[Returnanalytics-commits] r3003 - in pkg/Meucci: R demo
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Sep 5 21:33:22 CEST 2013
Author: xavierv
Date: 2013-09-05 21:33:22 +0200 (Thu, 05 Sep 2013)
New Revision: 3003
Modified:
pkg/Meucci/R/PerformIidAnalysis.R
pkg/Meucci/demo/FullFlexProbs.R
pkg/Meucci/demo/S_DerivativesInvariants.R
pkg/Meucci/demo/S_EstimateExpectedValueEvaluation.R
pkg/Meucci/demo/S_EstimateMomentsComboEvaluation.R
pkg/Meucci/demo/S_EstimateQuantileEvaluation.R
pkg/Meucci/demo/S_Estimator.R
pkg/Meucci/demo/S_HedgeOptions.R
pkg/Meucci/demo/S_HorizonEffect.R
pkg/Meucci/demo/S_LinVsLogReturn.R
pkg/Meucci/demo/S_MeanVarianceBenchmark.R
Log:
-fixed some errors with non ASCII characters and other porting errors
Modified: pkg/Meucci/R/PerformIidAnalysis.R
===================================================================
--- pkg/Meucci/R/PerformIidAnalysis.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/R/PerformIidAnalysis.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -17,7 +17,7 @@
#' @author Xavier Valls \email{flamejat@@gmail.com}
#' @export
-PerformIidAnalysis = function( Dates = dim( Data, 1), Data, Str = "")
+PerformIidAnalysis = function( Dates = dim( Data)[1], Data, Str = "")
{
##########################################################################################################
Modified: pkg/Meucci/demo/FullFlexProbs.R
===================================================================
--- pkg/Meucci/demo/FullFlexProbs.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/demo/FullFlexProbs.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -68,21 +68,20 @@
# DefineProbs = "5" : partial information prox. kernel damping
# DefineProbs = "6" : partial information: match covariance
-DefineProbs = "6";
+DefineProbs = 1;
T = dim(X)[1];
p = matrix( 0, T, 1 );
-if( DefineProbs = 1)
+if( DefineProbs == 1)
{
# rolling window
tau = 2 * 252;
p[ 1:tau ] = 1;
p = p / sum( p );
-}
-} else if( DefineProbs = 2 )
+} else if( DefineProbs == 2 )
{
# exponential smoothing
@@ -90,14 +89,14 @@
p = exp( -lmd * ( T - ( 1 : T ) ) );
p = p / sum( p );
-} else if( DefineProbs = 3 )
+} else if( DefineProbs == 3 )
{
# market conditions
Cond = Y >= 2.8;
p[ Cond ] = 1;
p = p / sum( p );
-} else if( DefineProbs = 4 )
+} else if( DefineProbs == 4 )
{
# kernel damping
y = 3;
@@ -105,7 +104,7 @@
p = dmvnorm( Y, y, h2 );
p = p / sum( p );
-} else if( DefineProbs = 5 )
+} else if( DefineProbs == 5 )
{
# partial information prox. kernel damping
y = 3;
@@ -113,7 +112,7 @@
h2 = cov( 1 * diff( Y ) );
p = LeastInfoKernel( Y, y, h2 );
-} else if( DefineProbs = 6 ){
+} else if( DefineProbs == 6 ){
#partial information: match covariance
l_c = 0.0055;
Modified: pkg/Meucci/demo/S_DerivativesInvariants.R
===================================================================
--- pkg/Meucci/demo/S_DerivativesInvariants.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/demo/S_DerivativesInvariants.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -29,11 +29,11 @@
PerformIidAnalysis( 1:length(X), X, 'Changes in implied vol');
Y = diff(log(derivatives$impVol[ eachFiveRowsSeq , maturityIndex, moneynessIndex ]));
-PerformIidAnalysis( 1:size(Y,1), Y, 'Changes in log of implied vol' );
+PerformIidAnalysis( 1:length( Y ), Y, 'Changes in log of implied vol' );
