[Uwgarp-commits] r100 - in pkg/GARPFRM: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Mar 5 06:15:59 CET 2014
Author: rossbennett34
Date: 2014-03-05 06:15:58 +0100 (Wed, 05 Mar 2014)
New Revision: 100
Added:
pkg/GARPFRM/man/chartSML.Rd
pkg/GARPFRM/man/countViolations.Rd
pkg/GARPFRM/man/plotEndingPrices.Rd
Modified:
pkg/GARPFRM/DESCRIPTION
pkg/GARPFRM/NAMESPACE
pkg/GARPFRM/R/EWMA.R
pkg/GARPFRM/man/CAPM.Rd
pkg/GARPFRM/man/EWMA.Rd
pkg/GARPFRM/man/backTestVaR.Rd
pkg/GARPFRM/man/endingPrices.Rd
pkg/GARPFRM/man/fcstGarch11.Rd
pkg/GARPFRM/man/garch11.Rd
pkg/GARPFRM/man/getAlphas.Rd
pkg/GARPFRM/man/getBetas.Rd
pkg/GARPFRM/man/getCor.Rd
pkg/GARPFRM/man/getCov.Rd
pkg/GARPFRM/man/getStatistics.Rd
pkg/GARPFRM/man/hypTest.Rd
pkg/GARPFRM/man/monteCarlo.Rd
Log:
updating documentation
Modified: pkg/GARPFRM/DESCRIPTION
===================================================================
--- pkg/GARPFRM/DESCRIPTION 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/DESCRIPTION 2014-03-05 05:15:58 UTC (rev 100)
@@ -13,3 +13,9 @@
Suggests:
quadprog
License: GPL
+Collate:
+ 'backTestVaR.R'
+ 'capm.R'
+ 'EWMA.R'
+ 'garch11.R'
+ 'monte_carlo.R'
Modified: pkg/GARPFRM/NAMESPACE
===================================================================
--- pkg/GARPFRM/NAMESPACE 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/NAMESPACE 2014-03-05 05:15:58 UTC (rev 100)
@@ -1,26 +1,9 @@
-S3method(countViolations,xts)
-S3method(fcstGarch11,DCCfit)
-S3method(getAlphas,capm_mlm)
-S3method(getAlphas,capm_uv)
-S3method(getBetas,capm_mlm)
-S3method(getBetas,capm_uv)
-S3method(getCor,EWMACor)
-S3method(getCov,EWMACovar)
-S3method(getCov,EWMAVar)
-S3method(getStatistics,capm_mlm)
-S3method(getStatistics,capm_uv)
-S3method(hypTest,capm_mlm)
-S3method(hypTest,capm_uv)
-S3method(plot,EWMACor)
-S3method(plot,EWMACovar)
-S3method(plot,EWMAVar)
-S3method(plot,capm_mlm)
-S3method(plot,capm_uv)
+export(backTestVaR)
export(CAPM)
-export(EWMA)
-export(backTestVaR)
export(chartSML)
export(countViolations)
+export(endingPrices)
+export(EWMA)
export(fcstGarch11)
export(garch11)
export(getAlphas)
@@ -29,3 +12,23 @@
export(getCov)
export(getStatistics)
export(hypTest)
+export(monteCarlo)
+export(plot.capm_mlm)
+export(plot.capm_uv)
+export(plot.corEWMA)
+export(plot.covEWMA)
+export(plot.varEWMA)
+export(plotEndingPrices)
+S3method(countViolations,xts)
+S3method(fcstGarch11,DCCfit)
+S3method(getAlphas,capm_mlm)
+S3method(getAlphas,capm_uv)
+S3method(getBetas,capm_mlm)
+S3method(getBetas,capm_uv)
+S3method(getCor,corEWMA)
+S3method(getCov,covEWMA)
+S3method(getCov,varEWMA)
+S3method(getStatistics,capm_mlm)
+S3method(getStatistics,capm_uv)
+S3method(hypTest,capm_mlm)
+S3method(hypTest,capm_uv)
Modified: pkg/GARPFRM/R/EWMA.R
===================================================================
--- pkg/GARPFRM/R/EWMA.R 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/R/EWMA.R 2014-03-05 05:15:58 UTC (rev 100)
@@ -58,7 +58,7 @@
#'
#' Extract the covariance between two assets from an EWMA object
#'
-#' @param EWMA an EWMA object created by \code{\link{EWMA}}
+#' @param EWMA an EWMA object created by \link{\code{EWMA}}
#' @param assets character vector or numeric vector. If
#' \code{assets} is of length 1, then the variance will be returned.
