[Uwgarp-commits] r158 - in pkg/GARPFRM: . R demo man vignettes
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Apr 1 03:34:38 CEST 2014
Author: rossbennett34
Date: 2014-04-01 03:34:26 +0200 (Tue, 01 Apr 2014)
New Revision: 158
Modified:
pkg/GARPFRM/R/EWMA.R
pkg/GARPFRM/README
pkg/GARPFRM/demo/00Index
pkg/GARPFRM/man/GARP_FRM-package.Rd
pkg/GARPFRM/man/getEstimate.Rd
pkg/GARPFRM/man/hypTest.Rd
pkg/GARPFRM/vignettes/CAPM_TF.Rnw
Log:
minor updates to docs to pass R CMD check with no warnings
Modified: pkg/GARPFRM/R/EWMA.R
===================================================================
--- pkg/GARPFRM/R/EWMA.R 2014-03-31 04:10:35 UTC (rev 157)
+++ pkg/GARPFRM/R/EWMA.R 2014-04-01 01:34:26 UTC (rev 158)
@@ -814,8 +814,8 @@
#'
#' Get the estimated values from the model
#'
-#' @param object fitted model (currently only EWMA)
-#' @param /dots passthrough parameters (not currently used)
+#' @param model fitted model (currently only EWMA)
+#' @param \dots passthrough parameters (not currently used)
#' @return model estimate
#' @author Ross Bennett
#' @export
@@ -825,12 +825,12 @@
#' @method getEstimate EWMA
#' @S3method getEstimate EWMA
-getEstimate.EWMA <- function(object, ...){
- object$estimate
+getEstimate.EWMA <- function(model, ...){
+ model$estimate
}
#' @method getEstimate mvEWMAvol
#' @S3method getEstimate mvEWMAvol
-getEstimate.mvEWMAvol <- function(object, ...){
- do.call(cbind, lapply(object, FUN=function(x) x$estimate))
-}
\ No newline at end of file
+getEstimate.mvEWMAvol <- function(model, ...){
+ do.call(cbind, lapply(model, FUN=function(x) x$estimate))
+}
Modified: pkg/GARPFRM/README
===================================================================
--- pkg/GARPFRM/README 2014-03-31 04:10:35 UTC (rev 157)
+++ pkg/GARPFRM/README 2014-04-01 01:34:26 UTC (rev 158)
@@ -1,4 +1,3 @@
-This is the package for the Global Association of Risk Professionals: Financial Risk Manager. Collaborative project between the University of Washington Computational Finance & Risk Management Program and the Global Association of Risk Professionals to develop R packages that facilitate the learning of risk management concepts.
-
-We will be using roxygen2 to generate documentation files.
-Starting the performance analytics piece
+The purpose of this package is to implement the concepts and methods presented in the Global Association of Risk Professionals (GARP) Financial Risk Manager (FRM) Part I series of books. Developing the GARPFRM package is a collaborative project between the University of Washington Computational Finance & Risk Management Program and the Global Association of Risk Professionals to develop R packages that facilitate the learning of risk management concepts.
+
+We will be using roxygen2 to generate documentation files.
Modified: pkg/GARPFRM/demo/00Index
===================================================================
--- pkg/GARPFRM/demo/00Index 2014-03-31 04:10:35 UTC (rev 157)
+++ pkg/GARPFRM/demo/00Index 2014-04-01 01:34:26 UTC (rev 158)
@@ -1,7 +1,7 @@
-bootstrap demonstrates using bootstrap method to estimate various statistics.
-demo_CAPM demonstrate Capital Asset Pricing Model functions.
-demo_EWMA_GARCH11 demonstrate exponentially weighted moving average and GARCH models.
-EWMA demonstrate exponentially weighted moving average model.
-monte_carlo demonstrate monte carlo method to simulate asset price paths.
-univariate_GARCH demonstrate fitting a GARCH model to a univariate data set.
-backtest_VaR demonstrate Value at Risk backtesting.
+backtest_VaR demonstrate backtesting a Value at Risk model
+bootstrap demonstrate applying the bootstrap method to various statistics
+demo_CAPM demonstrate Capital Asset Pricing Model
+demo_EWMA_GARCH11 demonstrate fitting EWMA and GARCH models
+EWMA demonstrate fitting an EWMA model to estimate volatility, covariance, and correlation for univariate and multivariate time series of returns
+monte_carlo demonstrate running a Monte Carlo simulation to simulate asset price paths
+univariate_GARCH demonstrate fitting a GARCH model to estimate and forecast volatility for a univariate time series of returns
Modified: pkg/GARPFRM/man/GARP_FRM-package.Rd
===================================================================
--- pkg/GARPFRM/man/GARP_FRM-package.Rd 2014-03-31 04:10:35 UTC (rev 157)
+++ pkg/GARPFRM/man/GARP_FRM-package.Rd 2014-04-01 01:34:26 UTC (rev 158)
@@ -6,7 +6,7 @@
Functions to implement the topics presented in 'Financial Risk Manager (FRM) Part 1' (2012) series of books.
