[Returnanalytics-commits] r3050 - pkg/PerformanceAnalytics/sandbox/pulkit/R

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

Author: pulkit
Date: 2013-09-11 01:24:02 +0200 (Wed, 11 Sep 2013)
New Revision: 3050

Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R
Log:
Correction in penance formula

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R	2013-09-10 22:14:53 UTC (rev 3049)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R	2013-09-10 23:24:02 UTC (rev 3050)
@@ -37,7 +37,7 @@
     column_MinQ<-c(mean(col_val),sigma_infinity,phi,sigma)
     column_MinQ <- c(column_MinQ,get_minq(x[,column],confidence))
     column_TuW = get_TuW(x[,column],confidence)
-    v = c(column_MinQ,column_TuW,column_MinQ[5]/column_TuW)
+    v = c(column_MinQ,column_TuW,(column_TuW/column_MinQ[5])-1)
     if(column == 1){
       result = data.frame(Value = v, row.names = rownames)
     }