#' The assets can be specified by name or index.
@@ -109,9 +109,11 @@
#' EWMA Correlation
#'
-#' Extract the correlation of two assets from an EWMA object
+#' Extract the correlation of two assets from an \code{EWMA} object
#'
-#' @param object an EWMA object created by \code{\link{EWMA}}
+#' @param object an EWMA object created by \link{\code{EWMA}}
+#' @param assets character vector or numeric vector. The assets can be
+#' specified by name or index.
#' @export
getCor <- function(EWMA, assets){
UseMethod("getCor")
Modified: pkg/GARPFRM/man/CAPM.Rd
===================================================================
--- pkg/GARPFRM/man/CAPM.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/CAPM.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,7 +2,7 @@
\alias{CAPM}
\title{Capital Asset Pricing Model}
\usage{
-CAPM(R, Rmkt)
+ CAPM(R, Rmkt)
}
\arguments{
\item{R}{asset returns}
@@ -10,10 +10,10 @@
\item{Rmkt}{market returns}
}
\description{
-Description of CAPM Retrieves alphas, betas, as well as
-pvalue and tstats. The Model is used to determine a
-theoretically appropriate rate of return of an asset's
-non-diversifiable risk.
+ Description of CAPM Retrieves alphas, betas, as well as
+ pvalue and tstats. The Model is used to determine a
+ theoretically appropriate rate of return of an asset's
+ non-diversifiable risk.
}
\examples{
data(crsp.short)
Modified: pkg/GARPFRM/man/EWMA.Rd
===================================================================
--- pkg/GARPFRM/man/EWMA.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/EWMA.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,19 +2,22 @@
\alias{EWMA}
\title{Exponential Weighted Moving Average (EWMA)}
\usage{
-EWMA(R, lambda = 0.94, initialWindow = 10, cor = FALSE)
+ EWMA(R, lambda = 0.94, initialWindow = 10, cor = FALSE)
}
\arguments{
- \item{R}{}
+ \item{R}{asset returns}
- \item{lambda}{}
+ \item{lambda}{smoothing parameter, must be greater than 0
+ or less than 1}
- \item{initialWindow}{is the initializing window}
+ \item{initialWindow}{initial window of observations used
+ in estimating the initial covariance or correlation}
- \item{correlation}{option (cor by default = FALSE)}
+ \item{TRUE/FALSE}{to return a correlation matrix. Default
+ cor = FALSE.}
}
\description{
-Description of EWMA. The function handles UV and MLM
-objects and returns either cov/cor.
+ Use an exponentially weighted moving average to estimate
+ the covariance or correlation of asset returns.
}
Modified: pkg/GARPFRM/man/backTestVaR.Rd
===================================================================
--- pkg/GARPFRM/man/backTestVaR.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/backTestVaR.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,7 +2,7 @@
\alias{backTestVaR}
\title{Backtesting VaR (backTestVaR)}
\usage{
-backTestVaR(R, CI = 0.95)
+ backTestVaR(R, CI = 0.95)
}
\arguments{
\item{R}{returns}
@@ -10,7 +10,7 @@
\item{CI}{confidence level}
}
\description{
-Description of backTestVaR. The function should handle UV
-and MLM.
+ Description of backTestVaR. The function should handle UV
+ and MLM.
}
Added: pkg/GARPFRM/man/chartSML.Rd
===================================================================
--- pkg/GARPFRM/man/chartSML.Rd (rev 0)
+++ pkg/GARPFRM/man/chartSML.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -0,0 +1,17 @@
+\name{chartSML}
+\alias{chartSML}
+\title{CAPM SML}
+\usage{
+ chartSML(object)
+}
+\arguments{
+ \item{object}{a capm object created by
+ \code{\link{CAPM}}}
+}
+\description{
+ Description of CAPM Security Market Line (SML) SML is the
+ represesentation of the CAPM. It illustrates the expected
+ rate of return of an individual secuirty as a function of
+ systematic, non-diversified risk (known as beta).
