[Returnanalytics-commits] r2363 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2013-06-19 01:52:24 +0200 (Wed, 19 Jun 2013)
New Revision: 2363

Added:
   pkg/PortfolioAnalytics/R/portfolio.R
Log:
adding portfolio.R file with portfolio.spec and is.portfolio functions

Added: pkg/PortfolioAnalytics/R/portfolio.R
===================================================================
--- pkg/PortfolioAnalytics/R/portfolio.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/R/portfolio.R	2013-06-18 23:52:24 UTC (rev 2363)
@@ -0,0 +1,78 @@
+###############################################################################
+# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
+#
+# Copyright (c) 2004-2012 Kris Boudt, Peter Carl and Brian G. Peterson
+#
+# This library is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: constraints.R 2362 2013-06-18 23:48:13Z rossbennett34 $
+#
+###############################################################################
+
+#' constructor for class portfolio
+#' 
+#' @param assets number of assets, or optionally a named vector of assets specifying seed weights. If seed weights are not specified, an equal weight portfolio will be assumed.
+#' @param weight_seq seed sequence of weights, see \code{\link{generatesequence}}
+#' @author Ross Bennett
+#' @examples 
+#' pspec <- portfolio.spec(assets=10, weight_seq=generatesequence())
+#' @export
+portfolio.spec <- function(assets=NULL, weight_seq=NULL) {
+  # portfolio.spec is based on the v1_constraint object, but removes
+  # 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,
+      weight_seq = weight_seq,
+      constraints = list(),
+      objectives = list(),
+      call = match.call()
+    ),
+    class=c("portfolio.spec","portfolio")
+  ))
+}
+
+#' check function for portfolio
+#' 
+#' @param x object to test for type \code{portfolio}
+#' @author Ross Bennett
+#' @export
+is.portfolio <- function( x ) {
+  inherits( x, "portfolio" )
+}
\ No newline at end of file