[Uwgarp-commits] r183 - pkg/GARPFRM/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Jun 11 17:26:10 CEST 2014
Author: rossbennett34
Date: 2014-06-11 17:26:10 +0200 (Wed, 11 Jun 2014)
New Revision: 183
Removed:
pkg/GARPFRM/man/PCA.Rd
pkg/GARPFRM/man/backTestVaR.Rd
pkg/GARPFRM/man/bondConvexity.Rd
pkg/GARPFRM/man/bondDuration.Rd
pkg/GARPFRM/man/bondFullPrice.Rd
pkg/GARPFRM/man/bondPrice.Rd
pkg/GARPFRM/man/bondSpec.Rd
pkg/GARPFRM/man/bondYTM.Rd
pkg/GARPFRM/man/compoundingRate.Rd
pkg/GARPFRM/man/discountFactor.Rd
pkg/GARPFRM/man/getLoadings.Rd
pkg/GARPFRM/man/getWeights.Rd
pkg/GARPFRM/man/is.bond.Rd
pkg/GARPFRM/man/linearHedge.Rd
pkg/GARPFRM/man/plot.PCA.Rd
pkg/GARPFRM/man/ytmSolve.Rd
Modified:
pkg/GARPFRM/man/CAPM.Rd
pkg/GARPFRM/man/EWMA.Rd
pkg/GARPFRM/man/backtestVaR.GARCH.Rd
pkg/GARPFRM/man/bootCor.Rd
pkg/GARPFRM/man/bootCov.Rd
pkg/GARPFRM/man/bootES.Rd
pkg/GARPFRM/man/bootFUN.Rd
pkg/GARPFRM/man/bootMean.Rd
pkg/GARPFRM/man/bootSD.Rd
pkg/GARPFRM/man/bootSimpleVolatility.Rd
pkg/GARPFRM/man/bootStdDev.Rd
pkg/GARPFRM/man/bootVaR.Rd
pkg/GARPFRM/man/chartSML.Rd
pkg/GARPFRM/man/efficientFrontier.Rd
pkg/GARPFRM/man/efficientFrontierTwoAsset.Rd
pkg/GARPFRM/man/endingPrices.Rd
pkg/GARPFRM/man/estimateLambdaCor.Rd
pkg/GARPFRM/man/estimateLambdaCov.Rd
pkg/GARPFRM/man/estimateLambdaVol.Rd
pkg/GARPFRM/man/forecast.Rd
pkg/GARPFRM/man/forecast.uvEWMAvol.Rd
pkg/GARPFRM/man/forecast.uvGARCH.Rd
pkg/GARPFRM/man/getAlphas.Rd
pkg/GARPFRM/man/getBetas.Rd
pkg/GARPFRM/man/getCor.Rd
pkg/GARPFRM/man/getCov.Rd
pkg/GARPFRM/man/getEstimate.Rd
pkg/GARPFRM/man/getFit.Rd
pkg/GARPFRM/man/getSpec.Rd
pkg/GARPFRM/man/getStatistics.Rd
pkg/GARPFRM/man/getVaREstimates.Rd
pkg/GARPFRM/man/getVaRViolations.Rd
pkg/GARPFRM/man/hypTest.Rd
pkg/GARPFRM/man/minVarPortfolio.Rd
pkg/GARPFRM/man/monteCarlo.Rd
pkg/GARPFRM/man/plot.EWMA.Rd
pkg/GARPFRM/man/plot.backtestVaR.Rd
pkg/GARPFRM/man/plot.capm_mlm.Rd
pkg/GARPFRM/man/plot.capm_uv.Rd
pkg/GARPFRM/man/plot.efTwoAsset.Rd
pkg/GARPFRM/man/plot.efficient.frontier.Rd
pkg/GARPFRM/man/plot.uvGARCH.Rd
pkg/GARPFRM/man/plotEndingPrices.Rd
pkg/GARPFRM/man/portReturnTwoAsset.Rd
pkg/GARPFRM/man/portSDTwoAsset.Rd
pkg/GARPFRM/man/realizedCor.Rd
pkg/GARPFRM/man/realizedCov.Rd
pkg/GARPFRM/man/realizedVol.Rd
pkg/GARPFRM/man/rollCor.Rd
pkg/GARPFRM/man/rollCov.Rd
pkg/GARPFRM/man/rollSD.Rd
pkg/GARPFRM/man/rollSimpleVolatility.Rd
pkg/GARPFRM/man/simpleVolatility.Rd
pkg/GARPFRM/man/tangentPortfolio.Rd
pkg/GARPFRM/man/uvGARCH.Rd
Log:
cleaning up man files to resolve conflicts
Modified: pkg/GARPFRM/man/CAPM.Rd
===================================================================
--- pkg/GARPFRM/man/CAPM.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/CAPM.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{CAPM}
\alias{CAPM}
\title{Capital Asset Pricing Model}
@@ -5,18 +6,17 @@
CAPM(R, Rmkt)
}
\arguments{
- \item{R}{asset returns}
+\item{R}{asset returns}
- \item{Rmkt}{market returns}
+\item{Rmkt}{market returns}
}
\description{
-CAPM describes the relationship between risk and (expected)
-return
+CAPM describes the relationship between risk and (expected) return
}
\details{
-Retrieves alphas, betas, as well as pvalue and tstats. The
-CAPM is used to determine a theoretically appropriate rate
-of return of the non-diversifiable risk of an asset.
