[Returnanalytics-commits] r3116 - in pkg/Meucci: R demo man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Sep 16 11:32:05 CEST 2013
Author: xavierv
Date: 2013-09-16 11:32:05 +0200 (Mon, 16 Sep 2013)
New Revision: 3116
Modified:
pkg/Meucci/R/LognormalMoments2Parameters.R
pkg/Meucci/demo/00Index
pkg/Meucci/demo/S_LognormalSample.R
pkg/Meucci/demo/S_NonAnalytical.R
pkg/Meucci/demo/S_NormalSample.R
pkg/Meucci/demo/S_StudentTSample.R
pkg/Meucci/man/LognormalMoments2Parameters.Rd
Log:
- updated documentation for chapter 1 demo scripts and its functions
Modified: pkg/Meucci/R/LognormalMoments2Parameters.R
===================================================================
--- pkg/Meucci/R/LognormalMoments2Parameters.R 2013-09-16 08:26:10 UTC (rev 3115)
+++ pkg/Meucci/R/LognormalMoments2Parameters.R 2013-09-16 09:32:05 UTC (rev 3116)
@@ -1,24 +1,30 @@
#' @title Computes the mean and standard deviation of a lognormal distribution from its parameters.
#'
-#' @description Computes the mean and standard deviation of a lognormal distribution from its parameters, as described in
+#' @description determines $\mu$ and $\sigma^2$ from $\Expect\{X\}$ and $\Var\{X\}$, and uses it to determine $\mu$
+#' and $\sigma^{2}$ such that $\Expect\left\{ X\right\} \bydef 3$ and $\Var\left\{ X\right\} \bydef 5$, as described in
#' A. Meucci, "Risk and Asset Allocation", Springer, 2005.
#'
-#' @param e [scalar] expected value of the lognormal distribution
-#' @param v [scalar] variance of the lognormal distribution
+#' \deqn{\sigma^{2} = \ln \left( 1 + \frac{V}{E^{2}} \right) , }
+#' \deqn{\mu = \ln(E) - \frac{1}{2} \ln \left( 1 + \frac{V}{E^{2}} \right) .}
+#'
+#'
+#' @param e [scalar] expected value of the lognormal distribution
+#' @param v [scalar] variance of the lognormal distribution
#'
-#' @return mu [scalar] expected value of the normal distribution
-#' @return sig2 [scalar] variance of the normal distribution
+#' @return mu [scalar] expected value of the normal distribution
+#' @return sig2 [scalar] variance of the normal distribution
#'
#' @note Inverts the formulas (1.98)-(1.99) in "Risk and Asset Allocation", Springer, 2005.
#'
#' @references
-#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}., "E 25- Simulation of a lognormal random variable"
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}, "E 25- Simulation of a lognormal random variable".
+#'
#' See Meucci's script for "LognormalMoments2Parameters.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
#' @export
-LognormalMoments2Parameters = function( e, v)
+LognormalMoments2Parameters = function( e, v )
{
sig2 = log( 1 + v / ( e^2 ) );
mu = log( e ) - sig2 / 2;
Modified: pkg/Meucci/demo/00Index
===================================================================
--- pkg/Meucci/demo/00Index 2013-09-16 08:26:10 UTC (rev 3115)
+++ pkg/Meucci/demo/00Index 2013-09-16 09:32:05 UTC (rev 3116)
@@ -98,7 +98,7 @@
S_Wishart generates a sample from the 2x2 Wishart distribution
S_WishartCorrelation computes the correlation of the first diagonal and off-diagonal elements of a 2x2 Wishart distribution as a function of the inputs
S_WishartLocationDispersion computes the location-dispersion ellipsoid of the normalized first diagonal and off-diagonal elements of a 2x2 Wishart distribution as a function of the inputs
-S_ToyExample illustrates the use of Entropy Pooling to compute Fully Flexible probabilities
+S_ToyExample illustrates the use of Entropy Pooling to compute Fully Flexible Probabilities
logToArithmeticCovariance generates arithmetric returns and arithmetric covariance matrix given a distribution of log returns
S_plotGaussHermite displays mesh points based on Gaussian-Hermite quadrature Bayesian networks
Modified: pkg/Meucci/demo/S_LognormalSample.R
===================================================================
--- pkg/Meucci/demo/S_LognormalSample.R 2013-09-16 08:26:10 UTC (rev 3115)
+++ pkg/Meucci/demo/S_LognormalSample.R 2013-09-16 09:32:05 UTC (rev 3116)
@@ -2,15 +2,14 @@
#' A. Meucci, "Risk and Asset Allocation", Springer, 2005, Chapter 1.
#'
#' @references
-#' @references
-#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}., "E 25- Simulation of a lognormal random variable"
-#' See Meucci's script for "S_LognormalSample.m"
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
+#' E 25- Simulation of a lognormal random variable".
#'
+#' See Meucci's script for "S_LognormalSample.m".
+#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
#' @export
-source("../R/LognormalMoments2Parameters.R");
-
##################################################################################################################
### Input parameters
Modified: pkg/Meucci/demo/S_NonAnalytical.R
===================================================================
--- pkg/Meucci/demo/S_NonAnalytical.R 2013-09-16 08:26:10 UTC (rev 3115)
+++ pkg/Meucci/demo/S_NonAnalytical.R 2013-09-16 09:32:05 UTC (rev 3116)
@@ -2,11 +2,12 @@
#' A. Meucci, "Risk and Asset Allocation", Springer, 2005, Chapter 1.
