[Returnanalytics-commits] r2997 - in pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm: . man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Sep 5 11:21:51 CEST 2013
Author: braverock
Date: 2013-09-05 11:21:51 +0200 (Thu, 05 Sep 2013)
New Revision: 2997
Added:
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/QP.Norm.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd
Removed:
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/inst/
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/QP.Norm.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd
Modified:
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/DESCRIPTION
Log:
- two missing .Rd files restored
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/DESCRIPTION
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/DESCRIPTION 2013-09-05 03:29:45 UTC (rev 2996)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/DESCRIPTION 2013-09-05 09:21:51 UTC (rev 2997)
@@ -1,38 +1,38 @@
-Package: noniid.sm
-Type: Package
-Title: Non-i.i.d. GSoC 2013 Shubhankit
-Version: 0.1
-Date: $Date: 2013-05-13 14:30:22 -0500 (Mon, 13 May 2013) $
-Author: Shubhankit Mohan <shubhankit1 at gmail.com>
-Contributors: Peter Carl, Brian G. Peterson
-Depends:
- xts,
- PerformanceAnalytics,
- tseries,
- stats
-Maintainer: Brian G. Peterson <brian at braverock.com>
-Description: GSoC 2013 project to replicate literature on drawdowns and
- non-i.i.d assumptions in finance.
-License: GPL-3
-ByteCompile: TRUE
-Collate:
- 'AcarSim.R'
- 'ACStdDev.annualized.R'
- 'CalmarRatio.Norm.R'
- 'CDrawdown.R'
- 'chart.AcarSim.R'
- 'chart.Autocorrelation.R'
- 'EmaxDDGBM.R'
- 'GLMSmoothIndex.R'
- 'LoSharpe.R'
- 'na.skip.R'
- 'noniid.sm-internal.R'
- 'QP.Norm.R'
- 'Return.GLM.R'
- 'Return.Okunev.R'
- 'se.LoSharpe.R'
- 'SterlingRatio.Norm.R'
- 'table.ComparitiveReturn.GLM.R'
- 'table.EMaxDDGBM.R'
- 'table.UnsmoothReturn.R'
- 'UnsmoothReturn.R'
+Package: noniid.sm
+Type: Package
+Title: Non-i.i.d. GSoC 2013 Shubhankit
+Version: 0.1
+Date: $Date: 2013-05-13 14:30:22 -0500 (Mon, 13 May 2013) $
+Author: Shubhankit Mohan <shubhankit1 at gmail.com>
+Contributors: Peter Carl, Brian G. Peterson
+Depends:
+ xts,
+ PerformanceAnalytics,
+ tseries,
+ stats
+Maintainer: Brian G. Peterson <brian at braverock.com>
+Description: GSoC 2013 project to replicate literature on drawdowns and
+ non-i.i.d assumptions in finance.
+License: GPL-3
+ByteCompile: TRUE
+Collate:
+ 'AcarSim.R'
+ 'ACStdDev.annualized.R'
+ 'CalmarRatio.Norm.R'
+ 'CDrawdown.R'
+ 'chart.AcarSim.R'
+ 'chart.Autocorrelation.R'
+ 'EmaxDDGBM.R'
+ 'GLMSmoothIndex.R'
+ 'LoSharpe.R'
+ 'na.skip.R'
+ 'noniid.sm-internal.R'
+ 'QP.Norm.R'
+ 'Return.GLM.R'
+ 'Return.Okunev.R'
+ 'se.LoSharpe.R'
+ 'SterlingRatio.Norm.R'
+ 'table.ComparitiveReturn.GLM.R'
+ 'table.EMaxDDGBM.R'
+ 'table.UnsmoothReturn.R'
+ 'UnsmoothReturn.R'
Deleted: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/QP.Norm.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/QP.Norm.Rd 2013-09-05 03:29:45 UTC (rev 2996)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/QP.Norm.Rd 2013-09-05 09:21:51 UTC (rev 2997)
@@ -1,22 +0,0 @@
-\name{QP.Norm}
-\alias{QP.Norm}
-\title{QP function for calculation of Sharpe Ratio}
-\usage{
- QP.Norm(R, tau, scale = NA)
-}
-\arguments{
- \item{R}{an xts, vector, matrix, data frame, timeSeries
- or zoo object of asset returns}
-
- \item{tau}{Time Scale Translations Factor}
-
- \item{scale}{number of periods in a year (daily scale =
- 252, monthly scale =}
-}
-\description{
- QP function for calculation of Sharpe Ratio
-}
-\seealso{
- \code{\link{CalmarRatio.Norm}}, \cr
-}
-
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/QP.Norm.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/QP.Norm.Rd (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/QP.Norm.Rd 2013-09-05 09:21:51 UTC (rev 2997)
@@ -0,0 +1,22 @@
+\name{QP.Norm}
+\alias{QP.Norm}
+\title{QP function for calculation of Sharpe Ratio}
+\usage{
+ QP.Norm(R, tau, scale = NA)
+}
+\arguments{
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
+
+ \item{tau}{Time Scale Translations Factor}
+
+ \item{scale}{number of periods in a year (daily scale =
+ 252, monthly scale =}
+}
+\description{
+ QP function for calculation of Sharpe Ratio
+}
+\seealso{
+ \code{\link{CalmarRatio.Norm}}, \cr
+}
+
Deleted: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd 2013-09-05 03:29:45 UTC (rev 2996)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd 2013-09-05 09:21:51 UTC (rev 2997)
@@ -1,57 +0,0 @@
-\name{table.EMaxDDGBM}
-\alias{table.EMaxDDGBM}
-\title{Expected Drawdown using Brownian Motion Assumptions}
-\usage{
- table.EMaxDDGBM(R, digits = 4)
-}
-\arguments{
- \item{R}{an xts, vector, matrix, data frame, timeSeries
- or zoo object of asset returns}
-
- \item{digits}{significant number}
-}
-\description{
- Works on the model specified by Maddon-Ismail which
- investigates the behavior of this statistic for a
- Brownian motion with drift.
