[Returnanalytics-commits] r3526 - in pkg/PerformanceAnalytics: . R
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sun Sep 7 21:30:25 CEST 2014
Author: braverock
Date: 2014-09-07 21:30:25 +0200 (Sun, 07 Sep 2014)
New Revision: 3526
Modified:
pkg/PerformanceAnalytics/ChangeLog
pkg/PerformanceAnalytics/DESCRIPTION
pkg/PerformanceAnalytics/R/Return.clean.R
pkg/PerformanceAnalytics/R/chart.Histogram.R
pkg/PerformanceAnalytics/R/chart.QQPlot.R
pkg/PerformanceAnalytics/R/chart.RollingQuantileRegression.R
Log:
- updates to pass R CMD check on r-devel
Modified: pkg/PerformanceAnalytics/ChangeLog
===================================================================
--- pkg/PerformanceAnalytics/ChangeLog 2014-09-05 22:17:42 UTC (rev 3525)
+++ pkg/PerformanceAnalytics/ChangeLog 2014-09-07 19:30:25 UTC (rev 3526)
@@ -1,5 +1,3316 @@
+2014-09-05 bodanker
+
+ * R/VaR.R: - Fix error in reasonableness check when tmp is not
+ finite
+
+2014-09-04 braverock
+
+ * DESCRIPTION, man/VaR.Rd: - update docs
+ * DESCRIPTION, NAMESPACE, NEWS, R/VaR.R, R/decomposeMVaR.R[DEL],
+ R/expectedShortFallFunctions.r[DEL], R/rCornishFisher.r[DEL],
+ R/valueAtRiskFunctions.r[DEL], man/ActivePremium.Rd,
+ man/AdjustedSharpeRatio.Rd, man/AppraisalRatio.Rd,
+ man/AverageDrawdown.Rd, man/BernardoLedoitRatio.Rd,
+ man/BetaCoMoments.Rd, man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd,
+ man/CAPM.alpha.Rd, man/CAPM.beta.Rd, man/CAPM.dynamic.Rd,
+ man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd, man/CDD.Rd,
+ man/CalmarRatio.Rd, man/CoMoments.Rd, man/DRatio.Rd,
+ man/DownsideDeviation.Rd, man/DownsideFrequency.Rd,
+ man/DrawdownDeviation.Rd, man/DrawdownPeak.Rd, man/ES.Rd,
+ man/FamaBeta.Rd, man/Frequency.Rd, man/HurstIndex.Rd,
+ man/InformationRatio.Rd, man/Kappa.Rd, man/KellyRatio.Rd,
+ man/M2Sortino.Rd, man/MSquared.Rd, man/MSquaredExcess.Rd,
+ man/MarketTiming.Rd, man/MartinRatio.Rd,
+ man/MeanAbsoluteDeviation.Rd, man/Modigliani.Rd,
+ man/NetSelectivity.Rd, man/Omega.Rd, man/OmegaExcessReturn.Rd,
+ man/OmegaSharpeRatio.Rd, man/PainIndex.Rd, man/PainRatio.Rd,
+ man/ProspectRatio.Rd, man/Return.Geltner.Rd,
+ man/Return.annualized.Rd, man/Return.annualized.excess.Rd,
+ man/Return.calculate.Rd, man/Return.clean.Rd,
+ man/Return.cumulative.Rd, man/Return.excess.Rd,
+ man/Return.portfolio.Rd, man/Return.read.Rd,
+ man/Return.relative.Rd, man/Selectivity.Rd, man/SharpeRatio.Rd,
+ man/SharpeRatio.annualized.Rd, man/SkewnessKurtosisRatio.Rd,
+ man/SmoothingIndex.Rd, man/SortinoRatio.Rd, man/SpecificRisk.Rd,
+ man/StdDev.Rd, man/StdDev.annualized.Rd, man/SystematicRisk.Rd,
+ man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd,
+ man/UlcerIndex.Rd, man/UpDownRatios.Rd, man/UpsideFrequency.Rd,
+ man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd,
+ man/VolatilitySkewness.Rd, man/apply.fromstart.Rd,
+ man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd,
+ man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd,
+ man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd,
+ man/chart.CumReturns.Rd, man/chart.Drawdown.Rd,
+ man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd,
+ man/chart.QQPlot.Rd, man/chart.Regression.Rd,
+ man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd,
+ man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd,
+ man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd,
+ man/chart.Scatter.Rd, man/chart.SnailTrail.Rd,
+ man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd,
+ man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd,
+ man/charts.RollingPerformance.Rd, man/checkData.Rd,
+ man/clean.boudt.Rd, man/findDrawdowns.Rd, man/kurtosis.Rd,
+ man/legend.Rd, man/lpm.Rd, man/maxDrawdown.Rd,
+ man/mean.geometric.Rd, man/skewness.Rd, man/sortDrawdowns.Rd,
+ man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd,
+ man/table.Autocorrelation.Rd, man/table.CAPM.Rd,
+ man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd,
+ man/table.Correlation.Rd, man/table.Distributions.Rd,
+ man/table.DownsideRisk.Rd, man/table.DownsideRiskRatio.Rd,
+ man/table.Drawdowns.Rd, man/table.DrawdownsRatio.Rd,