##################################################################################################################
### Multivariate test with AR(1) structure
-[T, Mat, Mon]
+
Dim = dim(derivatives$impVol[ eachFiveRowsSeq , , ]);
Z = matrix(log(derivatives$impVol[ eachFiveRowsSeq , , ] ), Dim[ 1 ], Dim[ 2 ] * Dim[ 3 ]);
# VAR(1) model by least square
@@ -41,9 +41,7 @@
F = cbind(matrix( 1, Dim[ 1 ]-1, 1), Z[ -length( Z[1, ] ) , ]);
E_XF = t( X ) %*% F / Dim[ 1 ];
E_FF = t( F ) %*% F / Dim[ 1 ];
-B = E_XF %*% (E_FF \ diag( 1, ncol(size(E_FF) ) ) );
+B = E_XF %*% solve(E_FF);
Eps = X - F %*% t( B ); # residuals
-PerformIidAnalysis(1:size(Eps,1), Eps(:,3), 'VAR(1) residuals');
-
-### EOF
\ No newline at end of file
+PerformIidAnalysis(1:dim(Eps)[1], Eps[ , 3 ], "VAR(1) residuals");
Modified: pkg/Meucci/demo/S_EstimateExpectedValueEvaluation.R
===================================================================
--- pkg/Meucci/demo/S_EstimateExpectedValueEvaluation.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/demo/S_EstimateExpectedValueEvaluation.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -1,5 +1,5 @@
-#'This script script familiarizes the user with the evaluation of an estimator replicability, loss, error, bias and inefficiency
-#', as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005, Chapter 4.
+#' This script script familiarizes the user with the evaluation of an estimator replicability, loss, error, bias
+#' and inefficiency, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005, Chapter 4.
#'
#' @references
#' \url{http://symmys.com/node/170}
@@ -132,12 +132,12 @@
b = barplot(Bias_G1sq + Ineff_G1sq, col = "red", main = "stress-test of estimator: x(1)*x(3)");
barplot( Ineff_G1sq, col="blue", add = TRUE);
lines( b, Err_G1sq);
-legend( "topleft", 1.9, c( "bias²", "ineff²", "error²" ), col = c( "red","blue", "black" ),
+legend( "topleft", 1.9, c( "bias^2", "ineff^2", "error^2" ), col = c( "red","blue", "black" ),
lty=1, lwd=c(5,5,1),bg = "gray90" );
b=barplot( Bias_G2sq + Ineff_G2sq , col = "red", main = "stress-test of estimator sample mean");
barplot( Ineff_G2sq, col="blue", add = TRUE);
lines(b, Err_G2sq);
-legend( "topleft", 1.9, c( "bias²", "ineff²", "error²" ), col = c( "red","blue", "black" ),
+legend( "topleft", 1.9, c( "bias^2", "ineff^2", "error^2" ), col = c( "red","blue", "black" ),
lty=1, lwd=c(5,5,1),bg = "gray90" );
Modified: pkg/Meucci/demo/S_EstimateMomentsComboEvaluation.R
===================================================================
--- pkg/Meucci/demo/S_EstimateMomentsComboEvaluation.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/demo/S_EstimateMomentsComboEvaluation.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -187,23 +187,23 @@
b = barplot( Bias_Gasq + Ineff_Gasq, col = "red", main = "stress-test of estimator a" );
barplot( Ineff_Gasq, col = "blue", add = TRUE);
lines( b, Err_Gasq);
-legend( "topleft", 1.9, c( "bias²", "ineff²", "error²" ), col = c( "red","blue", "black" ),
+legend( "topleft", 1.9, c( "bias^2", "ineff^2", "error^2" ), col = c( "red","blue", "black" ),
lty=1, lwd=c(5,5,1),bg = "gray90" );
b = barplot( Bias_Gbsq + Ineff_Gbsq, col = "red", main = "stress-test of estimator b" );
barplot( Ineff_Gbsq, col = "blue", add = TRUE);
lines( b, Err_Gbsq);
-legend( "topleft", 1.9, c( "bias²", "ineff²", "error²" ), col = c( "red","blue", "black" ),
