[Returnanalytics-commits] r2475 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2013-06-30 19:42:45 +0200 (Sun, 30 Jun 2013)
New Revision: 2475

Modified:
   pkg/PortfolioAnalytics/R/constraints.R
Log:
added support for special case of weight_sum constraint type for full_investment, dollar_neutral, and active

Modified: pkg/PortfolioAnalytics/R/constraints.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints.R	2013-06-30 17:28:24 UTC (rev 2474)
+++ pkg/PortfolioAnalytics/R/constraints.R	2013-06-30 17:42:45 UTC (rev 2475)
@@ -216,6 +216,20 @@
                                                                                    enabled=enabled,
                                                                                    ...=...)
          },
+         # Special case of weight_sum constraint for full investment
+         full_investment = {tmp_constraint <- weight_sum_constraint(type=type,
+                                                                    min_sum=1,
+                                                                    max_sum=1,
+                                                                    enabled=enabled,
+                                                                    ...=...)
+         },
+         # Special case of weight_sum constraint for dollar neutral or active
+         dollar_neutral=, active= {tmp_constraint <- weight_sum_constraint(type=type,
+                                                                           min_sum=0,
+                                                                           max_sum=0,
+                                                                           enabled=enabled,
+                                                                           ...=...)
+         },
          # Turnover constraint
          turnover = {tmp_constraint <- turnover_constraint(type=type,
                                                            enabled=enabled,