[Returnanalytics-commits] r2358 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2013-06-19 01:14:14 +0200 (Wed, 19 Jun 2013)
New Revision: 2358

Modified:
   pkg/PortfolioAnalytics/R/constraints.R
Log:
Modified constraint_v2 to be a simpler constructor and remove specifying assets in constraints. Assets can be specified in portfolio constructor

Modified: pkg/PortfolioAnalytics/R/constraints.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints.R	2013-06-18 20:45:00 UTC (rev 2357)
+++ pkg/PortfolioAnalytics/R/constraints.R	2013-06-18 23:14:14 UTC (rev 2358)
@@ -151,67 +151,87 @@
   ))
 }
 
-#' constructor for class constraint_v2
-#' 
+# #' constructor for class constraint_v2
+# #' 
+# #' @param assets number of assets, or optionally a named vector of assets specifying seed weights
+# #' @param ... any other passthru parameters
+# #' @param min_sum minimum sum of all asset weights, default .99
+# #' @param max_sum maximum sum of all asset weights, default 1.01
+# #' @param weight_seq seed sequence of weights, see \code{\link{generatesequence}}
+# #' @author Peter Carl, Brian G. Peterson, and Ross Bennett
+# #' @examples 
+# #' exconstr <- constraint_v2(assets=10, min_sum=1, max_sum=1, weight_seq=generatesequence())
+# #' @export
+# constraint_v2 <- function(assets=NULL, ..., min_sum=.99, max_sum=1.01, weight_seq=NULL) {
+#   # based on GPL R-Forge pkg roi by Stefan Thuessel,Kurt Hornik,David Meyer
+#   # constraint_v2 is based on the constraint_v1 object, but removes box
+#   # constraint specification
+#   if (is.null(assets)) {
+#     stop("You must specify the assets")
+#   }
+#   
+#   if(!is.null(assets)){
+#     # TODO FIXME this doesn't work quite right on matrix of assets
+#     if(is.numeric(assets)){
+#       if (length(assets) == 1) {
+#         nassets = assets
+#         # we passed in a number of assets, so we need to create the vector
+#         message("assuming equal weighted seed portfolio")
+#         assets <- rep(1 / nassets, nassets)
+#       } else {
+#         nassets = length(assets)
+#       }
+#       # and now we may need to name them
+#       if (is.null(names(assets))) {
+#         for(i in 1:length(assets)){
+#           names(assets)[i] <- paste("Asset",i,sep=".")
+#         }
+#       }
+#     }
+#     if(is.character(assets)){
+#       nassets = length(assets)
+#       assetnames = assets
+#       message("assuming equal weighted seed portfolio")
+#       assets <- rep(1 / nassets, nassets)
+#       names(assets) <- assetnames  # set names, so that other code can access it,
+#       # and doesn't have to know about the character vector
+#       # print(assets)
+#     }
+#     # if assets is a named vector, we'll assume it is current weights
+#   }
+#   
+#   ## now structure and return
+#   return(structure(
+#     list(
+#       assets = assets,
+#       min_sum = min_sum,
+#       max_sum = max_sum,
+#       weight_seq = weight_seq,
+#       objectives = list(),
+#       call = match.call()
+#     ),
+#     class=c("v2_constraint","constraint")
+#   ))
+# }
+
+#' constructor for class v2_constraint
+#' @param type character type of the constraint to add or update, currently 'weight_sum', 'box', or 'group'
 #' @param assets number of assets, or optionally a named vector of assets specifying seed weights
 #' @param ... any other passthru parameters
-#' @param min_sum minimum sum of all asset weights, default .99
-#' @param max_sum maximum sum of all asset weights, default 1.01
-#' @param weight_seq seed sequence of weights, see \code{\link{generatesequence}}
-#' @author Peter Carl, Brian G. Peterson, and Ross Bennett
-#' @examples 
-#' exconstr <- constraint_v2(assets=10, min_sum=1, max_sum=1, weight_seq=generatesequence())
+#' @param constrclass character to name the constraint class
+#' @author Ross Bennett
 #' @export
-constraint_v2 <- function(assets=NULL, ..., min_sum=.99, max_sum=1.01, weight_seq=NULL) {
-  # based on GPL R-Forge pkg roi by Stefan Thuessel,Kurt Hornik,David Meyer
-  # constraint_v2 is based on the constraint_v1 object, but removes box
-  # constraint specification
-  if (is.null(assets)) {
-    stop("You must specify the assets")
-  }
+constraint_v2 <- function(type, enabled=FALSE, ..., constrclass="constraint"){
+  if(!hasArg(type)) stop("you must specify a constraint type")
+  if (hasArg(type)) if(is.null(type)) stop("you must specify a constraint type")
   
-  if(!is.null(assets)){
-    # TODO FIXME this doesn't work quite right on matrix of assets
-    if(is.numeric(assets)){
-      if (length(assets) == 1) {
-        nassets = assets
-        # we passed in a number of assets, so we need to create the vector
-        message("assuming equal weighted seed portfolio")
-        assets <- rep(1 / nassets, nassets)
-      } else {
-        nassets = length(assets)
-      }
-      # and now we may need to name them
-      if (is.null(names(assets))) {
-        for(i in 1:length(assets)){
-          names(assets)[i] <- paste("Asset",i,sep=".")
-        }
-      }
-    }
-    if(is.character(assets)){
-      nassets = length(assets)
-      assetnames = assets
-      message("assuming equal weighted seed portfolio")
-      assets <- rep(1 / nassets, nassets)
-      names(assets) <- assetnames  # set names, so that other code can access it,
-      # and doesn't have to know about the character vector
-      # print(assets)
-    }
-    # if assets is a named vector, we'll assume it is current weights
-  }
-  
   ## now structure and return
-  return(structure(
-    list(
-      assets = assets,
-      min_sum = min_sum,
-      max_sum = max_sum,
-      weight_seq = weight_seq,
-      objectives = list(),
-      call = match.call()
-    ),
-    class=c("v2_constraint","constraint")
-  ))
+  return(structure( c(list(type = type,
+                           enabled=enabled),
+                      list(...)),
+                    class=constrclass
+  ) # end structure
+  )
 }
 
 #' General interface for adding and/or updating optimization constraints, currently supports box and group constraints.