+Retrieves alphas, betas, as well as pvalue and tstats.
+The CAPM is used to determine a theoretically appropriate rate of return
+of the non-diversifiable risk of an asset.
}
\examples{
data(crsp.short)
Modified: pkg/GARPFRM/man/EWMA.Rd
===================================================================
--- pkg/GARPFRM/man/EWMA.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/EWMA.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{EWMA}
\alias{EWMA}
\title{EWMA Model}
@@ -6,38 +7,34 @@
type = c("volatility", "covariance", "correlation"))
}
\arguments{
- \item{R}{xts object of asset returns}
+\item{R}{xts object of asset returns}
- \item{lambda}{smoothing parameter, must be greater than 0
- or less than 1. If NULL, lambda will be estimated by
- minimizing the mean squared error between the estimated
- value and the realized value.}
+\item{lambda}{smoothing parameter, must be greater than 0 or less than 1. If
+NULL, lambda will be estimated by minimizing the mean squared error
+between the estimated value and the realized value.}
- \item{initialWindow}{initial window of observations used
- in estimating the initial conditions}
+\item{initialWindow}{initial window of observations used in estimating the
+initial conditions}
- \item{n}{number of periods used to calculate realized
- volatility, covariance, or correlation.}
+\item{n}{number of periods used to calculate realized volatility, covariance, or correlation.}
- \item{type}{estimate volatility, covariance, or
- correlation.}
+\item{type}{estimate volatility, covariance, or correlation.}
}
\value{
-an EWMA object with the following elements \itemize{ \item
-\code{estimate} EWMA model estimated statistic \item
-\code{model} list with model parameters \item \code{data}
-list with original returns data and realized statistic if
-applicable }
+an EWMA object with the following elements
+\itemize{
+ \item \code{estimate} EWMA model estimated statistic
+ \item \code{model} list with model parameters
+ \item \code{data} list with original returns data and realized statistic if applicable
}
+}
\description{
-EWMA model to estimate volatility, covariance, and
-correlation
+EWMA model to estimate volatility, covariance, and correlation
}
\details{
-If lambda=NULL, the lambda value can be estimated for
-univariate estimates of volatility, covariance, and
-correlation by minimizing the mean squared error between
-the estimated value and realized value.
+If lambda=NULL, the lambda value can be estimated for univariate estimates
+of volatility, covariance, and correlation by minimizing the mean
+squared error between the estimated value and realized value.
