[Returnanalytics-commits] r3008 - in pkg/Meucci: . R data demo
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Sep 6 10:03:45 CEST 2013
Author: xavierv
Date: 2013-09-06 10:03:44 +0200 (Fri, 06 Sep 2013)
New Revision: 3008
Added:
pkg/Meucci/data/00Index
Modified:
pkg/Meucci/DESCRIPTION
pkg/Meucci/R/CentralAndStandardizedStatistics.R
pkg/Meucci/R/EntropyProg.R
pkg/Meucci/R/FitMultivariateGarch.R
pkg/Meucci/R/RankingInformation.R
pkg/Meucci/demo/00Index
Log:
- minor error fixing
Modified: pkg/Meucci/DESCRIPTION
===================================================================
--- pkg/Meucci/DESCRIPTION 2013-09-06 07:15:20 UTC (rev 3007)
+++ pkg/Meucci/DESCRIPTION 2013-09-06 08:03:44 UTC (rev 3008)
@@ -50,7 +50,8 @@
scatterplot3d,
signal,
fExtremes,
- QZ
+ QZ,
+ PerformanceAnalytics
License: GPL
URL: http://r-forge.r-project.org/projects/returnanalytics/
Copyright: (c) 2012
Modified: pkg/Meucci/R/CentralAndStandardizedStatistics.R
===================================================================
--- pkg/Meucci/R/CentralAndStandardizedStatistics.R 2013-09-06 07:15:20 UTC (rev 3007)
+++ pkg/Meucci/R/CentralAndStandardizedStatistics.R 2013-09-06 08:03:44 UTC (rev 3008)
@@ -16,6 +16,7 @@
CentralAndStandardizedStatistics = function( X, N )
{
+ if(!require("PerformanceAnalytics")) stop("PerformanceAnalytics package required for this script");
# compute central moments
mu = matrix( 0, 1, N);
mu[ 1 ] = mean(X);
Modified: pkg/Meucci/R/EntropyProg.R
===================================================================
--- pkg/Meucci/R/EntropyProg.R 2013-09-06 07:15:20 UTC (rev 3007)
+++ pkg/Meucci/R/EntropyProg.R 2013-09-06 08:03:44 UTC (rev 3008)
@@ -200,7 +200,7 @@
{
if ( length( match.call() ) < 3 )
{
- J = size( X , 1 )
+ J = dim( X )[ 1 ]
nBins = round( 10 * log(J) )
}
Modified: pkg/Meucci/R/FitMultivariateGarch.R
===================================================================
--- pkg/Meucci/R/FitMultivariateGarch.R 2013-09-06 07:15:20 UTC (rev 3007)
+++ pkg/Meucci/R/FitMultivariateGarch.R 2013-09-06 08:03:44 UTC (rev 3008)
@@ -691,6 +691,7 @@
minfro = function( A )
{
+ if(!require("Matrix")) stop("Matrix package required for this script");
if( any( diag( A ) < 0) )
{
stop("Diagonal Elements Must Be Non-Negative!");
@@ -726,7 +727,7 @@
b = a - rho * m;
# Newton's step
x = newton( M, i, b, m, aii, n, rho );
- P = sparse( diag( 1, n ) );
+ P = as( diag( 1, n ), "sparseMatrix" );
P[ i, 1:n ] = t(x);
# update
Mtest = P %*% M %*% t(P);
@@ -740,7 +741,7 @@
}
}
- normj[ j+1 ] = oldnorm; ##ok<AGROW>
+ normj[ j+1 ] = oldnorm;
incj[ j ] = oldnormj - oldnorm;
oldnormj = oldnorm;
Modified: pkg/Meucci/R/RankingInformation.R
===================================================================
--- pkg/Meucci/R/RankingInformation.R 2013-09-06 07:15:20 UTC (rev 3007)
+++ pkg/Meucci/R/RankingInformation.R 2013-09-06 08:03:44 UTC (rev 3008)
@@ -13,7 +13,7 @@
data = as.data.frame( weightsMatrix )
data$aspect = 1:nrow(data)
data2 = reshape2:::melt( data , id.vars = "aspect" )
- p <- ggplot(data2, aes(x=factor(aspect), y = value, fill=factor(variable))) + geom_bar() #+ opts( title = expression( "Efficient Frontier Weights" ))
+ p <- ggplot(data2, aes( x = factor(aspect), y = value, fill = factor( variable ) ) ) + geom_bar() #+ opts( title = expression( "Efficient Frontier Weights" ))
return( p )
}
@@ -25,6 +25,7 @@
#' @param Upper a vector of indexes indicating which column is lower than the corresponding column number in Upper
#' @export EntropyProg
# @example ViewRanking( X , p , Lower = c(3,4) , Upper = c(4,5) ) # two inequality views: asset 3 < asset 4 returns, and asset 4 < asset 5 returns
+
ViewRanking = function( X , p , Lower , Upper )
{
library( matlab )
Added: pkg/Meucci/data/00Index
===================================================================
--- pkg/Meucci/data/00Index (rev 0)
+++ pkg/Meucci/data/00Index 2013-09-06 08:03:44 UTC (rev 3008)
@@ -0,0 +1,10 @@
+butterflyAnalytics X p FactorNames
+FactorDistributions Butterflies
+ghq1000 ghqx
+MeucciFreaqEst DY Data Dates X p Names
+MeucciTweakTest A_ Aeq_ b_ beq_ db_ g_ lb_ ub_
+pseudodata data
+ReturnsDistribution P X
+SectorsSnP500 DP P
+MeanDiversificationFrontier S Mu w_b
+DB_SwapParRates Rates Dates
\ No newline at end of file
Modified: pkg/Meucci/demo/00Index
===================================================================
--- pkg/Meucci/demo/00Index 2013-09-06 07:15:20 UTC (rev 3007)
+++ pkg/Meucci/demo/00Index 2013-09-06 08:03:44 UTC (rev 3008)
@@ -1,7 +1,7 @@
AnalyticalvsNumerical This example script compares the numerical and the analytical solution of entropy-pooling
ButterflyTrading This example script performs the butterfly-trading case study for the Entropy-Pooling approach by Attilio Meucci
DetectOutliersviaMVE This example script detects outliers in two-asset and multi-asset case
-FullyFlexibleBayesNets This case study uses Entropy Pooling to compute Fully Flexible Bayesian networks for risk management
+FullyFlexibleBayesNets This case study uses Entropy Pooling to compute Fully Flexible Bayesian networks for risk management
HermiteGrid_CaseStudy This script estimates the prior of a hedge fund return and processes extreme views on CVaR according to Entropy Pooling
HermiteGrid_CVaR_Recursion This script illustrates the discrete Newton recursion to process views on CVaR according to Entropy Pooling
HermiteGrid_demo This script compares the performance of plain Monte Carlo versus grid in applying Entropy Pooling to process extreme views
@@ -17,4 +17,4 @@
S_CheckDiagonalization This script verifies the correctness of the eigenvalue-eigenvector representation in terms of real matrices for the transition matrix of an OU process
S_CovarianceEvolution This script represents the evolution of the covariance of an OU process in terms of the dispersion ellipsoid
S_DeterministicEvolution This script animates the evolution of the determinstic component of an OU process
-MeanDiversificationFrontier This script computes the mean-diversification efficient frontier
\ No newline at end of file
+MeanDiversificationFrontier This script computes the mean-diversification efficient frontier
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