+}
+
Added: pkg/GARPFRM/man/countViolations.Rd
===================================================================
--- pkg/GARPFRM/man/countViolations.Rd (rev 0)
+++ pkg/GARPFRM/man/countViolations.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -0,0 +1,20 @@
+\name{countViolations}
+\alias{countViolations}
+\title{Count backtesting VaR}
+\usage{
+ countViolations(object, temp, initialWindow, CI)
+}
+\arguments{
+ \item{backTestVaR}{object created by
+ \code{\link{backTestVaR}}}
+
+ \item{initialWindow}{}
+
+ \item{CI}{}
+
+ \item{temp}{}
+}
+\description{
+ Description of countBacktesting VaR
+}
+
Modified: pkg/GARPFRM/man/endingPrices.Rd
===================================================================
--- pkg/GARPFRM/man/endingPrices.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/endingPrices.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,9 +2,17 @@
\alias{endingPrices}
\title{Ending Prices of Monte Carlo Simulation}
\usage{
-endingPrices(mc)
+ endingPrices(mc)
}
+\arguments{
+ \item{mc}{monte carlo object created with
+ \link{\code{monteCarlo}}}
+}
+\value{
+ vector ending prices
+}
\description{
-Ending Prices of Monte Carlo Simulation
+ Get the ending prices, i.e. terminal values, of a monte
+ carlo simulation
}
Modified: pkg/GARPFRM/man/fcstGarch11.Rd
===================================================================
--- pkg/GARPFRM/man/fcstGarch11.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/fcstGarch11.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,7 +2,7 @@
\alias{fcstGarch11}
\title{Forecast GARCH(1,1)}
\usage{
-fcstGarch11(object, window)
+ fcstGarch11(object, window)
}
\arguments{
\item{garch11}{object created by
@@ -12,6 +12,6 @@
window = 100)}
}
\description{
-Description of forecast GARCH(1,1)
+ Description of forecast GARCH(1,1)
}
Modified: pkg/GARPFRM/man/garch11.Rd
===================================================================
--- pkg/GARPFRM/man/garch11.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/garch11.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,7 +2,7 @@
\alias{garch11}
\title{GARCH(1,1)}
\usage{
-garch11(R, model = "sGARCH", distribution.model = "norm")
+ garch11(R, model = "sGARCH", distribution.model = "norm")
}
\arguments{
\item{R}{GARCH(1,1)}
@@ -20,6 +20,6 @@
“jsu” for Johnson's SU distribution.}
}
\description{
-Description of GARCH(1,1)
+ Description of GARCH(1,1)
}
Modified: pkg/GARPFRM/man/getAlphas.Rd
===================================================================
--- pkg/GARPFRM/man/getAlphas.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/getAlphas.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,14 +2,14 @@
\alias{getAlphas}
\title{CAPM alphas}
\usage{
-getAlphas(object)
+ getAlphas(object)
}
\arguments{
\item{object}{a capm object created by
\code{\link{CAPM}}}
}
\description{
-Description of CAPM alphas: retrieves alpha (intercept)
-from CAPM object.
+ Description of CAPM alphas: retrieves alpha (intercept)
+ from CAPM object.
}
Modified: pkg/GARPFRM/man/getBetas.Rd
===================================================================
--- pkg/GARPFRM/man/getBetas.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/getBetas.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,14 +2,14 @@
\alias{getBetas}
\title{CAPM betas}
\usage{
-getBetas(object)
+ getBetas(object)
}
\arguments{
\item{object}{a capm object created by
\code{\link{CAPM}}}
}
\description{
-Description of CAPM betas: retrieves beta (slope) from CAPM
-object.
+ Description of CAPM betas: retrieves beta (slope) from
+ CAPM object.
