[Returnanalytics-commits] r2665 - in pkg/PortfolioAnalytics: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Jul 29 17:56:15 CEST 2013
Author: rossbennett34
Date: 2013-07-29 17:56:15 +0200 (Mon, 29 Jul 2013)
New Revision: 2665
Added:
pkg/PortfolioAnalytics/man/insert_constraints.Rd
pkg/PortfolioAnalytics/man/insert_objectives.Rd
Modified:
pkg/PortfolioAnalytics/NAMESPACE
pkg/PortfolioAnalytics/R/constraints.R
pkg/PortfolioAnalytics/R/objective.R
pkg/PortfolioAnalytics/man/box_constraint.Rd
pkg/PortfolioAnalytics/man/chart.Scatter.DE.Rd
pkg/PortfolioAnalytics/man/diversification_constraint.Rd
pkg/PortfolioAnalytics/man/group_constraint.Rd
pkg/PortfolioAnalytics/man/position_limit_constraint.Rd
pkg/PortfolioAnalytics/man/turnover_constraint.Rd
pkg/PortfolioAnalytics/man/weight_sum_constraint.Rd
Log:
updating documentation for constraints
Modified: pkg/PortfolioAnalytics/NAMESPACE
===================================================================
--- pkg/PortfolioAnalytics/NAMESPACE 2013-07-29 15:47:31 UTC (rev 2664)
+++ pkg/PortfolioAnalytics/NAMESPACE 2013-07-29 15:56:15 UTC (rev 2665)
@@ -32,6 +32,8 @@
export(get_constraints)
export(group_constraint)
export(group_fail)
+export(insert_constraints)
+export(insert_objectives)
export(is.constraint)
export(is.objective)
export(is.portfolio)
Modified: pkg/PortfolioAnalytics/R/constraints.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints.R 2013-07-29 15:47:31 UTC (rev 2664)
+++ pkg/PortfolioAnalytics/R/constraints.R 2013-07-29 15:56:15 UTC (rev 2665)
@@ -797,7 +797,32 @@
return(constraints)
}
+#' Insert a list of constraints into the constraints slot of a portfolio object
+#'
+#' @param portfolio object of class 'portfolio'
+#' @param constraints list of constraint objects
+#' @author Ross Bennett
+#' @export
+insert_constraints <- function(portfolio, constraints){
+ # Check portfolio object
+ if (is.null(portfolio) | !is.portfolio(portfolio)){
+ stop("you must pass in an object of class portfolio")
+ }
+
+ # Check that constraints is a list
+ if(!is.list(constraints)) stop("constraints must be passed in as a list")
+
+ # Check that all objects in the list are of class constraint
+ for(i in 1:length(constraints)){
+ if(!is.constraint(constraints[[i]]))
+ stop("constraints must be passed in as a list and all objects in constraints must be of class 'constraint'")
+ }
+
+ portfolio$constraints <- constraints
+ return(portfolio)
+}
+
# #' constructor for class constraint_ROI
# #'
# #' @param assets number of assets, or optionally a named vector of assets specifying seed weights
@@ -824,26 +849,3 @@
# ))
# }
-#' Insert a list of constraints into the constraints slot of a portfolio object
-#' @param portfolio object of class 'portfolio'
-#' @param constraints list of constraint objects
-#' @author Ross Bennett
-#' @export
-insert_constraints <- function(portfolio, constraints){
- # Check portfolio object
- if (is.null(portfolio) | !is.portfolio(portfolio)){
- stop("you must pass in an object of class portfolio")
- }
-
- # Check that constraints is a list
- if(!is.list(constraints)) stop("constraints must be passed in as a list")
-
- # Check that all objects in the list are of class constraint
- for(i in 1:length(constraints)){
- if(!is.constraint(constraints[[i]]))
- stop("constraints must be passed in as a list and all objects in constraints must be of class 'constraint'")
- }
-
- portfolio$constraints <- constraints
- return(portfolio)
-}
Modified: pkg/PortfolioAnalytics/R/objective.R
===================================================================
--- pkg/PortfolioAnalytics/R/objective.R 2013-07-29 15:47:31 UTC (rev 2664)
+++ pkg/PortfolioAnalytics/R/objective.R 2013-07-29 15:56:15 UTC (rev 2665)
@@ -387,6 +387,7 @@
} # end minmax_objective constructor
#' Insert a list of objectives into the objectives slot of a portfolio object
+#'
#' @param portfolio object of class 'portfolio'
#' @param objectives list of objective objects
#' @author Ross Bennett
Modified: pkg/PortfolioAnalytics/man/box_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/box_constraint.Rd 2013-07-29 15:47:31 UTC (rev 2664)
+++ pkg/PortfolioAnalytics/man/box_constraint.Rd 2013-07-29 15:56:15 UTC (rev 2665)
@@ -2,7 +2,7 @@
\alias{box_constraint}
\title{constructor for box_constraint.}
\usage{
- box_constraint(type, assets, min, max, min_mult,
+ box_constraint(type = "box", assets, min, max, min_mult,
max_mult, enabled = TRUE, message = FALSE, ...)
