[Returnanalytics-commits] r3133 - in pkg/Meucci: R demo man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Sep 18 11:05:14 CEST 2013
Author: xavierv
Date: 2013-09-18 11:05:14 +0200 (Wed, 18 Sep 2013)
New Revision: 3133
Modified:
pkg/Meucci/R/CentralAndStandardizedStatistics.R
pkg/Meucci/R/LognormalMoments2Parameters.R
pkg/Meucci/R/SimulateJumpDiffusionMerton.R
pkg/Meucci/demo/S_JumpDiffusionMerton.R
pkg/Meucci/demo/S_StatArbSwaps.R
pkg/Meucci/demo/S_SwapPca2Dim.R
pkg/Meucci/demo/S_TimeSeriesConstrainedIndustries.R
pkg/Meucci/demo/S_TimeSeriesIndustries.R
pkg/Meucci/demo/S_TimeSeriesVsCrossSectionIndustries.R
pkg/Meucci/demo/S_Toeplitz.R
pkg/Meucci/demo/S_VolatilityClustering.R
pkg/Meucci/man/CentralAndStandardizedStatistics.Rd
pkg/Meucci/man/LognormalMoments2Parameters.Rd
pkg/Meucci/man/SimulateJumpDiffusionMerton.Rd
Log:
- fixed problems with non-ASCII characters
Modified: pkg/Meucci/R/CentralAndStandardizedStatistics.R
===================================================================
--- pkg/Meucci/R/CentralAndStandardizedStatistics.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/R/CentralAndStandardizedStatistics.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -21,7 +21,7 @@
#' Kendall, M., Stuart, A., 1969. The Advanced Theory of Statistics, Volume, 3rd Edition. Griffin.
#'
#' A. Meucci - "Annualization and general projection of skweness, kurtosis, and all summary statistics",
-#' GARP Risk Professional August 2010, 55–56. \url{http://symmys.com/node/136}.
+#' GARP Risk Professional August 2010, 55-56. \url{http://symmys.com/node/136}.
#' @author Xavier Valls \email{flamejat@@gmail.com}
#' @export
Modified: pkg/Meucci/R/LognormalMoments2Parameters.R
===================================================================
--- pkg/Meucci/R/LognormalMoments2Parameters.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/R/LognormalMoments2Parameters.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -1,7 +1,6 @@
#' @title Computes the mean and standard deviation of a lognormal distribution from its parameters.
#'
-#' @description determines $\mu$ and $\sigma^2$ from $\Expect\{X\}$ and $\Var\{X\}$, and uses it to determine $\mu$
-#' and $\sigma^{2}$ such that $\Expect\left\{ X\right\} \equiv 3$ and $\Var\left\{ X\right\} \equiv 5$, as described in
+#' @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.
#'
#' \deqn{\sigma^{2} = \ln \left( 1 + \frac{V}{E^{2}} \right) , }
@@ -24,6 +23,8 @@
#' @author Xavier Valls \email{flamejat@@gmail.com}
#' @export
+#determines $\mu$ and $\sigma^2$ from $\Expect\{X\}$ and $\Var\{X\}$, and uses it to determine $\mu$
+# and $\sigma^{2}$ such that $\Expect\left\{ X\right\} \equiv 3$ and $\Var\left\{ X\right\} \equiv 5$
LognormalMoments2Parameters = function( e, v )
{
sig2 = log( 1 + v / ( e^2 ) );
Modified: pkg/Meucci/R/SimulateJumpDiffusionMerton.R
===================================================================
--- pkg/Meucci/R/SimulateJumpDiffusionMerton.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/R/SimulateJumpDiffusionMerton.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -1,4 +1,4 @@
-#'@title Simulates a Merton jump-diffusion process.
+#' @title Simulates a Merton jump-diffusion process.
#'
#' @description This function simulates a jump diffusion process, as described in A. Meucci "Risk and Asset Allocation",
#' Springer, 2005.
@@ -20,7 +20,7 @@
#' See Meucci's script for "SimulateJumpDiffusionMerton.m"
#'
#' Merton, R. C., 1976. "Option pricing when underlying stocks are discontinuous". Journal of Financial
-#' Economics 3, 125–144.
+#' Economics 3, 125-144.
#'
#'@author Xavier Valls \email{flamejat@@gmail.com}
#' @export
Modified: pkg/Meucci/demo/S_JumpDiffusionMerton.R
===================================================================
--- pkg/Meucci/demo/S_JumpDiffusionMerton.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/demo/S_JumpDiffusionMerton.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -7,7 +7,7 @@
#'
#' See Meucci's script for "S_JumpDiffusionMerton.m"
#' @note see Merton, R. C., 1976. "Option pricing when underlying stocks are discontinuous". Journal of Financial
-#' Economics 3, 125–144.
+#' Economics 3, 125-144.
#' @author Xavier Valls \email{flamejat@@gmail.com}
##################################################################################################################
Modified: pkg/Meucci/demo/S_StatArbSwaps.R
===================================================================
--- pkg/Meucci/demo/S_StatArbSwaps.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/demo/S_StatArbSwaps.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -3,7 +3,7 @@
#'
#' @references
#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
-#' "E 144 – Statistical arbitrage: co-integration trading ".
+#' "E 144 - Statistical arbitrage: co-integration trading ".