+ man/table.HigherMoments.Rd, man/table.InformationRatio.Rd,
+ man/table.MonthlyReturns.Rd, man/table.ProbOutPerformance.Rd,
+ man/table.RollingPeriods.Rd, man/table.SpecificRisk.Rd,
+ man/table.Variability.Rd, man/textplot.Rd, man/zerofill.Rd,
+ sandbox/decomposeMVaR.R[CPY],
+ sandbox/expectedShortFallFunctions.r[CPY],
+ sandbox/rCornishFisher.r[CPY],
+ sandbox/valueAtRiskFunctions.r[CPY],
+ tests/Examples/PerformanceAnalytics-Ex.Rout.save: - move
+ bootstrap files to sandbox, will clean up for next release
+ - update docs to latest roxygen2
+ - update NEWS
+
+2014-09-02 braverock
+
+ * DESCRIPTION, NAMESPACE, R/CoMoments.R, R/ES.R,
+ R/MultivariateMoments.R, R/table.ProbOutperformance.R, R/zzz.R,
+ man/ActivePremium.Rd, man/AdjustedSharpeRatio.Rd,
+ man/AppraisalRatio.Rd, man/AverageDrawdown.Rd,
+ man/BernardoLedoitRatio.Rd, man/BetaCoMoments.Rd,
+ man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd,
+ man/CAPM.beta.Rd, man/CAPM.dynamic.Rd, man/CAPM.epsilon.Rd,
+ man/CAPM.jensenAlpha.Rd, man/CDD.Rd, man/CalmarRatio.Rd,
+ man/CoMoments.Rd, man/DRatio.Rd, man/DownsideDeviation.Rd,
+ man/DownsideFrequency.Rd, man/DrawdownDeviation.Rd,
+ man/DrawdownPeak.Rd, man/ES.Rd, man/FamaBeta.Rd,
+ man/Frequency.Rd, man/HurstIndex.Rd, man/InformationRatio.Rd,
+ man/Kappa.Rd, man/KellyRatio.Rd, man/M2Sortino.Rd,
+ man/MSquared.Rd, man/MSquaredExcess.Rd, man/MarketTiming.Rd,
+ man/MartinRatio.Rd, man/MeanAbsoluteDeviation.Rd,
+ man/Modigliani.Rd, man/NetSelectivity.Rd, man/Omega.Rd,
+ man/OmegaExcessReturn.Rd, man/OmegaSharpeRatio.Rd,
+ man/PainIndex.Rd, man/PainRatio.Rd, man/ProspectRatio.Rd,
+ man/Return.Geltner.Rd, man/Return.annualized.Rd,
+ man/Return.annualized.excess.Rd, man/Return.calculate.Rd,
+ man/Return.clean.Rd, man/Return.cumulative.Rd,
+ man/Return.excess.Rd, man/Return.read.Rd, man/Return.relative.Rd,
+ man/Selectivity.Rd, man/SharpeRatio.Rd,
+ man/SharpeRatio.annualized.Rd, man/SkewnessKurtosisRatio.Rd,
+ man/SmoothingIndex.Rd, man/SortinoRatio.Rd, man/SpecificRisk.Rd,
+ man/StdDev.Rd, man/StdDev.annualized.Rd, man/SystematicRisk.Rd,
+ man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd,
+ man/UlcerIndex.Rd, man/UpDownRatios.Rd, man/UpsideFrequency.Rd,
+ man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd,
+ man/VolatilitySkewness.Rd, man/apply.fromstart.Rd,
+ man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd,
+ man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd,
+ man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd,
+ man/chart.CumReturns.Rd, man/chart.Drawdown.Rd,
+ man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd,
+ man/chart.QQPlot.Rd, man/chart.Regression.Rd,
+ man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd,
+ man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd,
+ man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd,
+ man/chart.Scatter.Rd, man/chart.SnailTrail.Rd,
+ man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd,
+ man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd,
+ man/charts.RollingPerformance.Rd, man/checkData.Rd,
+ man/clean.boudt.Rd, man/findDrawdowns.Rd, man/kurtosis.Rd,
+ man/legend.Rd, man/lpm.Rd, man/maxDrawdown.Rd,
+ man/mean.geometric.Rd, man/skewness.Rd, man/sortDrawdowns.Rd,
+ man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd,
+ man/table.Autocorrelation.Rd, man/table.CAPM.Rd,
+ man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd,
+ man/table.Correlation.Rd, man/table.Distributions.Rd,
+ man/table.DownsideRisk.Rd, man/table.DownsideRiskRatio.Rd,
+ man/table.Drawdowns.Rd, man/table.DrawdownsRatio.Rd,
+ man/table.HigherMoments.Rd, man/table.InformationRatio.Rd,
+ man/table.MonthlyReturns.Rd,
+ man/table.ProbOutPerformance.Rd[ADD],
+ man/table.RollingPeriods.Rd, man/table.SpecificRisk.Rd,
+ man/table.Variability.Rd, man/textplot.Rd, man/zerofill.Rd,
+ tests/Examples/PerformanceAnalytics-Ex.Rout.save: - clean check
+ in R-release ahead of new CRAN version
+
+2014-09-02 rossbennett34
+
+ * R/zerofill.R, man/zerofill.Rd: Modifying zerofill to avoid loops
+ and use method="xts" in checkData. Minor edits to zerofill man
+ file.