}
\examples{
# data and parameters for EWMA estimate
Deleted: pkg/GARPFRM/man/PCA.Rd
===================================================================
--- pkg/GARPFRM/man/PCA.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/PCA.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,23 +0,0 @@
-\name{PCA}
-\alias{PCA}
-\title{Estimate PCA loadings and creat PCA object}
-\usage{
-PCA(data, nfactors, rotate = "none")
-}
-\arguments{
- \item{data}{time series data}
-
- \item{nfactors}{number of components to extract}
-
- \item{rotate}{"none", "varimax", "quatimax", "promax",
- "oblimin", "simplimax", and "cluster" are possible
- rotations/transformations of the solution.}
-}
-\value{
-pca object loadings
-}
-\description{
-This function estimates the delta for hedging a particular
-bond given bond data
-}
-
Deleted: pkg/GARPFRM/man/backTestVaR.Rd
===================================================================
--- pkg/GARPFRM/man/backTestVaR.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/backTestVaR.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,52 +0,0 @@
-\name{backtestVaR}
-\alias{backtestVaR}
-\title{Backtest Value-at-Risk (VaR)}
-\usage{
-backtestVaR(R, window = 100, p = 0.95, method = "historical",
- bootstrap = FALSE, replications = 1000, bootParallel = FALSE)
-}
-\arguments{
- \item{R}{xts or zoo object of asset returns}
-
- \item{window}{size of the moving window in the rolling
- VaR estimate.}
-
- \item{p}{confidence level for the VaR estimate.}
-
- \item{method}{method for the VaR calculation. Valid
- choices are "modified", "guassian", "historical", and
- "kernel"}
-
- \item{bootstrap}{TRUE/FALSE use the bootstrap estimate
- for the VaR calculation, (default FALSE).}
-
- \item{replications}{number of bootstrap replications.}
-
- \item{bootParallel}{TRUE/FALSE run the bootstrap in
- parallel, (default FALSE).}
-}
-\description{
-Backtesting Value-at-Risk estimate over a moving window.
-}
-\details{
-The size of the moving window is set with the \code{window}
-argument. For example, if the window size is 100, periods
-1:100 are used to estimate the VaR level for period 101.
-}
-\examples{
-data(crsp_weekly)
-R <- largecap_weekly[, 1]
-backtest <- backtestVaR(R, window=100, p=0.95, method=c("gaussian", "historical", "modified"))
-backtest
-
-head(getVaREstimates(backtest))
-head(getVaRViolations(backtest))
-}
-\author{
-Ross Bennett
-}
-\seealso{
-\code{\link[PerformanceAnalytics]{VaR}},
-\code{\link{bootVaR}}
-}
-
Modified: pkg/GARPFRM/man/backtestVaR.GARCH.Rd
===================================================================
--- pkg/GARPFRM/man/backtestVaR.GARCH.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/backtestVaR.GARCH.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{backtestVaR.GARCH}
\alias{backtestVaR.GARCH}
\title{GARCH Model VaR Backtest}
@@ -6,22 +7,18 @@
window = 100)
}
\arguments{
- \item{garch}{uvGARCH object create via
- \code{\link{uvGARCH}}}
+\item{garch}{uvGARCH object create via \code{\link{uvGARCH}}}
- \item{p}{confidence level for the VaR estimate.}
+\item{p}{confidence level for the VaR estimate.}
- \item{nAhead}{number of steps ahead to forecast. (nAhead
- = 1 only supported)}
+\item{nAhead}{number of steps ahead to forecast. (nAhead = 1 only supported)}
- \item{refitEvery}{number of periods the mode is refit}
+\item{refitEvery}{number of periods the mode is refit}
- \item{window}{size of the moving window in the rolling
- VaR estimate.}
+\item{window}{size of the moving window in the rolling VaR estimate.}
}
\description{
-Function for rolling estimate of GARCH model and VaR
-backtest
+Function for rolling estimate of GARCH model and VaR backtest
}
\author{
Ross Bennett
Deleted: pkg/GARPFRM/man/bondConvexity.Rd
===================================================================
--- pkg/GARPFRM/man/bondConvexity.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bondConvexity.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,20 +0,0 @@
-\name{bondConvexity}
-\alias{bondConvexity}
-\title{Calculate the convexity of a fixed rate coupon bond}
-\usage{
-bondConvexity(bond, discountCurve)
-}
-\arguments{
- \item{bond}{a \code{bond} object in
- discountFactorArbitrage}
-
- \item{discountCurve}{vector of discount rates}
-}
-\value{
-convexity of the bond
-}
-\description{
-This function estimates the convexity of a fixed rate
-coupon bond given the discount curve and bond data.