-}
-\details{
- If X(t) is a random process on [0, T ], the maximum
- drawdown at time T , D(T), is defined by where \deqn{D(T)
- = sup [X(s) - X(t)]} where s belongs to [0,t] and s
- belongs to [0,T] Informally, this is the largest drop
- from a peak to a bottom. In this paper, we investigate
- the behavior of this statistic for a Brownian motion with
- drift. In particular, we give an infinite series
- representation of its distribution, and consider its
- expected value. When the drift is zero, we give an
- analytic expression for the expected value, and for
- non-zero drift, we give an infinite series
- representation. For all cases, we compute the limiting
- \bold{(\eqn{T tends to \infty})} behavior, which can be
- logarithmic (\eqn{\mu} > 0), square root (\eqn{\mu} = 0),
- or linear (\eqn{\mu} < 0).
-}
-\examples{
-library(PerformanceAnalytics)
-data(edhec)
-table.EMaxDDGBM(edhec)
-}
-\author{
- Shubhankit Mohan
-}
-\references{
- Magdon-Ismail, M., Atiya, A., Pratap, A., and Yaser S.
- Abu-Mostafa: On the Maximum Drawdown of a Browninan
- Motion, Journal of Applied Probability 41, pp. 147-161,
- 2004
- \url{http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf}
-}
-\keyword{Assumptions}
-\keyword{Brownian}
-\keyword{Drawdown}
-\keyword{Expected}
-\keyword{models}
-\keyword{Motion}
-\keyword{Using}
-
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd 2013-09-05 09:21:51 UTC (rev 2997)
@@ -0,0 +1,57 @@
+\name{table.EMaxDDGBM}
+\alias{table.EMaxDDGBM}
+\title{Expected Drawdown using Brownian Motion Assumptions}
+\usage{
+ table.EMaxDDGBM(R, digits = 4)
+}
+\arguments{
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
+
+ \item{digits}{significant number}
+}
+\description{
+ Works on the model specified by Maddon-Ismail which
+ investigates the behavior of this statistic for a
+ Brownian motion with drift.
+}
+\details{
+ If X(t) is a random process on [0, T ], the maximum
+ drawdown at time T , D(T), is defined by where \deqn{D(T)
+ = sup [X(s) - X(t)]} where s belongs to [0,t] and s
+ belongs to [0,T] Informally, this is the largest drop
+ from a peak to a bottom. In this paper, we investigate
+ the behavior of this statistic for a Brownian motion with
+ drift. In particular, we give an infinite series
+ representation of its distribution, and consider its
+ expected value. When the drift is zero, we give an
+ analytic expression for the expected value, and for
+ non-zero drift, we give an infinite series
+ representation. For all cases, we compute the limiting
+ \bold{(\eqn{T tends to \infty})} behavior, which can be
+ logarithmic (\eqn{\mu} > 0), square root (\eqn{\mu} = 0),
+ or linear (\eqn{\mu} < 0).
+}
+\examples{
+library(PerformanceAnalytics)
+data(edhec)
+table.EMaxDDGBM(edhec)
+}
+\author{
+ Shubhankit Mohan
+}
+\references{
+ Magdon-Ismail, M., Atiya, A., Pratap, A., and Yaser S.
+ Abu-Mostafa: On the Maximum Drawdown of a Browninan
+ Motion, Journal of Applied Probability 41, pp. 147-161,
+ 2004
+ \url{http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf}
+}
+\keyword{Assumptions}
+\keyword{Brownian}
+\keyword{Drawdown}
+\keyword{Expected}
+\keyword{models}
+\keyword{Motion}
+\keyword{Using}
+
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