[Returnanalytics-commits] r3033 - in pkg/PortfolioAttribution: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Sep 9 21:27:16 CEST 2013
Author: braverock
Date: 2013-09-09 21:27:15 +0200 (Mon, 09 Sep 2013)
New Revision: 3033
Removed:
pkg/PortfolioAttribution/R/AcctReturns.R
pkg/PortfolioAttribution/man/AcctReturns.Rd
Log:
- move AcctReturns to blotter package
Deleted: pkg/PortfolioAttribution/R/AcctReturns.R
===================================================================
--- pkg/PortfolioAttribution/R/AcctReturns.R 2013-09-09 19:24:19 UTC (rev 3032)
+++ pkg/PortfolioAttribution/R/AcctReturns.R 2013-09-09 19:27:15 UTC (rev 3033)
@@ -1,129 +0,0 @@
-#' Calculate account returns
-#'
-#' Similar to the \code{PortfReturns} function, but gives returns for the
-#' entire account and takes into account external cashflows. External cashflows
-#' are defined as contributions to or withdrawals from the account. Allows
-#' selecting between time-weighted returns and linked modified Dietz approach.
-#' If time-weighted method is selected, returns at time \eqn{t} are computed
-#' using: \deqn{r_{t}=\frac{V_{t}}{V_{t-1}+C_{t}}-1}
-#' where \eqn{V_{t}} - account value at time \eqn{t}, \eqn{C_{t}} - cashflow at
-#' time \eqn{t}. The implicit assumption made here is that the cash flow is
-#' available for the portfolio manager to invest from the beginning of the day.
-#' These returns then can be chain linked with geometric compounding (for
-#' instance using \code{Return.cumulative} function from the
-#' \code{PerformanceAnalytics} package) to yield cumulative multi-period
-#' returns:
-#' \deqn{1+r=\prod_{t=1}^{T}(1+r_{t})=\prod_{t=1}^{T}\frac{V_{t}}{V_{t-1}+C_{t}}}
-#' In the case if there were no cashflows, the result reduces to simple
-#' one-period returns. Time-weighted returns has also an interpretation in
-#' terms of unit value pricing.
-#' If Modified Dietz method is selected, monthly returns are computed taking
-#' into account cashflows within each month:
-#' \deqn{r = \frac{V_{t}-V_{t-1}-C}{V_{t-1}+\sum_{t}C_{t}\times W_{t}}}
-#' where \eqn{C} - total external cash flows within a month,
-#' \eqn{C_{t}} - external cashflow at time \eqn{t},
-#' \deqn{W_{t}=\frac{TD-D_{t}}{TD}} - weighting ratio to be applied to external
-#' cashflow on day \eqn{t},
-#' \eqn{TD} - total number of days within the month,
-#' \eqn{D_{t}} - number of days since the beginning of the month including
-#' weekends and public holidays.
-#' Finally monthly Modified Dietz returns can also be linked geometrically.
-#'
-#' @aliases AcctReturns
-#' @param Account string name of the account to generate returns for
-#' @param \dots any other passthru parameters (like \code{native} for
-#' \code{.getBySymbol}
-#' @param Dates xts style ISO 8601 date subset to retrieve, default NULL
-#' (all dates)
-#' @param Portfolios concatenated string vector for portfolio names to retrieve
-#' returns on, default NULL (all portfolios)
-#' @param method Used to select between time-weighted and linked modified Dietz
-#' returns. May be any of: \itemize{\item timeweighted \item dietz} By default
-#' time-weighted is selected
-#' @return returns xts with account returns
-#' @author Brian Peterson, Andrii Babii
-#' @seealso PortfReturns
-#' @references Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
-#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill.
-#' 2009. Chapter 5 \cr Bacon, C. \emph{Practical Portfolio Performance
-#' Measurement and Attribution}. Wiley. 2004. Chapter 2 \cr
-#' @keywords portfolio returns
-#' @note
-#' TODO handle portfolio and account in different currencies (not hard, just not done)
-#'
-#' TODO explicitly handle portfolio weights
-#'
-#' TODO support additions and withdrawals to available capital
-#' @export
-AcctReturns <-
-function(Account, Dates = NULL, Portfolios = NULL, method = c("timeweighted", "dietz"), ...)
-{ # @author Brian Peterson, Andrii Babii
- aname <- Account
- if(!grepl("account\\.", aname)){
- Account <- try(get(paste("account", aname, sep = '.'), envir = .blotter))
- } else{
- Account <- try(get(aname, envir = .blotter))
- }
- if(inherits(Account, "try-error")){
- stop(paste("Account ", aname, " not found, use initAcct() to create a new
- account"))
- }
- if(!inherits(Account, "account")){
- stop("Account ", aname, " passed is not the name of an account object.")
- }
- if(is.null(Portfolios)){
- Portfolios = names(Account$portfolios)
- }
-
- # Get xts with net trading P&L for all portfolios associated with account
- table = NULL
- for(pname in Portfolios){
- Portfolio <- getPortfolio(pname)
- if(is.null(Dates)){
- Dates <- paste("::", last(index(Portfolio$summary)), sep = '')
- }
- ptable = .getBySymbol(Portfolio = Portfolio, Attribute = "Net.Trading.PL",
- Dates = Dates)
- if(is.null(table)){
- table=ptable
- }
- else{
- table=cbind(table,ptable)
- }
- }
- if(!is.null(attr(Account, 'initEq'))){
- initEq <- as.numeric(attr(Account, 'initEq'))
- if(initEq == 0){
- stop("Initial equity of zero would produce div by zero NaN, Inf, -Inf
- returns, please fix in initAcct().")