}
\description{
-This package provides a framework to implement the topics and ideas presented in 'Financial Risk Manager (FRM) Part 1: Quantitative Analysis' (2012) and 'Financial Risk Manager (FRM) Part 1: Foundations of Risk Management' (2012)
+This package provides a framework to implement the topics and ideas presented in 'Financial Risk Manager (FRM) Part 1: Quantitative Analysis' (2012) and 'Financial Risk Manager (FRM) Part 1: Foundations of Risk Management' (2012).
}
\details{
@@ -18,9 +18,13 @@
License: \tab What license is it under?\cr
}
-The \code{GARPFRM} package provides a framework to implement the topics presented in the Financial Risk Manager (FRM) Part 1 books. The user should be able to follow along in the books and using the \code{GARPFRM} package and supporting packages.
+The purpose of this package is to implement the concepts and methods presented in the Global Association of Risk Professionals (GARP) Financial Risk Manager (FRM) Part I series of books. Developing the \code{GARPFRM} package is a collaborative project between the University of Washington Computational Finance & Risk Management Program and the Global Association of Risk Professionals to develop R packages that facilitate the learning of risk management concepts. The \code{GARPFRM} package provides a framework to implement the topics presented in the Financial Risk Manager (FRM) Part 1 books. The user should be able to follow along in the books and using the \code{GARPFRM} package and supporting packages.
-The current version of the package covers the majority of chapters in 'Financial Risk Manager (FRM) Part 1: Quantitative Analysis' (2012) and 'Financial Risk Manager (FRM) Part 1: Foundations of Risk Management' (2012). Due to the nature of econometrics involcing time series data, nearly all functions in this package require data as an \code{xts} object and \verb{GARPFRM} uses the \code{\link[xts]{xts}} package for working with time series data.
+TODO: Add stuff about GARP
+
+TODO: Add stuff about UW-CF&RM
+
+The current version of the package covers the majority of chapters in 'Financial Risk Manager (FRM) Part 1: Quantitative Analysis' (2012) and 'Financial Risk Manager (FRM) Part 1: Foundations of Risk Management' (2012). Due to the nature of econometrics involving time series data, nearly all functions in this package require data as an \code{xts} object and \verb{GARPFRM} uses the \code{\link[xts]{xts}} package for working with time series data.
\itemize{
\item Delineating Efficient Portfolios
Modified: pkg/GARPFRM/man/getEstimate.Rd
===================================================================
--- pkg/GARPFRM/man/getEstimate.Rd 2014-03-31 04:10:35 UTC (rev 157)
+++ pkg/GARPFRM/man/getEstimate.Rd 2014-04-01 01:34:26 UTC (rev 158)
@@ -5,9 +5,9 @@
getEstimate(model, ...)
}
\arguments{
- \item{object}{fitted model (currently only EWMA)}
+ \item{model}{fitted model (currently only EWMA)}
- \item{/dots}{passthrough parameters (not currently used)}
+ \item{\dots}{passthrough parameters (not currently used)}
}
\value{
model estimate
Modified: pkg/GARPFRM/man/hypTest.Rd
===================================================================
--- pkg/GARPFRM/man/hypTest.Rd 2014-03-31 04:10:35 UTC (rev 157)
+++ pkg/GARPFRM/man/hypTest.Rd 2014-04-01 01:34:26 UTC (rev 158)
@@ -2,13 +2,13 @@
\alias{hypTest}
\title{CAPM Hypothesis Test}
\usage{
- hypTest(object, CI)
+ hypTest(object, significanceLevel)
}
\arguments{
\item{object}{a capm object created by
\code{\link{CAPM}}}
- \item{CI}{confidence level}
+ \item{significanceLevel}{confidence level}
}
\value{
TRUE if the null hypothesis is rejected (i.e. the
@@ -25,16 +25,16 @@
#' The t-statistic and corresponding two-sided p-value
are calculated differently for the alpha and beta
- coefficients. \itemize{ \item{alpha}{ the t-statistic and
+ coefficients \itemize{ \item{alpha}{ the t-statistic and
corresponding p-value are calculated to test if alpha is
significantly different from 0. \deqn{ H0: \alpha = 0 }
} \item{beta}{ the t-statistic and corresponding p-value
are calculated to test if beta is significantly different
from 1. \deqn{ H0: \beta = 1 } } }
- If the p-value is less than the specified confidence
+ If the p-value is less than the coefficients confidence
level, the null hypothesis is rejected meaning that the
- coefficient is significant. If the p-value is greater
+ coefficients is significant. If the p-value is greater
than the specified confidence level, the null hypothesis
cannot be rejected.
}
Modified: pkg/GARPFRM/vignettes/CAPM_TF.Rnw
===================================================================
--- pkg/GARPFRM/vignettes/CAPM_TF.Rnw 2014-03-31 04:10:35 UTC (rev 157)
+++ pkg/GARPFRM/vignettes/CAPM_TF.Rnw 2014-04-01 01:34:26 UTC (rev 158)
@@ -25,6 +25,8 @@
\usepackage{lmodern}
\usepackage[T1]{fontenc}
+%\VignetteIndexEntry{Capital Asset Pricing Model}
+
\begin{document}
\title{CAPM Fitting and Testing}
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