-}
-
Deleted: pkg/GARPFRM/man/bondDuration.Rd
===================================================================
--- pkg/GARPFRM/man/bondDuration.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bondDuration.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,24 +0,0 @@
-\name{bondDuration}
-\alias{bondDuration}
-\title{Calculate the modified duration of a bond}
-\usage{
-bondDuration(bond, discountCurve, percentChangeYield = 0)
-}
-\arguments{
- \item{bond}{a \code{bond} object in
- discountFactorArbitrage}
-
- \item{discountCurve}{vector of discount rates}
-
- \item{percentChangeYield}{optional elasticity measure}
-}
-\value{
-duration of the bond
-}
-\description{
-The function estimates modified duration of a fixed rate
-coupon bond given the discount curve and bond data. The
-modified duration is calculated using the continuously
-compounded yield
-}
-
Deleted: pkg/GARPFRM/man/bondFullPrice.Rd
===================================================================
--- pkg/GARPFRM/man/bondFullPrice.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bondFullPrice.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,31 +0,0 @@
-\name{bondFullPrice}
-\alias{bondFullPrice}
-\title{Estimate price of bond w/ acrrued interest}
-\usage{
-bondFullPrice(bond, yield, cashFlowPd, t0, t1, currentDate)
-}
-\arguments{
- \item{bond}{is a bondSpec object}
-
- \item{yield}{is the yield on the bond}
-
- \item{cashFlowPd}{cash flow period}
-
- \item{t0}{previous coupon date}
-
- \item{t1}{next coupon period}
-
- \item{currentDate}{current date}
-}
-\value{
-price of the bond: clean, dirty and accrued interest
-}
-\description{
-This function calculates the price of a fixed rate coupon
-bond given coupon rate, yield, compoundPd, cashFlowPd, face
-value, previous coupon date, next coupon date.
-}
-\author{
-TF
-}
-
Deleted: pkg/GARPFRM/man/bondPrice.Rd
===================================================================
--- pkg/GARPFRM/man/bondPrice.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bondPrice.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,23 +0,0 @@
-\name{bondPrice}
-\alias{bondPrice}
-\title{Estimate price of bond}
-\usage{
-bondPrice(bond, discountCurve)
-}
-\arguments{
- \item{bond}{a \code{discountFactorArbitrage} object}
-
- \item{discountCurve}{vector of discount rates}
-}
-\value{
-price of the bond
-}
-\description{
-This function calculates the price of a fixed rate coupon
-bond given the discount curve and bond data. First it
-converts the discountCurve into CF
-}
-\author{
-TF
-}
-
Deleted: pkg/GARPFRM/man/bondSpec.Rd
===================================================================
--- pkg/GARPFRM/man/bondSpec.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bondSpec.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,28 +0,0 @@
-\name{bondSpec}
-\alias{bondSpec}
-\title{Constructor for bond specification}
-\usage{
-bondSpec(time = seq(from = 0.5, to = 2, by = 0.5), face = 100, m = 2,
- couponRate = 0.01)
-}
-\arguments{
- \item{time}{vector of sequence of coupon payments in
- years}
-
- \item{face}{face value of bond}
-
- \item{m}{compounding frequency}
-
- \item{couponRate}{rate the coupon pays}
-}
-\value{
-a \code{bond} object with the bond data used for pricing
-}
-\description{
-Created a bond object \code{bond.spec} with data for bond
-specification.
-}
-\author{
-TF
-}
-
Deleted: pkg/GARPFRM/man/bondYTM.Rd
===================================================================
--- pkg/GARPFRM/man/bondYTM.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bondYTM.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,19 +0,0 @@
-\name{bondYTM}
-\alias{bondYTM}
-\title{Calculate the yield to maturity of a bond}
-\usage{
-bondYTM(bond, discountCurve)
-}
-\arguments{
- \item{bond}{a \code{bond} object}
-
- \item{discountCurve}{vector of discount rates}
-}
-\value{
-yield to maturity of the bond
-}
-\description{
-This function calculates the yield to maturity of a fixed
-rate coupon bond given the discount curve and bond data.
