[Returnanalytics-commits] r2395 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2013-06-22 02:14:16 +0200 (Sat, 22 Jun 2013)
New Revision: 2395

Modified:
   pkg/PortfolioAnalytics/R/objective.R
Log:
adding constructor for class turnover_objective

Modified: pkg/PortfolioAnalytics/R/objective.R
===================================================================
--- pkg/PortfolioAnalytics/R/objective.R	2013-06-22 00:02:53 UTC (rev 2394)
+++ pkg/PortfolioAnalytics/R/objective.R	2013-06-22 00:14:16 UTC (rev 2395)
@@ -306,3 +306,25 @@
   
   return(Objective)
 } # end risk_budget_objective constructor
+
+#' constructor for class turnover_objective
+#'
+#' if target is null, we'll try to minimize the turnover metric
+#' 
+#' if target is set, we'll try to meet the metric
+#'  
+#' @param name name of the objective, should correspond to a function, though we will try to make allowances
+#' @param target univariate target for the objective
+#' @param arguments default arguments to be passed to an objective function when executed
+#' @param multiplier multiplier to apply to the objective, usually 1 or -1
+#' @param enabled TRUE/FALSE
+#' @param \dots any other passthru parameters 
+#' @author Ross Bennett
+#' @export
+turnover_objective <- function(name, target=NULL, arguments=NULL, multiplier=1, enabled=FALSE, ... )
+{
+  if(!hasArg(target)) target = NULL
+  ##' if target is null, we'll try to minimize the turnover metric
+  if(!hasArg(multiplier)) multiplier=1
+  return(objective(name=name, target=target, arguments=arguments, enabled=enabled, multiplier=multiplier,objclass=c("turnover_objective","objective"), ... ))
+} # end turnover_objective constructor