+
+2014-08-30 efmrforge
+
+ * man/table.ProbOutPerformance.Rd[DEL]: Removed failing .Rd file
+ * R/table.ProbOutperformance.R: Fixed formatting, so this would
+ build
+ * R/table.ProbOutperformance.R: Added title and one line
+ description so it would build
+
+2014-08-27 kylebalkissoon
+
+ * man/table.ProbOutPerformance.Rd[ADD]: Documentation for
+ table.ProbOutPerformance.Rd
+ * R/table.ProbOutperformance.R: Expanded documentation and added
+ examples
+
+2014-08-26 rossbennett34
+
+ * R/Return.portfolio.R, man/Return.portfolio.Rd: fixing bad link
+ error
+
+2014-08-24 rossbennett34
+
+ * R/Return.portfolio.R, man/Return.portfolio.Rd: zerofilling NA's
+ and fixing examples in Return.portfolio
+ * vignettes/portfolio_returns.Rnw,
+ vignettes/portfolio_returns.pdf[ADD]: revisions to portfolio
+ returns vignette
+ * man/Return.portfolio.Rd: updated Rd file for Return.portfolio
+
+2014-08-19 kylebalkissoon
+
+ * R/table.ProbOutperformance.R: Line endings switched to unix
+ * R/table.ProbOutperformance.R[ADD]: Table to calculate # of
+ periods fund is outperforming benchmark on a cumulative basis.
+ User can supply a vector of periods and this will calculate it.
+ This also returns the proportion of periods the fund outperforms
+ which is commonly known as the probability of outperformance.
+
+2014-08-13 kylebalkissoon
+
+ * R/Return.portfolio.R:
+
+2014-07-27 rossbennett34
+
+ * src/Makevars.win[ADD]: Adding Makevars.win file to link against
+ BLAS and LAPACK libraries
+
+2014-07-09 kecoli
+
+ * sandbox/PAenhance/NAMESPACE,
+ sandbox/PAenhance/R/table.Performance.R,
+ sandbox/PAenhance/man/SharpeRatio.Rd,
+ sandbox/PAenhance/man/UncertaintyMeasure.Rd,
+ sandbox/PAenhance/man/chart.Boxplot.Rd,
+ sandbox/PAenhance/man/chart.QQPlot.Rd,
+ sandbox/PAenhance/man/table.Performance.Rd,
+ sandbox/PAenhance/man/table.Performance.pool.Rd,
+ sandbox/PAenhance/man/table.Performance.pool.cran.Rd: add
+ optional argument exportXLS to table.Performance(), that one can
+ export the Performance table to an Excel file.
+
+2014-07-03 rossbennett34
+
+ * NAMESPACE, R/MultivariateMoments.R, sandbox/testMM.R[ADD],
+ src[ADD], src/momentF.f90[ADD]: Adding compiled M3 and M4
+ functions
+
+2014-06-22 kecoli
+
+ * sandbox/PAenhance/NAMESPACE, sandbox/PAenhance/R/SharpeRatio.R,
+ sandbox/PAenhance/R/Uncertainty.R[ADD],
+ sandbox/PAenhance/man/SharpeRatio.Rd,
+ sandbox/PAenhance/man/UncertaintyMeasure.Rd[ADD]: change of man
+ page,
+ add uncertainty measure of Variance estimator,
+ add bootstrap sd for SharpRatio,
+ modify Sharpratio to adapt to table.Performance
+ * sandbox/PAenhance[ADD], sandbox/PAenhance/DESCRIPTION[ADD],
+ sandbox/PAenhance/LICENSE[ADD], sandbox/PAenhance/NAMESPACE[ADD],
+ sandbox/PAenhance/Plan for next release[ADD],
+ sandbox/PAenhance/R[ADD],
+ sandbox/PAenhance/R/PAenhance-internal.R[ADD],
+ sandbox/PAenhance/R/SharpeRatio.R[ADD],
+ sandbox/PAenhance/R/cbind.na.R[ADD],
+ sandbox/PAenhance/R/chart.Boxplot.R[ADD],
+ sandbox/PAenhance/R/chart.QQplot.R[ADD],
+ sandbox/PAenhance/R/inslib.R[ADD],
+ sandbox/PAenhance/R/table.Performance.R[ADD],
+ sandbox/PAenhance/R/table.Performance.pool.R[ADD],
+ sandbox/PAenhance/R/table.Performance.pool.cran.R[ADD],
+ sandbox/PAenhance/README.md[ADD], sandbox/PAenhance/man[ADD],
+ sandbox/PAenhance/man/SharpeRatio.Rd[ADD],
+ sandbox/PAenhance/man/chart.Boxplot.Rd[ADD],
+ sandbox/PAenhance/man/chart.QQPlot.Rd[ADD],
+ sandbox/PAenhance/man/table.Performance.Rd[ADD],
+ sandbox/PAenhance/man/table.Performance.pool.Rd[ADD],
+ sandbox/PAenhance/man/table.Performance.pool.cran.Rd[ADD],
+ sandbox/PAenhance/vignettes[ADD],
+ sandbox/PAenhance/vignettes/PA-KirkLi.Rnw[ADD],
+ sandbox/PAenhance/vignettes/PA-KirkLi.pdf[ADD]: merging Kirk's
+ github work to R-forge
+
+ including Chart.Boxplot, Chart.QQplot, table.performance.R