-}
-
Modified: pkg/GARPFRM/man/bootCor.Rd
===================================================================
--- pkg/GARPFRM/man/bootCor.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bootCor.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootCor}
\alias{bootCor}
\title{Bootstrap Correlation}
@@ -5,16 +6,14 @@
bootCor(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[stats]{cor}}}
+\item{\dots}{passthrough parameters to \code{\link[stats]{cor}}}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
}
\description{
-Bootstrap the correlation of an xts object or matrix of
-asset returns
+Bootstrap the correlation of an xts object or matrix of asset returns
}
\examples{
data(crsp_weekly)
Modified: pkg/GARPFRM/man/bootCov.Rd
===================================================================
--- pkg/GARPFRM/man/bootCov.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bootCov.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootCov}
\alias{bootCov}
\title{Bootstrap Covariance}
@@ -5,16 +6,14 @@
bootCov(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[stats]{cov}}}
+\item{\dots}{passthrough parameters to \code{\link[stats]{cov}}}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
}
\description{
-Bootstrap the covariance of an xts object or matrix of
-asset returns
+Bootstrap the covariance of an xts object or matrix of asset returns
}
\examples{
data(crsp_weekly)
Modified: pkg/GARPFRM/man/bootES.Rd
===================================================================
--- pkg/GARPFRM/man/bootES.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bootES.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootES}
\alias{bootES}
\title{Bootstrap Expected Shortfall}
@@ -5,16 +6,14 @@
bootES(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[PerformanceAnalytics]{ES}}}
+\item{\dots}{passthrough parameters to \code{\link[PerformanceAnalytics]{ES}}}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
}
\description{
-Bootstrap the Expected Shortfall (ES) of an xts object or
-matrix of asset returns
+Bootstrap the Expected Shortfall (ES) of an xts object or matrix of asset returns
}
\examples{
data(crsp_weekly)
Modified: pkg/GARPFRM/man/bootFUN.Rd
===================================================================
--- pkg/GARPFRM/man/bootFUN.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bootFUN.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootFUN}
\alias{bootFUN}
\title{Bootstrap}
@@ -5,37 +6,32 @@
bootFUN(R, FUN = "mean", ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of data passed to
- \code{FUN}.}
+\item{R}{xts object or matrix of data passed to \code{FUN}.}
- \item{FUN}{the function to be applied.}
+\item{FUN}{the function to be applied.}
- \item{\dots}{optional arguments to \code{FUN}.}
+\item{\dots}{optional arguments to \code{FUN}.}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
}
\description{
Bootstrap a function
}
\details{
-\code{R} is the data passed to \code{FUN}. \code{FUN} must
-have \code{x} or \code{R} as arguments for the data. For
-example, see the functions linked to in the 'See Also'
-section. Care must be taken when using \code{bootFUN} on
-multivariate data. This function is designed to only accept
-univariate (i.e. ncol(R) = 1) data, however is made to work
-with bivariate data for \code{bootCor} and \code{bootCov}.
-For multivariate data, a wrapper function should be written
-to apply the bootstrap function to each column of data.
+\code{R} is the data passed to \code{FUN}. \code{FUN} must have \code{x} or
+\code{R} as arguments for the data. For example, see the functions linked to
+in the 'See Also' section. Care must be taken when using \code{bootFUN} on
+multivariate data. This function is designed to only accept univariate
+(i.e. ncol(R) = 1) data, however is made to work with bivariate data for
+\code{bootCor} and \code{bootCov}. For multivariate data, a wrapper function
+should be written to apply the bootstrap function to each column of data.
}
\author{
Ross Bennett
}
\seealso{
-\code{\link{bootMean}}, \code{\link{bootSD}},
-\code{\link{bootStdDev}},
-\code{\link{bootSimpleVolatility}}, \code{\link{bootCor}},
-\code{\link{bootCov}}, \code{\link{bootVaR}},
-\code{\link{bootES}}
+\code{\link{bootMean}}, \code{\link{bootSD}}, \code{\link{bootStdDev}},
+\code{\link{bootSimpleVolatility}}, \code{\link{bootCor}}, \code{\link{bootCov}},
+\code{\link{bootVaR}}, \code{\link{bootES}}
}
Modified: pkg/GARPFRM/man/bootMean.Rd
===================================================================
--- pkg/GARPFRM/man/bootMean.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bootMean.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootMean}
\alias{bootMean}
\title{Bootstrap Mean}
@@ -5,16 +6,14 @@