}
Modified: pkg/GARPFRM/man/getCor.Rd
===================================================================
--- pkg/GARPFRM/man/getCor.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/getCor.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,13 +2,17 @@
\alias{getCor}
\title{EWMA Correlation}
\usage{
-getCor(object, asset1, asset2)
+ getCor(EWMA, assets)
}
\arguments{
- \item{object}{a EWMA object created by
- \code{\link{EWMA}}}
+ \item{object}{an EWMA object created by
+ \link{\code{EWMA}}}
+
+ \item{assets}{character vector or numeric vector. The
+ assets can be specified by name or index.}
}
\description{
-Description of EWMA Correlation, requires two assets
+ Extract the correlation of two assets from an \code{EWMA}
+ object
}
Modified: pkg/GARPFRM/man/getCov.Rd
===================================================================
--- pkg/GARPFRM/man/getCov.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/getCov.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -1,14 +1,18 @@
\name{getCov}
\alias{getCov}
-\title{EWMA Volatility/Cross-Volatility}
+\title{EWMA Covariance}
\usage{
-getCov(object, asset1, asset2)
+ getCov(EWMA, assets)
}
\arguments{
- \item{object}{a EWMA object created by
- \code{\link{EWMA}}}
+ \item{EWMA}{an EWMA object created by \link{\code{EWMA}}}
+
+ \item{assets}{character vector or numeric vector. If
+ \code{assets} is of length 1, then the variance will be
+ returned. The assets can be specified by name or index.}
}
\description{
-Description of EWMA Vola
+ Extract the covariance between two assets from an EWMA
+ object
}
Modified: pkg/GARPFRM/man/getStatistics.Rd
===================================================================
--- pkg/GARPFRM/man/getStatistics.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/getStatistics.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,14 +2,14 @@
\alias{getStatistics}
\title{CAPM statistics}
\usage{
-getStatistics(object)
+ getStatistics(object)
}
\arguments{
\item{object}{a capm object created by
\code{\link{CAPM}}}
}
\description{
-Description of CAPM statistics: retrieves standard error,
-t-values, and p-values
+ Description of CAPM statistics: retrieves standard error,
+ t-values, and p-values
}
Modified: pkg/GARPFRM/man/hypTest.Rd
===================================================================
--- pkg/GARPFRM/man/hypTest.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/hypTest.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,15 +2,15 @@
\alias{hypTest}
\title{CAPM hypTest}
\usage{
-hypTest(object, CI)
+ hypTest(object, CI)
}
\arguments{
\item{object}{a capm object created by
\code{\link{CAPM}}}
}
\description{
-Description of CAPM beta/alpha hypothesis test
-Generalization is termed a two-sided or two-tailed test.
-Returns a true (reject) or false (fail to reject).
+ Description of CAPM beta/alpha hypothesis test
+ Generalization is termed a two-sided or two-tailed test.
+ Returns a true (reject) or false (fail to reject).
}
Modified: pkg/GARPFRM/man/monteCarlo.Rd
===================================================================
--- pkg/GARPFRM/man/monteCarlo.Rd 2014-03-05 03:23:09 UTC (rev 99)
+++ pkg/GARPFRM/man/monteCarlo.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -2,8 +2,8 @@
\alias{monteCarlo}
\title{Monte Carlo Price Path Simulation}
\usage{
-monteCarlo(mu, sigma, N = 100, Time = 1, steps = 52,
- starting_value = 100, log = TRUE)
+ monteCarlo(mu, sigma, N = 100, Time = 1, steps = 52,
+ starting_value = 100, log = TRUE)
}
\arguments{
\item{mu}{annualized expected return}
@@ -16,16 +16,30 @@
\item{steps}{number of time steps}
- \item{starting_value}{price to start at}
+ \item{starting_value}{asset price starting value}
- \item{log}{TRUE/FALSE (default = TRUE) simulate ln(P)
+ \item{log}{TRUE/FALSE (default = TRUE) simulate ln(S)
rather than S; where S is the price of the asset.}
}
\value{
-matrix of Monte Carlo simulated price paths
+ matrix of simulated price paths where each column
+ represents a price path
}
\description{
-Description for Monte Carlo. Geometric brownian motion. mu
-and sigma are assumed constant
+ Run \code{N} monte carlo simulations to generate asset
+ price paths following a geometric brownian motion
+ process.
}
+\details{
+ TODO: add equations for GBM
+}
+\note{
+ This function returns a m x N matrix of simulated price
+ paths where m is the number of steps + 1 and N is the
+ number of simulations. This can be very memory and
+ compute intensive with a large number of steps and/or a
+ large number of simulations. More efficient methods in
+ terms of speed and memory should be used, for example, to
+ price options.
+}
Added: pkg/GARPFRM/man/plotEndingPrices.Rd
===================================================================
--- pkg/GARPFRM/man/plotEndingPrices.Rd (rev 0)
+++ pkg/GARPFRM/man/plotEndingPrices.Rd 2014-03-05 05:15:58 UTC (rev 100)
@@ -0,0 +1,14 @@
+\name{plotEndingPrices}
+\alias{plotEndingPrices}
+\title{Plot Ending Prices}
+\usage{
+ plotEndingPrices(mc)
+}
+\arguments{
+ \item{mc}{monte carlo object created with
+ \link{\code{monteCarlo}}}
+}
+\description{
+ Plot the ending prices from a Monte Carlo simulation
+}
+
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