+ * sandbox/PAshiny[ADD], sandbox/PAshiny/chooser-binding.js[ADD],
+ sandbox/PAshiny/chooser.R[ADD],
+ sandbox/PAshiny/crsp.short.6.Rdata[ADD],
+ sandbox/PAshiny/crsp.short.6.csv[ADD],
+ sandbox/PAshiny/crsp.short.Rdata[ADD],
+ sandbox/PAshiny/run.R[ADD], sandbox/PAshiny/server.R[ADD],
+ sandbox/PAshiny/server_bk.R[ADD],
+ sandbox/PAshiny/table.Performance.R[ADD],
+ sandbox/PAshiny/textArea.js[ADD], sandbox/PAshiny/ui.R[ADD],
+ sandbox/PAshiny/www[ADD],
+ sandbox/PAshiny/www/chooser-binding.js[ADD],
+ sandbox/PAshiny/www/index_1.html[ADD],
+ sandbox/PAshiny/www/stylesheets[ADD],
+ sandbox/PAshiny/www/stylesheets/jquery-ui.css[ADD],
+ sandbox/PAshiny/www/stylesheets/style.css[ADD],
+ sandbox/PAshiny/www/textarea.js[ADD]: merging Kirk's github work
+ to R-forge
+
+ Shiny interface for table.Performance.R in PAenhance
+ * sandbox/PAenhance[DEL]: merging Kirk's github work to R-forge
+
+2014-06-22 rossbennett34
+
+ * vignettes/portfolio_returns.Rnw[ADD]: Adding first draft of
+ portfolio returns vignette
+
+2014-06-18 rossbennett34
+
+ * R/Return.portfolio.R: Modifying Return.rebalancing to support
+ wealth index and contribution args as well as adding separate
+ functions for arithmetic and geometric returns
+
+2014-06-11 peter_carl
+
+ * R/Return.excess.R: - fixes error when Rf unlabeled - thanks Dave
+ Demers
+
+2014-06-09 braverock
+
+ * DESCRIPTION: - bump version because of new Return.portfolio and
+ Return.rebalancing
+ * R/Return.portfolio.R: - add back copyright/license block, lost in
+ the prototyping
+ * R/Return.portfolio.R: - fix so the package will build, still need
+ answers to missing args geometric, wealth_index, and contribution
+
+2014-06-07 peter_carl
+
+ * R/Return.portfolio.R: - Refactored and replaced the function,
+ thanks Ross
+ * sandbox/refactored.Portfolio.rebalancing.R: - added to examples
+
+2014-06-07 rossbennett34
+
+ * sandbox/refactored.Portfolio.rebalancing.R,
+ sandbox/test_Return.rebalancing.R[ADD]: adding refactored
+ return.rebalancing function with roxygen documentation and a test
+ script
+
+2014-04-11 peter_carl
+
+ * sandbox/refactored.Portfolio.rebalancing.R: - works
+
+2014-04-09 peter_carl
+
+ * sandbox/refactored.Portfolio.rebalancing.R[ADD]: - incomplete
+ first draft of refactored function
+
+2014-02-27 braverock
+
+ * tests/Examples/PerformanceAnalytics-Ex.Rout.save: - update
+ example output to account for Return.portfolio reversion
+
+2014-02-26 braverock
+
+ * man/chart.Events.Rd: - update roxygen doc for chart.Events
+ * R/Return.portfolio.R: - revert calculation for geometric=TRUE in
+ Return.portfolio to r2170, we'll improve this with a broader
+ refactoring
+
+2014-02-26 peter_carl
+
+ * R/chart.Boxplot.R: - really a reversion back to rev 2163 with
+ hardcoded horizontal arg
+ - anticipating future improvements that will make this work
+ better
+
+2014-02-25 peter_carl
+
+ * R/Return.calculate.R, R/chart.RollingPerformance.R,
+ R/chart.TimeSeries.R, R/decomposeMVaR.R: - removed ':::' to
+ internal functions and exported xts functions
+ * R/chart.Events.R: - fixed example to pass check
+
+2014-02-25 kecoli
+
+ * sandbox/PAenhance/R/lpm.Rd[DEL],
+ sandbox/PAenhance/man/lpm.R[DEL]: delete misplaced file in
+ sandbox/PAenhance
+ * sandbox/PAenhance[ADD], sandbox/PAenhance/R[ADD],
+ sandbox/PAenhance/R/chart.Boxplot.R[ADD],
+ sandbox/PAenhance/R/chart.QQplot.R[ADD],
+ sandbox/PAenhance/R/lpm.Rd[ADD], sandbox/PAenhance/inst[ADD],
+ sandbox/PAenhance/inst/PA-KirkLi.Rnw[ADD],
+ sandbox/PAenhance/inst/PA-KirkLi.pdf[ADD],
+ sandbox/PAenhance/man[ADD],
+ sandbox/PAenhance/man/chart.Boxplot.Rd[ADD],
+ sandbox/PAenhance/man/chart.QQPlot.Rd[ADD],
+ sandbox/PAenhance/man/lpm.R[ADD]: commit to sandbox/PAenhance,
+ major changes on chart.Boxplot.R and chart.QQplot.R per comments
+ made by Douglass Martin. Plan to merge to trunk version soon.