bootMean(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[base]{mean}}}
+\item{\dots}{passthrough parameters to \code{\link[base]{mean}}}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
}
\description{
-Bootstrap the mean of an xts object or matrix of asset
-returns
+Bootstrap the mean of an xts object or matrix of asset returns
}
\examples{
data(crsp_weekly)
Modified: pkg/GARPFRM/man/bootSD.Rd
===================================================================
--- pkg/GARPFRM/man/bootSD.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bootSD.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootSD}
\alias{bootSD}
\title{Bootstrap Standard Deviation}
@@ -5,16 +6,14 @@
bootSD(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[stats]{sd}}}
+\item{\dots}{passthrough parameters to \code{\link[stats]{sd}}}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
}
\description{
-Bootstrap the standard deviation of an xts object or matrix
-of asset returns
+Bootstrap the standard deviation of an xts object or matrix of asset returns
}
\examples{
data(crsp_weekly)
Modified: pkg/GARPFRM/man/bootSimpleVolatility.Rd
===================================================================
--- pkg/GARPFRM/man/bootSimpleVolatility.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bootSimpleVolatility.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootSimpleVolatility}
\alias{bootSimpleVolatility}
\title{Bootstrap Simple Volatility}
@@ -5,16 +6,14 @@
bootSimpleVolatility(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link{simpleVolatility}}}
+\item{\dots}{passthrough parameters to \code{\link{simpleVolatility}}}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
}
\description{
-Bootstrap the simple volatility of an xts object or matrix
-of asset returns
+Bootstrap the simple volatility of an xts object or matrix of asset returns
}
\examples{
data(crsp_weekly)
Modified: pkg/GARPFRM/man/bootStdDev.Rd
===================================================================
--- pkg/GARPFRM/man/bootStdDev.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bootStdDev.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootStdDev}
\alias{bootStdDev}
\title{Bootstrap StdDev}
@@ -5,16 +6,14 @@
bootStdDev(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[PerformanceAnalytics]{StdDev}}}
+\item{\dots}{passthrough parameters to \code{\link[PerformanceAnalytics]{StdDev}}}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
}
\description{
-Bootstrap the StdDev of an xts object or matrix of asset
-returns
+Bootstrap the StdDev of an xts object or matrix of asset returns
}
\examples{
data(crsp_weekly)
Modified: pkg/GARPFRM/man/bootVaR.Rd
===================================================================
--- pkg/GARPFRM/man/bootVaR.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/bootVaR.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{bootVaR}
\alias{bootVaR}
\title{Bootstrap Value at Risk}
@@ -5,16 +6,14 @@
bootVaR(R, ..., replications = 1000)
}
\arguments{
- \item{R}{xts object or matrix of asset returns}
+\item{R}{xts object or matrix of asset returns}
- \item{\dots}{passthrough parameters to
- \code{\link[PerformanceAnalytics]{VaR}}}
+\item{\dots}{passthrough parameters to \code{\link[PerformanceAnalytics]{VaR}}}
- \item{replications}{number of bootstrap replications.}
+\item{replications}{number of bootstrap replications.}
}
\description{
-Bootstrap the Value at Risk (VaR) of an xts object or
-matrix of asset returns
+Bootstrap the Value at Risk (VaR) of an xts object or matrix of asset returns
}
\examples{
data(crsp_weekly)
Modified: pkg/GARPFRM/man/chartSML.Rd
===================================================================
--- pkg/GARPFRM/man/chartSML.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/chartSML.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{chartSML}
\alias{chartSML}
\title{CAPM SML}
@@ -5,19 +6,17 @@
chartSML(object, ..., main = "Estimated SML")
}
\arguments{
- \item{object}{a capm object created by
- \code{\link{CAPM}}.}
+\item{object}{a capm object created by \code{\link{CAPM}}.}
- \item{\dots}{passthrough parameters to
- \code{\link{plot}}.}
+\item{\dots}{passthrough parameters to \code{\link{plot}}.}
- \item{main}{a main title for the plot.}
+\item{main}{a main title for the plot.}
}
\description{
-Security Market Line (SML) of the CAPM. The SML is a
-represesentation of the CAPM. It illustrates the expected
-rate of return of an individual security as a function of
-systematic, non-diversified risk (known as beta).
+Security Market Line (SML) of the CAPM.
+The SML is a represesentation of the CAPM. It illustrates the expected rate
+of return of an individual security as a function of systematic,
+non-diversified risk (known as beta).