+legend( "topleft", 1.9, c( "bias^2", "ineff^2", "error^2" ), col = c( "red","blue", "black" ),
lty=1, lwd=c(5,5,1),bg = "gray90" );
b = barplot( Bias_Gcsq + Ineff_Gcsq, col = "red", main = "stress-test of estimator c" );
barplot( Ineff_Gcsq, col = "blue", add = TRUE);
lines( b, Err_Gcsq);
-legend( "topleft", 1.9, c( "bias²", "ineff²", "error²" ), col = c( "red","blue", "black" ),
+legend( "topleft", 1.9, c( "bias^2", "ineff^2", "error^2" ), col = c( "red","blue", "black" ),
lty=1, lwd=c(5,5,1),bg = "gray90" );
b = barplot( Bias_Gdsq + Ineff_Gdsq, col = "red", main = "stress-test of estimator d" );
barplot( Ineff_Gdsq, col = "blue", add = TRUE);
lines( b, Err_Gdsq);
-legend( "topleft", 1.9, c( "bias²", "ineff²", "error²" ), col = c( "red","blue", "black" ),
+legend( "topleft", 1.9, c( "bias^2", "ineff^2", "error^2" ), col = c( "red","blue", "black" ),
lty=1, lwd=c(5,5,1),bg = "gray90" );
\ No newline at end of file
Modified: pkg/Meucci/demo/S_EstimateQuantileEvaluation.R
===================================================================
--- pkg/Meucci/demo/S_EstimateQuantileEvaluation.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/demo/S_EstimateQuantileEvaluation.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -139,12 +139,12 @@
b = barplot(Bias_Gesq +Ineff_Gesq , col = "red", main = "stress-test of estimator e");
barplot( Ineff_Gesq, col="blue", add = TRUE);
lines( b, Err_Gesq);
-legend( "topleft", 1.9, c( "bias²", "ineff²", "error²" ), col = c( "red","blue", "black" ),
+legend( "topleft", 1.9, c( "bias^2", "ineff^2", "error^2" ), col = c( "red","blue", "black" ),
lty=1, lwd=c(5,5,1),bg = "gray90" );
b = barplot(Bias_Gbsq+Ineff_Gbsq, col = "red", main = "stress-test of estimator b");
barplot( Ineff_Gbsq, col="blue", add = TRUE);
lines( b, Err_Gbsq);
-legend( "topleft", 1.9, c( "bias²", "ineff²", "error²" ), col = c( "red","blue", "black" ),
+legend( "topleft", 1.9, c( "bias^2", "ineff^2", "error^2" ), col = c( "red","blue", "black" ),
lty=1, lwd=c(5,5,1),bg = "gray90" );
\ No newline at end of file
Modified: pkg/Meucci/demo/S_Estimator.R
===================================================================
--- pkg/Meucci/demo/S_Estimator.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/demo/S_Estimator.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -132,12 +132,12 @@
b = barplot(Bias_G1sq + Ineff_G1sq, col = "red", main = "stress-test of estimator: x(1)*x(3)");
barplot( Ineff_G1sq, col="blue", add = TRUE);
lines( b, Err_G1sq);
-legend( "topleft", 1.9, c( "bias²", "ineff²", "error²" ), col = c( "red","blue", "black" ),
+legend( "topleft", 1.9, c( "bias^2", "ineff^2", "error^2" ), col = c( "red","blue", "black" ),
lty=1, lwd=c(5,5,1),bg = "gray90" );
b=barplot( Bias_G2sq + Ineff_G2sq , col = "red", main = "stress-test of estimator sample mean");
barplot( Ineff_G2sq, col="blue", add = TRUE);
lines(b, Err_G2sq);
-legend( "topleft", 1.9, c( "bias²", "ineff²", "error²" ), col = c( "red","blue", "black" ),
+legend( "topleft", 1.9, c( "bias^2", "ineff^2", "error^2" ), col = c( "red","blue", "black" ),
lty=1, lwd=c(5,5,1),bg = "gray90" );
Modified: pkg/Meucci/demo/S_HedgeOptions.R
===================================================================
--- pkg/Meucci/demo/S_HedgeOptions.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/demo/S_HedgeOptions.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -8,11 +8,6 @@