- }
-
- #TODO check portfolio and account currencies and convert if necessary
-
- CF = Account$summary$Additions - Account$summary$Withdrawals # Cashflows
- V = initEq + reclass(rowSums(table), table) # Account values
- method = method[1]
-
- if (method == "timeweighted"){
- # Time-weighted returns
- returns = V / (lag(V) + CF) - 1
- }
-
- if (method == "dietz"){
- # Linked modified Dietz
- C = apply.monthly(CF, sum) # total monthly cashflow
- V = apply.monthly(V, first) # monthly account values
- cfweighted <- function(CF){
- TD = ndays(CF) # total number of days within the period
- # number of days since the beginning of the period
- D = round(as.vector((index(CF) - index(CF)[1])/3600/24))
- W = (TD - D) / TD # weights
- cashfl = sum(CF * W) # weighted sum of cashflows within the period
- return(cashfl)
- }
- cashfl = apply.monthly(CF, cfweighted)
- returns = (V - lag(V) - C) / (lag(V) + cashfl) # Modified Dietz
- }
- }
- return(returns)
-}
Deleted: pkg/PortfolioAttribution/man/AcctReturns.Rd
===================================================================
--- pkg/PortfolioAttribution/man/AcctReturns.Rd 2013-09-09 19:24:19 UTC (rev 3032)
+++ pkg/PortfolioAttribution/man/AcctReturns.Rd 2013-09-09 19:27:15 UTC (rev 3033)
@@ -1,88 +0,0 @@
-\name{AcctReturns}
-\alias{AcctReturns}
-\title{Calculate account returns}
-\usage{
- AcctReturns(Account, Dates = NULL, Portfolios = NULL,
- method = c("timeweighted", "dietz"), ...)
-}
-\arguments{
- \item{Account}{string name of the account to generate
- returns for}
-
- \item{\dots}{any other passthru parameters (like
- \code{native} for \code{.getBySymbol}}
-
- \item{Dates}{xts style ISO 8601 date subset to retrieve,
- default NULL (all dates)}
-
- \item{Portfolios}{concatenated string vector for
- portfolio names to retrieve returns on, default NULL (all
- portfolios)}
-
- \item{method}{Used to select between time-weighted and
- linked modified Dietz returns. May be any of:
- \itemize{\item timeweighted \item dietz} By default
- time-weighted is selected}
-}
-\value{
- returns xts with account returns
-}
-\description{
- Similar to the \code{PortfReturns} function, but gives
- returns for the entire account and takes into account
- external cashflows. External cashflows are defined as
- contributions to or withdrawals from the account. Allows
- selecting between time-weighted returns and linked
- modified Dietz approach. If time-weighted method is
- selected, returns at time \eqn{t} are computed using:
- \deqn{r_{t}=\frac{V_{t}}{V_{t-1}+C_{t}}-1} where
- \eqn{V_{t}} - account value at time \eqn{t}, \eqn{C_{t}}
- - cashflow at time \eqn{t}. The implicit assumption made
- here is that the cash flow is available for the portfolio
- manager to invest from the beginning of the day. These
- returns then can be chain linked with geometric
- compounding (for instance using \code{Return.cumulative}
- function from the \code{PerformanceAnalytics} package) to
- yield cumulative multi-period returns:
- \deqn{1+r=\prod_{t=1}^{T}(1+r_{t})=\prod_{t=1}^{T}\frac{V_{t}}{V_{t-1}+C_{t}}}
- In the case if there were no cashflows, the result
- reduces to simple one-period returns. Time-weighted
- returns has also an interpretation in terms of unit value
- pricing. If Modified Dietz method is selected, monthly
- returns are computed taking into account cashflows within
- each month: \deqn{r =
- \frac{V_{t}-V_{t-1}-C}{V_{t-1}+\sum_{t}C_{t}\times
- W_{t}}} where \eqn{C} - total external cash flows within
- a month, \eqn{C_{t}} - external cashflow at time \eqn{t},
- \deqn{W_{t}=\frac{TD-D_{t}}{TD}} - weighting ratio to be
- applied to external cashflow on day \eqn{t}, \eqn{TD} -
- total number of days within the month, \eqn{D_{t}} -
- number of days since the beginning of the month including
- weekends and public holidays. Finally monthly Modified
- Dietz returns can also be linked geometrically.
-}
-\note{
- TODO handle portfolio and account in different currencies
- (not hard, just not done)
-
- TODO explicitly handle portfolio weights
-
- TODO support additions and withdrawals to available
- capital
-}
-\author{
- Brian Peterson, Andrii Babii
-}
-\references{
- Christopherson, Jon A., Carino, David R., Ferson, Wayne
- E. \emph{Portfolio Performance Measurement and
- Benchmarking}. McGraw-Hill. 2009. Chapter 5 \cr Bacon, C.
- \emph{Practical Portfolio Performance Measurement and
- Attribution}. Wiley. 2004. Chapter 2 \cr
-}
-\seealso{
- PortfReturns
-}
-\keyword{portfolio}
-\keyword{returns}
-
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