+ For details see sandbox/PAenhance/inst/PA-KirkLi.pdf
+
+2014-02-23 braverock
+
+ * tests/Examples/PerformanceAnalytics-Ex.Rout.save: - commit
+ updated example output
+ * .Rbuildignore, DESCRIPTION, NAMESPACE, R/CAPM.dynamic.R,
+ R/MSquaredExcess.R, R/MarketTiming.R, R/StdDev.annualized.R,
+ R/TreynorRatio.R, R/chart.TimeSeries.R,
+ R/charts.RollingPerformance.R, R/lpm.R,
+ R/table.AnnualizedReturns.R, R/table.Arbitrary.R,
+ R/table.Autocorrelation.R, R/table.CAPM.R,
+ R/table.CalendarReturns.R, R/table.CaptureRatios.R,
+ R/table.Correlation.R, R/table.DownsideRisk.R,
+ R/table.Drawdowns.R, R/table.HigherMoments.R,
+ R/table.MonthlyReturns.R, R/table.RollingPeriods.R, R/textplot.R,
+ R/zzz.R, man/CAPM.dynamic.Rd, man/MSquaredExcess.Rd,
+ man/MarketTiming.Rd, man/TreynorRatio.Rd,
+ man/chart.TimeSeries.Rd, man/charts.RollingPerformance.Rd,
+ man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd,
+ man/table.Autocorrelation.Rd, man/table.CAPM.Rd,
+ man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd,
+ man/table.Correlation.Rd, man/table.DownsideRisk.Rd,
+ man/table.Drawdowns.Rd, man/table.HigherMoments.Rd,
+ man/table.MonthlyReturns.Rd, man/table.RollingPeriods.Rd,
+ man/textplot.Rd, vignettes/PA-Bacon.Rnw, vignettes/PA-charts.Rnw,
+ vignettes/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw,
+ vignettes/PerformanceAnalyticsPresentation-UseR-2007.Rnw,
+ vignettes/textplotPresentation-CRUG-2011.Rnw: - more fixes for R
+ CMD check prior to CRAN release
+ * DESCRIPTION, NAMESPACE, R/DownsideDeviation.R,
+ R/Return.calculate.R, R/StdDev.annualized.R, R/chart.Events.R,
+ R/table.CaptureRatios.R, R/table.UpDownRatios.R,
+ man/ActivePremium.Rd, man/AdjustedSharpeRatio.Rd,
+ man/AppraisalRatio.Rd, man/AverageDrawdown.Rd,
+ man/BernardoLedoitRatio.Rd, man/BetaCoMoments.Rd,
+ man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd,
+ man/CAPM.beta.Rd, man/CAPM.dynamic.Rd, man/CAPM.epsilon.Rd,
+ man/CAPM.jensenAlpha.Rd, man/CDD.Rd, man/CalmarRatio.Rd,
+ man/CoMoments.Rd, man/DRatio.Rd, man/DownsideDeviation.Rd,
+ man/DownsideFrequency.Rd, man/DrawdownDeviation.Rd,
+ man/DrawdownPeak.Rd, man/ES.Rd, man/FamaBeta.Rd,
+ man/Frequency.Rd, man/HurstIndex.Rd, man/InformationRatio.Rd,
+ man/Kappa.Rd, man/KellyRatio.Rd, man/M2Sortino.Rd,
+ man/MSquared.Rd, man/MSquaredExcess.Rd, man/MarketTiming.Rd,
+ man/MartinRatio.Rd, man/MeanAbsoluteDeviation.Rd,
+ man/Modigliani.Rd, man/NetSelectivity.Rd, man/Omega.Rd,
+ man/OmegaExcessReturn.Rd, man/OmegaSharpeRatio.Rd,
+ man/PainIndex.Rd, man/PainRatio.Rd, man/ProspectRatio.Rd,
+ man/Return.Geltner.Rd, man/Return.annualized.Rd,
+ man/Return.annualized.excess.Rd, man/Return.calculate.Rd,
+ man/Return.clean.Rd, man/Return.cumulative.Rd,
+ man/Return.excess.Rd, man/Return.portfolio.Rd,
+ man/Return.read.Rd, man/Return.relative.Rd, man/Selectivity.Rd,
+ man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd,
+ man/SkewnessKurtosisRatio.Rd, man/SmoothingIndex.Rd,
+ man/SortinoRatio.Rd, man/SpecificRisk.Rd, man/StdDev.Rd,
+ man/StdDev.annualized.Rd, man/SystematicRisk.Rd,
+ man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd,
+ man/UlcerIndex.Rd, man/UpDownRatios.Rd, man/UpsideFrequency.Rd,
+ man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd,
+ man/VolatilitySkewness.Rd, man/apply.fromstart.Rd,
+ man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd,
+ man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd,
+ man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd,
+ man/chart.CumReturns.Rd, man/chart.Drawdown.Rd,
+ man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd,
+ man/chart.QQPlot.Rd, man/chart.Regression.Rd,
+ man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd,
+ man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd,
+ man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd,
+ man/chart.Scatter.Rd, man/chart.SnailTrail.Rd,
+ man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd,
+ man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd,
+ man/charts.RollingPerformance.Rd, man/checkData.Rd,
+ man/clean.boudt.Rd, man/findDrawdowns.Rd, man/kurtosis.Rd,
+ man/legend.Rd, man/lpm.Rd, man/maxDrawdown.Rd,
+ man/mean.geometric.Rd, man/skewness.Rd, man/sortDrawdowns.Rd,