#' @author Xavier Valls \email{flamejat@@gmail.com}
##################################################################################################################
-###
-### == Chapter 3 ==
-##################################################################################################################
-
-##################################################################################################################
### Load data
load( "../data/implVol.Rda" );
@@ -105,7 +100,7 @@
a_bs = BSCP$cash / BSCP$c * r_free * tau / 252;
b_bs = t( BSCP$delta / BSCP$c * spot_T);
-printf( "OLS: a = [ %s\t]\n", sprintf("\t%7.4f", t(a) ) ));
+printf( "OLS: a = [ %s\t]\n", sprintf("\t%7.4f", t(a) ) );
printf( "B-S: a = [ %s\t]\n", sprintf("\t%7.4f", t(a_bs) ) );
printf( "OLS: b = [ %s\t]\n", sprintf("\t%7.4f", t(b) ) );
printf( "B-S: b = [ %s\t]\n", sprintf("\t%7.4f", t(b_bs) ) );
@@ -113,6 +108,6 @@
for( i in 1 : numCalls )
{
dev.new();
- plot( Rsp, Rc[ , i ], xlab = "return underlying" , ylab = "return call option");
+ plot( Rsp, Rc[ , i ], xlab = "return underlying" , ylab = "return call option" );
}
Modified: pkg/Meucci/demo/S_HorizonEffect.R
===================================================================
--- pkg/Meucci/demo/S_HorizonEffect.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/demo/S_HorizonEffect.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -17,7 +17,7 @@
##################################################################################################################
# Load parameters of the model: D, muX, sigmaF, sigmaEps
-load( "../data/DB_LinearModel.mat" );
+load( "../data/linearModel.Rda" );
# Specify range of investment horizon, weeks
tauRangeWeeks = 1:52;
@@ -95,4 +95,3 @@
lines(tauRangeWeeks, minCorrU, col = "green");
legend( "topleft", 1.9, c( "max absolute corr", "mean absolute corr", "min absolute corr" ), col = c( "red","blue", "green" ),
lty=1, bg = "gray90" );
-}
\ No newline at end of file
Modified: pkg/Meucci/demo/S_LinVsLogReturn.R
===================================================================
--- pkg/Meucci/demo/S_LinVsLogReturn.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/demo/S_LinVsLogReturn.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -54,7 +54,6 @@
Col = rgb( 0.8, 0.8, 0.8 );
-subplot('Position', ( 0.05, 0.55, 0.9, 0.4 ) );
par(mfrow=c(2,1));
Modified: pkg/Meucci/demo/S_MeanVarianceBenchmark.R
===================================================================
--- pkg/Meucci/demo/S_MeanVarianceBenchmark.R 2013-09-05 18:08:13 UTC (rev 3002)
+++ pkg/Meucci/demo/S_MeanVarianceBenchmark.R 2013-09-05 19:33:22 UTC (rev 3003)
@@ -138,7 +138,7 @@
# frontiers in relative return space
dev.new();
plot( Rel_Std_Deviation, Rel_ExpectedValue, type = "l", lwd = 2, col = "blue", xlab = "TE rets.", ylab = "EOP rets.",
- xlim =c( Rel_Std_Deviation_b[1], Rel_Std_Deviation_b[length(Rel_Std_Deviation_b)] ), ylim = c( min( Rel_ExpectedValue_b ), max( Rel_ExpectedValue_b )) ););
+ xlim =c( Rel_Std_Deviation_b[1], Rel_Std_Deviation_b[length(Rel_Std_Deviation_b)] ), ylim = c( min( Rel_ExpectedValue_b ), max( Rel_ExpectedValue_b )) );
lines( Rel_Std_Deviation_b, Rel_ExpectedValue_b, lwd = 2, col = "red" );
legend( "topleft", 1.9, c( "total ret", "relative" ), col = c( "blue","red" ),
lty=1, bg = "gray90" );
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