}
\arguments{
Modified: pkg/PortfolioAnalytics/man/chart.Scatter.DE.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/chart.Scatter.DE.Rd 2013-07-29 15:47:31 UTC (rev 2664)
+++ pkg/PortfolioAnalytics/man/chart.Scatter.DE.Rd 2013-07-29 15:56:15 UTC (rev 2665)
@@ -2,7 +2,7 @@
\alias{chart.Scatter.DE}
\title{classic risk return scatter of DEoptim results}
\usage{
- chart.Scatter.DE(DE, R = NULL, constraints = NULL,
+ chart.Scatter.DE(DE, R = NULL, portfolio = NULL,
neighbors = NULL, return.col = "mean", risk.col = "ES",
..., element.color = "darkgray", cex.axis = 0.8)
}
@@ -14,9 +14,8 @@
timeSeries or zoo object of asset returns, used to
recalulate the objective function where required}
- \item{constraints}{an object of type "constraints"
- specifying the constraints for the optimization, see
- \code{\link{constraint}}}
+ \item{portfolio}{an object of type "portfolio" specifying
+ the constraints and objectives for the optimization}
\item{neighbors}{set of 'neighbor' portfolios to
overplot, see Details in \code{\link{charts.DE}}}
Modified: pkg/PortfolioAnalytics/man/diversification_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/diversification_constraint.Rd 2013-07-29 15:47:31 UTC (rev 2664)
+++ pkg/PortfolioAnalytics/man/diversification_constraint.Rd 2013-07-29 15:56:15 UTC (rev 2665)
@@ -2,8 +2,8 @@
\alias{diversification_constraint}
\title{constructor for diversification_constraint}
\usage{
- diversification_constraint(type, div_target,
- enabled = TRUE, message = FALSE, ...)
+ diversification_constraint(type = "diversification",
+ div_target, enabled = TRUE, message = FALSE, ...)
}
\arguments{
\item{type}{character type of the constraint}
Modified: pkg/PortfolioAnalytics/man/group_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/group_constraint.Rd 2013-07-29 15:47:31 UTC (rev 2664)
+++ pkg/PortfolioAnalytics/man/group_constraint.Rd 2013-07-29 15:56:15 UTC (rev 2665)
@@ -2,7 +2,7 @@
\alias{group_constraint}
\title{constructor for group_constraint}
\usage{
- group_constraint(type, assets, groups,
+ group_constraint(type = "group", assets, groups,
group_labels = NULL, group_min, group_max,
group_pos = NULL, enabled = TRUE, message = FALSE, ...)
}
Added: pkg/PortfolioAnalytics/man/insert_constraints.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/insert_constraints.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/insert_constraints.Rd 2013-07-29 15:56:15 UTC (rev 2665)
@@ -0,0 +1,19 @@
+\name{insert_constraints}
+\alias{insert_constraints}
+\title{Insert a list of constraints into the constraints slot of a portfolio object}
+\usage{
+ insert_constraints(portfolio, constraints)
+}
+\arguments{
+ \item{portfolio}{object of class 'portfolio'}
+
+ \item{constraints}{list of constraint objects}
+}
+\description{
+ Insert a list of constraints into the constraints slot of
+ a portfolio object
+}
+\author{
+ Ross Bennett
+}
+
Added: pkg/PortfolioAnalytics/man/insert_objectives.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/insert_objectives.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/insert_objectives.Rd 2013-07-29 15:56:15 UTC (rev 2665)
@@ -0,0 +1,19 @@
+\name{insert_objectives}
+\alias{insert_objectives}
+\title{Insert a list of objectives into the objectives slot of a portfolio object}
+\usage{
+ insert_objectives(portfolio, objectives)
+}
+\arguments{
+ \item{portfolio}{object of class 'portfolio'}
+
+ \item{objectives}{list of objective objects}
+}
+\description{
+ Insert a list of objectives into the objectives slot of a
+ portfolio object
+}
+\author{
+ Ross Bennett
+}
+
Modified: pkg/PortfolioAnalytics/man/position_limit_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/position_limit_constraint.Rd 2013-07-29 15:47:31 UTC (rev 2664)
+++ pkg/PortfolioAnalytics/man/position_limit_constraint.Rd 2013-07-29 15:56:15 UTC (rev 2665)
@@ -2,9 +2,10 @@
\alias{position_limit_constraint}
\title{constructor for position_limit_constraint}
\usage{
- position_limit_constraint(type, assets, max_pos = NULL,
- max_pos_long = NULL, max_pos_short = NULL,
- enabled = TRUE, message = FALSE, ...)
+ position_limit_constraint(type = "position_limit",
+ assets, max_pos = NULL, max_pos_long = NULL,
+ max_pos_short = NULL, enabled = TRUE, message = FALSE,
+ ...)
}
\arguments{
\item{type}{character type of the constraint}
Modified: pkg/PortfolioAnalytics/man/turnover_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/turnover_constraint.Rd 2013-07-29 15:47:31 UTC (rev 2664)
+++ pkg/PortfolioAnalytics/man/turnover_constraint.Rd 2013-07-29 15:56:15 UTC (rev 2665)
@@ -2,7 +2,7 @@
\alias{turnover_constraint}
\title{constructor for turnover_constraint}
\usage{
- turnover_constraint(type, turnover_target,
+ turnover_constraint(type = "turnover", turnover_target,
enabled = TRUE, message = FALSE, ...)
}
\arguments{
Modified: pkg/PortfolioAnalytics/man/weight_sum_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/weight_sum_constraint.Rd 2013-07-29 15:47:31 UTC (rev 2664)
+++ pkg/PortfolioAnalytics/man/weight_sum_constraint.Rd 2013-07-29 15:56:15 UTC (rev 2665)
@@ -2,8 +2,8 @@
\alias{weight_sum_constraint}
\title{constructor for weight_sum_constraint}
\usage{
- weight_sum_constraint(type, min_sum = 0.99,
- max_sum = 1.01, enabled = TRUE, ...)
+ weight_sum_constraint(type = "weight_sum",
+ min_sum = 0.99, max_sum = 1.01, enabled = TRUE, ...)
}
\arguments{
\item{type}{character type of the constraint}
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