[Returnanalytics-commits] r3339 - pkg/PerformanceAnalytics/R

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

Author: peter_carl
Date: 2014-02-26 00:46:31 +0100 (Wed, 26 Feb 2014)
New Revision: 3339

Modified:
   pkg/PerformanceAnalytics/R/Return.calculate.R
   pkg/PerformanceAnalytics/R/chart.RollingPerformance.R
   pkg/PerformanceAnalytics/R/chart.TimeSeries.R
   pkg/PerformanceAnalytics/R/decomposeMVaR.R
Log:
- removed ':::' to internal functions and exported xts functions

Modified: pkg/PerformanceAnalytics/R/Return.calculate.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.calculate.R	2014-02-25 22:51:30 UTC (rev 3338)
+++ pkg/PerformanceAnalytics/R/Return.calculate.R	2014-02-25 23:46:31 UTC (rev 3339)
@@ -70,7 +70,7 @@
 
     if(method=="simple" || method=='discrete'){
         #Returns = pr/pr[-nrow(pr), ] - 1
-        Returns = pr/xts:::lagts.xts(pr) - 1
+        Returns = pr/lag(pr) - 1
         xtsAttributes(Returns) <- list(ret_type="discrete")
     }
     if(method=="compound" || method=='log') {

Modified: pkg/PerformanceAnalytics/R/chart.RollingPerformance.R
===================================================================
--- pkg/PerformanceAnalytics/R/chart.RollingPerformance.R	2014-02-25 22:51:30 UTC (rev 3338)
+++ pkg/PerformanceAnalytics/R/chart.RollingPerformance.R	2014-02-25 23:46:31 UTC (rev 3339)
@@ -79,7 +79,7 @@
     for(column in 1:columns) {
         # the drop=FALSE flag is essential for when the zoo object only has one column
 		rollargs<-c(list(data=na.omit(x[,column,drop=FALSE])),funargs)
-		column.Return.calc <- do.call(xts:::rollapply.xts,rollargs)
+		column.Return.calc <- do.call(rollapply,rollargs)
         if(column == 1)
             Return.calc = xts(column.Return.calc)
         else

Modified: pkg/PerformanceAnalytics/R/chart.TimeSeries.R
===================================================================
--- pkg/PerformanceAnalytics/R/chart.TimeSeries.R	2014-02-25 22:51:30 UTC (rev 3338)
+++ pkg/PerformanceAnalytics/R/chart.TimeSeries.R	2014-02-25 23:46:31 UTC (rev 3339)
@@ -234,7 +234,7 @@
 	)
     }
     # Needed for finding aligned dates for event lines and period areas
-    rownames = as.Date(xts:::time.xts(y))
+    rownames = as.Date(time(y))
     rownames = format(strptime(rownames,format = date.format.in), date.format)
 
     time.scale = periodicity(y)$scale

Modified: pkg/PerformanceAnalytics/R/decomposeMVaR.R
===================================================================
--- pkg/PerformanceAnalytics/R/decomposeMVaR.R	2014-02-25 22:51:30 UTC (rev 3338)
+++ pkg/PerformanceAnalytics/R/decomposeMVaR.R	2014-02-25 23:46:31 UTC (rev 3339)
@@ -4,28 +4,28 @@
 {
    return(t(w)%*%sigma%*%w)
 }
-PerformanceAnalytics:::portm2
+portm2
 
 portm3 = function(w,M3)
 {
    return(t(w)%*%M3%*%(w%x%w))
 }
-PerformanceAnalytics:::portm3
+portm3
 
 table.VaR.CornishFisher.portfolio = 
 function (p, w, mu, sigma, M3, M4 , names) 
 {
     w = matrix( w , ncol = 1 )
-    alpha = PerformanceAnalytics:::.setalphaprob(p)
+    alpha = .setalphaprob(p)
     p = alpha
     z = qnorm(alpha)
     location = t(w) %*% mu
     pm2 = portm2(w, sigma)
-    dpm2 = as.vector(PerformanceAnalytics:::derportm2(w, sigma))
+    dpm2 = as.vector(derportm2(w, sigma))
     pm3 = portm3(w, M3)
-    dpm3 = as.vector(PerformanceAnalytics:::derportm3(w, M3))
-    pm4 = PerformanceAnalytics:::portm4(w, M4)
-    dpm4 = as.vector(PerformanceAnalytics:::derportm4(w, M4))
+    dpm3 = as.vector(derportm3(w, M3))
+    pm4 = portm4(w, M4)
+    dpm4 = as.vector(derportm4(w, M4))
     skew = pm3/pm2^(3/2)
     exkurt = pm4/pm2^(2) - 3
     derskew = (2 * (pm2^(3/2)) * dpm3 - 3 * pm3 * sqrt(pm2) *