#' See Meucci's script for "S_StatArbSwaps.m"
#'
#' A. Meucci - "Review of statistical arbitrage, cointegration, and multivariate Ornstein-Uhlenbeck", 2009. \url{http://symmys.com/node/132}
Modified: pkg/Meucci/demo/S_SwapPca2Dim.R
===================================================================
--- pkg/Meucci/demo/S_SwapPca2Dim.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/demo/S_SwapPca2Dim.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -10,7 +10,7 @@
#'
#' @references
#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
-#' "E 110 – Hidden factors: principal component analysis of a two-point swap curve".
+#' "E 110 - Hidden factors: principal component analysis of a two-point swap curve".
#'
#' See Meucci's script for "S_SwapPca2Dim.m"
#'
Modified: pkg/Meucci/demo/S_TimeSeriesConstrainedIndustries.R
===================================================================
--- pkg/Meucci/demo/S_TimeSeriesConstrainedIndustries.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/demo/S_TimeSeriesConstrainedIndustries.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -4,7 +4,7 @@
#'
#' @references
#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
-#' "E 115 – Time series factors: generalized time-series industry factors".
+#' "E 115 - Time series factors: generalized time-series industry factors".
#'
#' See Meucci's script for "S_TimeSeriesConstrainedIndustries.m"
#'
Modified: pkg/Meucci/demo/S_TimeSeriesIndustries.R
===================================================================
--- pkg/Meucci/demo/S_TimeSeriesIndustries.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/demo/S_TimeSeriesIndustries.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -3,7 +3,7 @@
#'
#' @references
#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
-#' "E 114 – Time series factors: unconstrained time series industry factors".
+#' "E 114 - Time series factors: unconstrained time series industry factors".
#'
#' See Meucci's script for "S_TimeSeriesIndustries.m"
#'
Modified: pkg/Meucci/demo/S_TimeSeriesVsCrossSectionIndustries.R
===================================================================
--- pkg/Meucci/demo/S_TimeSeriesVsCrossSectionIndustries.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/demo/S_TimeSeriesVsCrossSectionIndustries.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -4,7 +4,7 @@
#'
#' @references
#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
-#' "E 124 – Cross-section factors: comparison cross-section with time-series industry factors".
+#' "E 124 - Cross-section factors: comparison cross-section with time-series industry factors".
#' See Meucci's script for "S_TimeSeriesVsCrossSectionIndustries.m"
#'
#' A. Meucci - "Review of linear factor models: Unexpected common features and the systematic-plus-idiosyncratic myth", 2010. \url{http://www.symmys.com/node/336}
Modified: pkg/Meucci/demo/S_Toeplitz.R
===================================================================
--- pkg/Meucci/demo/S_Toeplitz.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/demo/S_Toeplitz.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -3,7 +3,7 @@
#'
#' @references
#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
-#' "E 130 – Eigenvectors for Toeplitz structure".
+#' "E 130 - Eigenvectors for Toeplitz structure".
#'
#' See Meucci's script for "S_Toeplitz.R"
#'
Modified: pkg/Meucci/demo/S_VolatilityClustering.R
===================================================================
--- pkg/Meucci/demo/S_VolatilityClustering.R 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/demo/S_VolatilityClustering.R 2013-09-18 09:05:14 UTC (rev 3133)
@@ -3,7 +3,7 @@
#'
#' @references
#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170},
-#' "E 134 – Simulation of a GARCH process".
+#' "E 134 - Simulation of a GARCH process".
#'
#' See Meucci's script for "S_VolatilityClustering.m"
#'
Modified: pkg/Meucci/man/CentralAndStandardizedStatistics.Rd
===================================================================
--- pkg/Meucci/man/CentralAndStandardizedStatistics.Rd 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/man/CentralAndStandardizedStatistics.Rd 2013-09-18 09:05:14 UTC (rev 3133)
@@ -43,7 +43,7 @@
A. Meucci - "Annualization and general projection of
skweness, kurtosis, and all summary statistics", GARP
- Risk Professional August 2010, 55–56.
+ Risk Professional August 2010, 55-56.
\url{http://symmys.com/node/136}.
}
Modified: pkg/Meucci/man/LognormalMoments2Parameters.Rd
===================================================================
--- pkg/Meucci/man/LognormalMoments2Parameters.Rd 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/man/LognormalMoments2Parameters.Rd 2013-09-18 09:05:14 UTC (rev 3133)
@@ -16,11 +16,9 @@
sig2 [scalar] variance of the normal distribution
}
\description{
- determines $\mu$ and $\sigma^2$ from $\Expect\{X\}$ and
- $\Var\{X\}$, and uses it to determine $\mu$ and
- $\sigma^{2}$ such that $\Expect\left\{ X\right\} \equiv
- 3$ and $\Var\left\{ X\right\} \equiv 5$, as described in
- A. Meucci, "Risk and Asset Allocation", Springer, 2005.
+ Computes the mean and standard deviation of a lognormal
+ distribution from its parameters, 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 +
Modified: pkg/Meucci/man/SimulateJumpDiffusionMerton.Rd
===================================================================
--- pkg/Meucci/man/SimulateJumpDiffusionMerton.Rd 2013-09-18 08:49:26 UTC (rev 3132)
+++ pkg/Meucci/man/SimulateJumpDiffusionMerton.Rd 2013-09-18 09:05:14 UTC (rev 3133)
@@ -39,6 +39,6 @@
Merton, R. C., 1976. "Option pricing when underlying
stocks are discontinuous". Journal of Financial Economics
- 3, 125–144.
+ 3, 125-144.
}
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