}
\author{
Thomas Fillebeen
Deleted: pkg/GARPFRM/man/compoundingRate.Rd
===================================================================
--- pkg/GARPFRM/man/compoundingRate.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/compoundingRate.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,29 +0,0 @@
-\name{compoundingRate}
-\alias{compoundingRate}
-\title{Estimate continuously conpounding rate to be used in term structure}
-\usage{
-compoundingRate(dat, initialDate = as.Date("1995-05-15"), m, face = 100)
-}
-\arguments{
- \item{dat}{is a dataset with cusip, issueDate,
- MaturityDate, Name, Coupon, Bid/Ask}
-
- \item{intialDate}{is the date when the estimation should
- be conducted: date of reference}
-
- \item{m}{compounding frequency}
-
- \item{face}{face value}
-}
-\value{
-continuously compounding rates
-}
-\description{
-This function calculates the continuously compounding rate
-given an initial dataset with specific format, date of
-reference coumpounding frequency, and face value
-}
-\author{
-TF
-}
-
Deleted: pkg/GARPFRM/man/discountFactor.Rd
===================================================================
--- pkg/GARPFRM/man/discountFactor.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/discountFactor.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,22 +0,0 @@
-\name{discountFactor}
-\alias{discountFactor}
-\title{Estimate discountFactor}
-\usage{
-discountFactor(price, cashFlow)
-}
-\arguments{
- \item{bond}{a \code{discountFactorArbitrage} object}
-
- \item{price}{of a bond}
-}
-\value{
-cashFlow of a bond
-}
-\description{
-This function calculates the discountFactor (DF) given
-price and cashFlows.
-}
-\author{
-TF
-}
-
Modified: pkg/GARPFRM/man/efficientFrontier.Rd
===================================================================
--- pkg/GARPFRM/man/efficientFrontier.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/efficientFrontier.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{efficientFrontier}
\alias{efficientFrontier}
\title{Efficient Frontier}
@@ -6,30 +7,27 @@
groupList = NULL, groupMin = NULL, groupMax = NULL)
}
\arguments{
- \item{R}{xts object of asset returns}
+\item{R}{xts object of asset returns}
- \item{nPortfolios}{number of portfolios to generate along
- efficient frontier}
+\item{nPortfolios}{number of portfolios to generate along efficient frontier}
- \item{minBox}{box constraint minimum}
+\item{minBox}{box constraint minimum}
- \item{maxBox}{box constraint maximum}
+\item{maxBox}{box constraint maximum}
- \item{groupList}{list specifying asset groups}
+\item{groupList}{list specifying asset groups}
- \item{groupMin}{group constraint minimum}
+\item{groupMin}{group constraint minimum}
- \item{groupMax}{group constraint maximum}
+\item{groupMax}{group constraint maximum}
}
\description{
Generate portfolios along an efficient frontier.
}
\details{
-This is a wrapper function for code in PortfolioAnalytics
-to initialize a portfolio and create an efficint frontier
-in mean - standard deviation space. Box constraints and
-group constraints are supported for constrained
-optimization to generate portfolios along the efficient
-frontier.
+This is a wrapper function for code in PortfolioAnalytics to initialize a
+portfolio and create an efficint frontier in mean - standard deviation space.
+Box constraints and group constraints are supported for constrained
+optimization to generate portfolios along the efficient frontier.
}
Modified: pkg/GARPFRM/man/efficientFrontierTwoAsset.Rd
===================================================================
--- pkg/GARPFRM/man/efficientFrontierTwoAsset.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/efficientFrontierTwoAsset.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{efficientFrontierTwoAsset}
\alias{efficientFrontierTwoAsset}
\title{Efficient Frontier for Portfolio of Two Assets}
@@ -6,38 +7,32 @@
rf = 0, allowShorting = FALSE, weights = NULL)
}
\arguments{
- \item{R1}{expected return for asset 1}
+\item{R1}{expected return for asset 1}
- \item{R2}{expected return for asset 2}
+\item{R2}{expected return for asset 2}
- \item{sigma1}{standard deviation for asset 1}
+\item{sigma1}{standard deviation for asset 1}
- \item{sigma2}{standard deviation for asset 2}
+\item{sigma2}{standard deviation for asset 2}
- \item{rho}{correlation coefficient between asset 1 and
- asset 2}
+\item{rho}{correlation coefficient between asset 1 and asset 2}
- \item{nPortfolios}{number of portfolios to generate along
- efficient frontier}
+\item{nPortfolios}{number of portfolios to generate along efficient frontier}
- \item{rf}{risk free rate}
+\item{rf}{risk free rate}
- \item{allowShorting}{TRUE/FALSE to allow short sales}
+\item{allowShorting}{TRUE/FALSE to allow short sales}
- \item{weights}{vector of weights for fraction of asset 1
- used to generate the efficient frontier. If the
- \code{weights} argument is specified, the
- \code{nPortfolios} and \code{allowShorting} arguments are
- ignored.}
+\item{weights}{vector of weights for fraction of asset 1 used to generate
+the efficient frontier. If the \code{weights} argument is specified, the
+\code{nPortfolios} and \code{allowShorting} arguments are ignored.}
}
\description{
-Create an efficient frontier for a portfolio of two risky
-assets
+Create an efficient frontier for a portfolio of two risky assets
}
\details{
-This is a specialized function to generate points along the
-efficient frontier for a portfolio of two assets following
-the equations presented in Chapter 3: Delineating Efficient
-Portfolios.