+ man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd,
+ man/table.Autocorrelation.Rd, man/table.CAPM.Rd,
+ man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd,
+ man/table.Correlation.Rd, man/table.Distributions.Rd,
+ man/table.DownsideRisk.Rd, man/table.DownsideRiskRatio.Rd,
+ man/table.Drawdowns.Rd, man/table.DrawdownsRatio.Rd,
+ man/table.HigherMoments.Rd, man/table.InformationRatio.Rd,
+ man/table.MonthlyReturns.Rd, man/table.RollingPeriods.Rd,
+ man/table.SpecificRisk.Rd, man/table.Variability.Rd,
+ man/textplot.Rd, man/zerofill.Rd: - updates ahead of CRAN release
+
+2014-02-21 peter_carl
+
+ * R/CAPM.dynamic.R, R/CAPM.epsilon.R, R/CAPM.jensenAlpha.R: - added
+ alias for SFM nomenclature
+ * R/CAPM.beta.R: - added alias for SFM.beta
+ * R/CAPM.alpha.R: - added alias for SFM.alpha
+ * ., R/legend.R, sandbox/Shubhankit: - added alias tags for tol
+ colors
+
+2014-02-20 braverock
+
+ * NAMESPACE, R/ActivePremium.R, R/HurstIndex.R,
+ R/Return.index.R[DEL], R/Return.wealthindex.R[DEL],
+ R/mean.utils.R, R/zerofill.R, man/HurstIndex.Rd[ADD],
+ sandbox/Return.wealthindex.R[CPY]: - export more functions prior
+ to CRAN release
+ - move Return.index/wealthindex to sandbox
+ * DESCRIPTION, NAMESPACE, R/CAPM.alpha.R, R/CAPM.beta.R,
+ R/CAPM.dynamic.R, R/CAPM.epsilon.R, R/CAPM.jensenAlpha.R,
+ R/CAPM.utils.R, R/checkData.R, R/lpm.R, inst[DEL],
+ man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd, man/CAPM.beta.Rd,
+ man/CAPM.dynamic.Rd, man/CAPM.epsilon.Rd,
+ man/CAPM.jensenAlpha.Rd, man/checkData.Rd, man/lpm.Rd: - add SFM
+ aliases for all CAPM functions, and export them
+ - minor doc edits
+ - bump version as we prepare for new CRAN release
+ * inst/doc[DEL], vignettes[CPY]: - move inst/doc to vignettes
+
+2014-02-14 peter_carl
+
+ * R/legend.R: - added exports for tol color schemes
+
+2014-02-13 braverock
+
+ * NAMESPACE, R/ES.R, R/table.CAPM.R: - more roxygen NAMESPACE
+ changes
+ * .Rbuildignore, NAMESPACE, R/legend.R, R/textplot.R, R/zzz.R,
+ codeblock.txt[ADD], generatechangelog.sh,
+ man/DownsideDeviation.Rd, man/MSquared.Rd, man/lpm.Rd[ADD]: -
+ update roxygen docs
+ - update exports to create roxygen-generated NAMESPACE file
+
+2014-02-13 peter_carl
+
+ * DESCRIPTION: - switched dependency from 'sn' to 'gamlss'
+ * R/chart.Histogram.R: - replaced 'sn' dependency with 'gamlss' for
+ skew-t fit
+
+2014-01-28 peter_carl
+
+ * R/Omega.R: - fixed Hmisc reference for CRAN note
+
+2014-01-18 braverock
+
+ * DESCRIPTION, R/ActivePremium.R, R/AdjustedSharpeRatio.R,
+ R/AppraisalRatio.R, R/BernadoLedoitratio.R, R/BurkeRatio.R,
+ R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.epsilon.R,
+ R/CAPM.jensenAlpha.R, R/CAPM.utils.R, R/CalmarRatio.R,
+ R/CoMoments.R, R/DRatio.R, R/DownsideDeviation.R,
+ R/DownsideFrequency.R, R/DrawdownPeak.R, R/Drawdowns.R, R/ES.R,
+ R/FamaBeta.R, R/Frequency.R, R/HerfindahlIndex.R, R/HurstIndex.R,
+ R/InformationRatio.R, R/Kappa.R, R/KellyRatio.R, R/M2Sortino.R,
+ R/MSquared.R, R/MSquaredExcess.R, R/MartinRatio.R,
+ R/MeanAbsoluteDeviation.R, R/MultivariateMoments.R,
+ R/NetSelectivity.R, R/Omega.R, R/OmegaExcessReturn.R,
+ R/OmegaSharpeRatio.R, R/PainIndex.R, R/PainRatio.R,
+ R/PortfolioRisk.R, R/ProspectRatio.R, R/Return.Geltner.R,
+ R/Return.annualized.R, R/Return.calculate.R, R/Return.clean.R,
+ R/Return.cumulative.R, R/Return.excess.R, R/Return.index.R,
+ R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R,
+ R/Return.wealthindex.R, R/Selectivity.R, R/SemiDeviation.R,
+ R/SharpeRatio.R, R/SharpeRatio.annualized.R,
+ R/SkewnessKurtosisRatio.R, R/SmoothingIndex.R, R/SortinoRatio.R,
+ R/SpecificRisk.R, R/StdDev.R, R/StdDev.annualized.R,
+ R/SystematicRisk.R, R/TotalRisk.R, R/TrackingError.R,
+ R/TreynorRatio.R, R/UlcerIndex.R, R/UpDownRatios.R,
+ R/UpsideFrequency.R, R/UpsidePotentialRatio.R, R/UpsideRisk.R,
+ R/VaR.Marginal.R, R/VaR.R, R/VolatilitySkewness.R,
+ R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R,
+ R/chart.ACFplus.R, R/chart.Bar.R, R/chart.BarVaR.R,
+ R/chart.Boxplot.R, R/chart.CaptureRatios.R,
+ R/chart.Correlation.R, R/chart.CumReturns.R, R/chart.Drawdown.R,
+ R/chart.ECDF.R, R/chart.Events.R, R/chart.Histogram.R,
+ R/chart.QQPlot.R, R/chart.Regression.R,
+ R/chart.RelativePerformance.R, R/chart.RiskReturnScatter.R,
