim >>=
+source("../Code/EmaxDDGBM.R")
+@
+
+\section{Background}
+
+The maximum drawdown is a commonly used in finance as a measure of risk for a stock that follows a particular random process. Here we consider the maximum drawdown of a Brownian motion.
+
+
+\section{Usage}
+
+In this example we use edhec database, to compute true Hedge Fund Returns.
+
+<<>>=
+library(PerformanceAnalytics)
+data(edhec)
+table.EMaxDDGBM(edhec)
+@
+
+
+
+\end{document}
\ No newline at end of file
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.log
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.log (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Vignette/ExpectedMaxDDGMB.log 2013-07-28 11:16:20 UTC (rev 2653)
@@ -0,0 +1,348 @@
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[TRUNCATED]
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svnlook diff /svnroot/returnanalytics -r 2653
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