#'
#' @references
-#' \url{http://}
-#' See Meucci's script for "S_NonAnalytical.m"
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
+#' "E 22- Sum of random variables via simulation".
#'
+#' See Meucci's script for "S_NonAnalytical.m".
+#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
-#' @export
##################################################################################################################
### Input parameters
Modified: pkg/Meucci/demo/S_NormalSample.R
===================================================================
--- pkg/Meucci/demo/S_NormalSample.R 2013-09-16 08:26:10 UTC (rev 3115)
+++ pkg/Meucci/demo/S_NormalSample.R 2013-09-16 09:32:05 UTC (rev 3116)
@@ -2,11 +2,12 @@
#' A. Meucci, "Risk and Asset Allocation", Springer, 2005, Chapter 1.
#'
#' @references
-#' \url{http://}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
+#' "E 23- Simulation of univariate random normal variable".
+#'
#' See Meucci's script for "S_NormalSample.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
-#' @export
##################################################################################################################
### Input parameters
@@ -50,7 +51,7 @@
# plot empirical quantile
dev.new();
-u= seq( 0.01, 0.99, 0.01 ); # range of quantiles (values between zero and one)
+u = seq( 0.01, 0.99, 0.01 ); # range of quantiles (values between zero and one)
q = quantile( X, u );
plot( u, q, type = "l", xlab="Grade", ylab="Quantile", lty = 1, col = "red", main = "quantile of normal distribution" );
Modified: pkg/Meucci/demo/S_StudentTSample.R
===================================================================
--- pkg/Meucci/demo/S_StudentTSample.R 2013-09-16 08:26:10 UTC (rev 3115)
+++ pkg/Meucci/demo/S_StudentTSample.R 2013-09-16 09:32:05 UTC (rev 3116)
@@ -2,11 +2,12 @@
#' A. Meucci, "Risk and Asset Allocation", Springer, 2005, Chapter 1.
#'
#' @references
-#' \url{http://}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
+#' "E 24- Simulation of a Student t random variable".
+#'
#' See Meucci's script for "S_StudentTSample.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
-#' @export
##################################################################################################################
### Input parameters
@@ -38,7 +39,7 @@
##################################################################################################################
### Generate Student t sample with above parameters using grade inversion
-U = runif( nSim );
+U = runif( nSim );
X_c = mu + sigma * qt( U, nu );
##################################################################################################################
@@ -46,21 +47,15 @@
NumBins = round(10 * log(nSim));
dev.new();
-par( mfrow = c( 3, 1) );
+par( mfrow = c( 3, 1 ) );
hist( X_a, NumBins, main = "built-in generator" );
hist( X_b, NumBins, main = "stoch. representation" );
hist( X_c, NumBins, main = "grade inversion" );
-
-#axisLimits = [min(axisLimits(:, 1)), max(axisLimits(:, 2)), min(axisLimits(:, 3)), max(axisLimits(:, 4))];
-#subplot(3, 1, 1), axis(axisLimits);
-#subplot(3, 1, 2), axis(axisLimits);
-#subplot(3, 1, 3), axis(axisLimits);
-
##################################################################################################################
### Compare empirical quantiles of the three simuations
-u= seq( 0.01, 0.99, 0.01 ); # range of quantiles (values between zero and one) = 0.01 : 0.01 : 0.99; # range of quantiles (values between zero and one)
+u = seq( 0.01, 0.99, 0.01 ); # range of quantiles (values between zero and one) = 0.01 : 0.01 : 0.99; # range of quantiles (values between zero and one)
q_a = quantile( X_a, u );
q_b = quantile( X_b, u );
q_c = quantile( X_c, u );
Modified: pkg/Meucci/man/LognormalMoments2Parameters.Rd
===================================================================
--- pkg/Meucci/man/LognormalMoments2Parameters.Rd 2013-09-16 08:26:10 UTC (rev 3115)
+++ pkg/Meucci/man/LognormalMoments2Parameters.Rd 2013-09-16 09:32:05 UTC (rev 3116)
@@ -16,9 +16,15 @@
sig2 [scalar] variance of the normal distribution
}
\description{
- Computes the mean and standard deviation of a lognormal
- distribution from its parameters, as described in A.
- Meucci, "Risk and Asset Allocation", Springer, 2005.
+ determines $\mu$ and $\sigma^2$ from $\Expect\{X\}$ and
+ $\Var\{X\}$, and uses it to determine $\mu$ and
+ $\sigma^{2}$ such that $\Expect\left\{ X\right\} \bydef
+ 3$ and $\Var\left\{ X\right\} \bydef 5$, as described in
+ A. Meucci, "Risk and Asset Allocation", Springer, 2005.
+
+ \deqn{\sigma^{2} = \ln \left( 1 + \frac{V}{E^{2}} \right)
+ , } \deqn{\mu = \ln(E) - \frac{1}{2} \ln \left( 1 +
+ \frac{V}{E^{2}} \right) .}
}
\note{
Inverts the formulas (1.98)-(1.99) in "Risk and Asset
@@ -29,8 +35,9 @@
}
\references{
A. Meucci - "Exercises in Advanced Risk and Portfolio
- Management" \url{http://symmys.com/node/170}., "E 25-
- Simulation of a lognormal random variable" See Meucci's
- script for "LognormalMoments2Parameters.m"
+ Management" \url{http://symmys.com/node/170}, "E 25-
+ Simulation of a lognormal random variable".
+
+ See Meucci's script for "LognormalMoments2Parameters.m"
}
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