+ R/chart.RollingCorrelation.R, R/chart.RollingMean.R,
+ R/chart.RollingPerformance.R,
+ R/chart.RollingQuantileRegression.R, R/chart.RollingRegression.R,
+ R/chart.Scatter.R, R/chart.SnailTrail.R, R/chart.StackedBar.R,
+ R/chart.TimeSeries.R, R/chart.VaRSensitivity.R, R/charts.Bar.R,
+ R/charts.BarVaR.R, R/charts.PerformanceSummary.R,
+ R/charts.RollingPerformance.R, R/charts.RollingRegression.R,
+ R/charts.TimeSeries.R, R/checkData.R, R/decomposeMVaR.R,
+ R/findDrawdowns.R, R/kurtosis.R, R/legend.R, R/lpm.R[ADD],
+ R/maxDrawdown.R, R/mean.utils.R, R/na.skip.R, R/rCornishFisher.r,
+ R/replaceTabs.R, R/skewness.R, R/sortDrawdowns.R,
+ R/table.AnnualizedReturns.R, R/table.Arbitrary.R,
+ R/table.Autocorrelation.R, R/table.CAPM.R,
+ R/table.CalendarReturns.R, R/table.CaptureRatios.R,
+ R/table.Correlation.R, R/table.Distributions.R,
+ R/table.DownsideRisk.R, R/table.DownsideRiskRatio.R,
+ R/table.Drawdowns.R, R/table.DrawdownsRatio.R,
+ R/table.HigherMoments.R, R/table.InformationRatio.R,
+ R/table.MonthlyReturns.R, R/table.RollingPeriods.R,
+ R/table.SpecificRisk.R, R/table.UpDownRatios.R,
+ R/table.Variability.R, R/textplot.R, R/valueAtRiskFunctions.r,
+ R/zerofill.R, R/zzz.R,
+ sandbox/Shubhankit/noniid.sm/R/CDrawdown.R,
+ sandbox/Shubhankit/noniid.sm/R/GLMSmoothIndex.R,
+ sandbox/Shubhankit/noniid.sm/R/Return.GLM.R,
+ sandbox/Shubhankit/noniid.sm/R/Return.Okunev.R,
+ sandbox/Shubhankit/noniid.sm/R/chart.AcarSim.R,
+ sandbox/Shubhankit/noniid.sm/R/chart.Autocorrelation.R,
+ sandbox/Shubhankit/noniid.sm/R/na.skip.R,
+ sandbox/Shubhankit/noniid.sm/R/table.EMaxDDGBM.R,
+ sandbox/pulkit/R/EDDCOPS.R, sandbox/pulkit/R/Edd.R,
+ sandbox/pulkit/R/MinTRL.R, sandbox/pulkit/R/ProbSharpeRatio.R,
+ sandbox/pulkit/R/REDDCOPS.R, sandbox/pulkit/R/REM.R,
+ sandbox/pulkit/R/na.skip.R, sandbox/pulkit/R/redd.R: - update
+ copyright to 2014
+
+2014-01-06 peter_carl
+
+ * R/chart.Correlation.R: - now passing method into cor.test
+
+2014-01-03 matthieu_lestel
+
+ * R/MSquared.R: correction of a bug in the computation of MSquared
+
+2013-11-26 peter_carl
+
+ * NAMESPACE: - added AverageRecovery to namespace
+
+2013-11-26 matthieu_lestel
+
+ * R/DownsideDeviation.R: example with MAR at 0.5% instead of 50%
+ * R/MSquaredExcess.R: correction of a bug when risk free rate is
+ not null in MSquaredExcess computation
+
+2013-11-14 peter_carl
+
+ * DESCRIPTION: - bumped version to 1.1.2
+ * man/CAPM.epsilon.Rd, man/CDD.Rd, man/Return.annualized.excess.Rd,
+ man/SkewnessKurtosisRatio.Rd, man/StdDev.annualized.Rd,
+ man/centeredmoments.Rd, man/chart.ACF.Rd,
+ man/chart.TimeSeries.Rd, man/chart.VaRSensitivity.Rd,
+ man/legend.Rd, man/mean.geometric.Rd: - re-roxygenized help files
+ * R/Return.annualized.excess.R: - fixed typo
+ * R/Return.annualized.excess.R: - fixed example to use managers
+ dataset
+ * NAMESPACE: - added Return.annualized.excess
+ * NAMESPACE, sandbox/Shubhankit/noniid.sm/man/AcarSim.Rd[CPY]: -
+ added Modigliani function
+ * NAMESPACE: - added MarketTiming function
+ * NAMESPACE: - added CAPM.dynamic
+
+2013-10-30 peter_carl
+
+ * R/chart.TimeSeries.R: - repairs a bug in passing cex.lab and
+ cex.main into dots within title
+
+2013-10-19 peter_carl
+
+ * R/Return.portfolio.R: - fixed a bug in the calc of first period
+ of Return.portfolio
+
+2013-10-12 shubhanm
+
+ * sandbox/Shubhankit/Shubhankit.zip[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.Rnw,
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.pdf,
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-Managers.Rnw,
+ sandbox/Shubhankit/noniid.sm_0.1.tar.gz[DEL]: R CMD Clean Build,
+ removing one path script which lead to previous non-build fatal
+ error, deletion of 21 MB file zipped file [ deemed unnecessary]
+
+2013-10-08 shubhanm
+
+ * sandbox/Shubhankit/Shubhankit.zip[ADD]: Adding zipped version of
+ work done till present as submitted to Google Inc. Apologies for
+ prev message
+ * sandbox/Shubhankit/sandbox/vignettes/Managers.pdf[ADD]: Adding
+ zipped version of work done till present as submitted to Google
+ Inc.
+
+2013-10-03 peter_carl
+
+ * R/chart.RiskReturnScatter.R: - added no.readonly=TRUE to par
+ * R/chart.TimeSeries.R: - added correct las handling for axis
+ labels
+