+This is a specialized function to generate points along the efficient
+frontier for a portfolio of two assets following the equations presented in
+Chapter 3: Delineating Efficient Portfolios.
}
Modified: pkg/GARPFRM/man/endingPrices.Rd
===================================================================
--- pkg/GARPFRM/man/endingPrices.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/endingPrices.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{endingPrices}
\alias{endingPrices}
\title{Ending Prices of Monte Carlo Simulation}
@@ -5,15 +6,13 @@
endingPrices(mc)
}
\arguments{
- \item{mc}{monte carlo object created with
- \code{monteCarlo}}
+\item{mc}{monte carlo object created with \code{monteCarlo}}
}
\value{
vector ending prices
}
\description{
-Get the ending prices, i.e. terminal values, of a monte
-carlo simulation
+Get the ending prices, i.e. terminal values, of a monte carlo simulation
}
\examples{
library(GARPFRM)
Modified: pkg/GARPFRM/man/estimateLambdaCor.Rd
===================================================================
--- pkg/GARPFRM/man/estimateLambdaCor.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/estimateLambdaCor.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{estimateLambdaCor}
\alias{estimateLambdaCor}
\title{Estimated Lambda}
@@ -5,21 +6,19 @@
estimateLambdaCor(R, initialWindow = 10, n = 10)
}
\arguments{
- \item{R}{xts object of asset returns}
+\item{R}{xts object of asset returns}
- \item{initialWindow}{initial window of observations used
- in estimating the initial}
+\item{initialWindow}{initial window of observations used in estimating the
+initial}
- \item{n}{number of periods used to calculate realized
- correlation}
+\item{n}{number of periods used to calculate realized correlation}
}
\description{
Estimate lambda for EWMA correlation estimate
}
\details{
-The optimal value for lambda is calcualted by minimizing
-the mean squared error between the estimated correlation
-and realized correlation.
+The optimal value for lambda is calcualted by minimizing the mean squared
+error between the estimated correlation and realized correlation.
}
\examples{
data(crsp_weekly)
Modified: pkg/GARPFRM/man/estimateLambdaCov.Rd
===================================================================
--- pkg/GARPFRM/man/estimateLambdaCov.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/estimateLambdaCov.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{estimateLambdaCov}
\alias{estimateLambdaCov}
\title{Estimated Lambda}
@@ -5,21 +6,19 @@
estimateLambdaCov(R, initialWindow = 10, n = 10)
}
\arguments{
- \item{R}{xts object of asset returns}
+\item{R}{xts object of asset returns}
- \item{initialWindow}{initial window of observations used
- in estimating the initial}
+\item{initialWindow}{initial window of observations used in estimating the
+initial}
- \item{n}{number of periods used to calculate realized
- covariance}
+\item{n}{number of periods used to calculate realized covariance}
}
\description{
Estimate lambda for EWMA covariance estimate
}
\details{
-The optimal value for lambda is calcualted by minimizing
-the mean squared error between the estimated covariance and
-realized covariance.
+The optimal value for lambda is calcualted by minimizing the mean squared
+error between the estimated covariance and realized covariance.
}
\examples{
data(crsp_weekly)
Modified: pkg/GARPFRM/man/estimateLambdaVol.Rd
===================================================================
--- pkg/GARPFRM/man/estimateLambdaVol.Rd 2014-06-11 13:40:59 UTC (rev 182)
+++ pkg/GARPFRM/man/estimateLambdaVol.Rd 2014-06-11 15:26:10 UTC (rev 183)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{estimateLambdaVol}
\alias{estimateLambdaVol}
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/uwgarp -r 183
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