[Returnanalytics-commits] r2339 - pkg/PerformanceAnalytics/R

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

Author: pulkit
Date: 2013-06-06 06:24:50 +0200 (Thu, 06 Jun 2013)
New Revision: 2339

Removed:
   pkg/PerformanceAnalytics/R/ProbSharpe.R
Log:
Deleted ProbSharpe.R

Deleted: pkg/PerformanceAnalytics/R/ProbSharpe.R
===================================================================
--- pkg/PerformanceAnalytics/R/ProbSharpe.R	2013-06-06 04:23:37 UTC (rev 2338)
+++ pkg/PerformanceAnalytics/R/ProbSharpe.R	2013-06-06 04:24:50 UTC (rev 2339)
@@ -1,62 +0,0 @@
-#'@title Probabilistic Sharpe Ratio
-#'@description
-#'Given a predefined
-#'benchmark4 Sharpe ratio (), the observed Sharpe  Ratiô can be expressed
-#' in probabilistic
-#'
-#'@param R the return series
-#'@param Rf the risk free rate of return
-#'@param refSR the reference Sharpe Ratio
-#'@param the confidence level
-#'@param weights the weights for the portfolio
-
-ProbSharpeRatio<-
-function(R, refSR,Rf=0,p = 0.95, weights = NULL, ...){
-    x = checkData(R)
-    columns = ncol(R)
-    columnnames = colnames(R)
-    
-    if(!is.null(dim(Rf)))
-        Rf = checkData(Rf)
-    
-    psr <- function (x,Rf,p,refSR,...){
-        sr = SharpeRatio(x, Rf, p,"StdDev")
-        n = nrow(x)
-        sd = StdDev(x)
-        sk = skewness(x)
-        kr = kurtosis(x)
-        PSR = pnorm(((sr - refSR)*(n-1)^(0.5))/(1-sr*sk+sr^2*(kr-1)/4)^(0.5))
-        return(PSR)
-}
-
-mintrl <- function(x,Rf,p,refSR,...){
-    sk = skewness(x)
-    kr =kurtosis(x)
-    sr = SharpeRatio(x, Rf, p, "StdDev")
-    MinTRL = 1 + (1 - sk*sr + ((kr-1)/4)*sr^2)*(qnorm(p)/(sr-refSR))^2
-    return(MinTRL)
-
-}
-    for(column in 1:columns){
-      column.probsharpe <- psr(x[,column],Rf,p,refSR)
-      column.mintrack <- mintrl(x[,column],Rf,p,refSR)
-      if(column == 1){
-        probsharpe = column.probsharpe
-        mintrack = column.mintrack
-      }
-      else {
-        probsharpe = merge(probsharpe, column.probsharpe)
-        mintrack = merge(mintrack, column.mintrack)
-    }
-      
-    }
-    
-    probsharpe = rbind(probsharpe,mintrack)
-    
-    colnames(probsharpe) = columnnames
-    probsharpe = reclass(probsharpe, x)
-    rownames(probsharpe)=c("PSR","MinTRL")
-    return(probsharpe)
-
-}
-