+2013-09-26 peter_carl
+
+ * R/chart.VaRSensitivity.R: - added ylim to documentation
+ * R/chart.VaRSensitivity.R: - added ylim so that axis can be
+ adjusted
+
+2013-09-22 shubhanm
+
+ * sandbox/Shubhankit/noniid.sm_0.1.tar.gz[ADD],
+ sandbox/Shubhankit/noniid.sm_0.1.zip[ADD]: Binary and Source
+ Package
+ * sandbox/Shubhankit/noniid.sm/R/glmi.R,
+ sandbox/Shubhankit/noniid.sm/R/lmi.R,
+ sandbox/Shubhankit/noniid.sm/man/glmi.Rd,
+ sandbox/Shubhankit/noniid.sm/man/lmi.Rd,
+ sandbox/Shubhankit/noniid.sm/vignettes/ACFSTDEV.rnw[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/ConditionalDrawdown.Rnw[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.Rnw[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/GLMReturn.Rnw[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/GLMSmoothIndex.Rnw[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/LoSharpeRatio.Rnw[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid -
+ EmaxDDGBM.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid -
+ LoSharpeRatio.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid - UnSmooth Return
+ Analysis.pdf[DEL], sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
+ -ACFSTDEV.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid -Commodity Index
+ Fund Analysis.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
+ -ConditionalDrawdown.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
+ -GLMReturn.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
+ -GLMSmoothIndex.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
+ -NormCalmar-Sterling.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
+ -OkunevWhite.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
+ -ShaneAcarMaxLoss.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ACFSTDEV.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ACFSTDEV.rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ConditionalDrawdown.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ConditionalDrawdown.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMReturn.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMReturn.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMSmoothIndex.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMSmoothIndex.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-LoSharpeRatio.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-LoSharpeRatio.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-Managers.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-Managers.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-NormCalmar-Sterling.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-NormCalmar-Sterling.rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OWReturn.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OWReturn.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OkunevWhite.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OkunevWhite.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ShaneAcarMaxLoss.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ShaneAcarMaxLoss.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-UnSmoothReturnAnalysis.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-UnSmoothReturnAnalysis.pdf[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/NormCalmar.rnw[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/OWReturn.Rnw[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/OkunevWhite.Rnw[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/ShaneAcarMaxLoss.Rnw[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/UnSmoothReturnAnalysis.Rnw[DEL]:
+ final touches -
+ * sandbox/Shubhankit/noniid.sm/vignettes/ACFSTDEV.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/Commodity.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/CommodityReport.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/ConditionalDrawdown.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/GLMReturn.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/GLMSmoothIndex.pdf[DEL],
+ sandbox/Shubhankit/noniid.sm/vignettes/LoSharpeRatio.Rnw[ADD],
+ sandbox/Shubhankit/noniid.sm/vignettes/Managers.pdf[DEL],
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/returnanalytics -r 3526
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