[Uwgarp-commits] r138 - pkg/GARPFRM/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Mar 27 05:06:46 CET 2014
Author: rossbennett34
Date: 2014-03-27 05:06:42 +0100 (Thu, 27 Mar 2014)
New Revision: 138
Removed:
pkg/GARPFRM/man/capm.tstats.Rd
pkg/GARPFRM/man/countViolations.Rd
pkg/GARPFRM/man/fGarch11.Rd
pkg/GARPFRM/man/fcstGarch11.DCCfit.Rd
pkg/GARPFRM/man/fcstGarch11.Rd
pkg/GARPFRM/man/getVar.Rd
pkg/GARPFRM/man/plot.capm_mv.Rd
pkg/GARPFRM/man/uvEWMAcor.Rd
pkg/GARPFRM/man/uvEWMAcov.Rd
pkg/GARPFRM/man/uvEWMAvol.Rd
Modified:
pkg/GARPFRM/man/GARP_FRM-package.Rd
Log:
Cleaning up documentation
Modified: pkg/GARPFRM/man/GARP_FRM-package.Rd
===================================================================
--- pkg/GARPFRM/man/GARP_FRM-package.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/GARP_FRM-package.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,41 +1,57 @@
-\name{GARP_FRM-package}
-\alias{GARP_FRM-package}
-\alias{GARP_FRM}
+\name{GARPFRM-package}
+\alias{GARPFRM-package}
+\alias{GARPFRM}
\docType{package}
\title{
-What the package does (short line)
-~~ package title ~~
+Functions to implement the topics presented in 'Financial Risk Manager (FRM) Part 1' (2012) series of books.
}
\description{
-More about what it does (maybe more than one line)
-~~ A concise (1-5 lines) description of the package ~~
+TODO: Better 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)
}
+
\details{
\tabular{ll}{
-Package: \tab GARP_FRM\cr
+Package: \tab GARPFRM\cr
Type: \tab Package\cr
-Version: \tab 1.0\cr
+Version: \tab 0.1.0\cr
Date: \tab 2013-11-17\cr
License: \tab What license is it under?\cr
}
-~~ An overview of how to use the package, including the most important functions ~~
+
+An overview of how to use the package, including the most important functions.
+Discuss each section, borrowing text from vignettes. Also make sure that each area of functions is covered.
+\itemize{
+ \item Delineating Efficient Frontier
+ \item CAPM
+ \item Performance Measures
+ \item Monte Carlo
+ \item Bootstrap
+ \item EWMA
+ \item GARCH
+ \item VaR
}
+
+}
\author{
-Who wrote it
+Ross Bennett and Thomas Fillebeen
-Maintainer: Who to complain to <yourfault at somewhere.net>
-~~ The author and/or maintainer of the package ~~
+Maintainer: Thomas Fillebeen <tdf17 at uw.edu>
}
\references{
-~~ Literature or other references for background information ~~
+TODO: Add references
+rugarch
+PerformanceAnalytics
+xts
+GARP books
}
-~~ Optionally other standard keywords, one per line, from file KEYWORDS in the R ~~
-~~ documentation directory ~~
+GARP,
+FRM
\keyword{ package }
\seealso{
-~~ Optional links to other man pages, e.g. ~~
-~~ \code{\link[<pkg>:<pkg>-package]{<pkg>}} ~~
+% Optional links to other man pages, e.g.
+% \code{\link[<pkg>:<pkg>-package]{<pkg>}}
}
\examples{
-~~ simple examples of the most important functions ~~
+% simple examples of the most important functions
}
Deleted: pkg/GARPFRM/man/capm.tstats.Rd
===================================================================
--- pkg/GARPFRM/man/capm.tstats.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/capm.tstats.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,18 +0,0 @@
-\name{capm.tstats}
-\alias{capm.tstats}
-\title{CAPM Function}
-\usage{
- capm.tstats(rf, mkrt)
-}
-\arguments{
- \item{rf}{risk-free rate}
-
- \item{mkrt}{}
-}
-\value{
- this is what the function returns
-}
-\description{
- Description for CAPM
-}
-
Deleted: pkg/GARPFRM/man/countViolations.Rd
===================================================================
--- pkg/GARPFRM/man/countViolations.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/countViolations.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,20 +0,0 @@
-\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
-}
-
Deleted: pkg/GARPFRM/man/fGarch11.Rd
===================================================================
--- pkg/GARPFRM/man/fGarch11.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/fGarch11.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,14 +0,0 @@
-\name{fGarch11}
-\alias{fGarch11}
-\title{Forecast GARCH(1,1)}
-\usage{
-fGarch11(object, window)
-}
-\arguments{
- \item{object}{a garch11 object created by
- \code{\link{GARCH(1,1)}}}
-}
-\description{
-Description of forecast GARCH(1,1)
-}
-
Deleted: pkg/GARPFRM/man/fcstGarch11.DCCfit.Rd
===================================================================
--- pkg/GARPFRM/man/fcstGarch11.DCCfit.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/fcstGarch11.DCCfit.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,26 +0,0 @@
-\name{fcstGarch11.DCCfit}
-\alias{fcstGarch11.DCCfit}
-\title{#Forecast GARCH(1,1)
-#
-#Description of forecast GARCH(1,1)
-#
-#}
-\usage{
-\method{fcstGarch11}{Dccfit #}(object, window = 100)
-}
-\arguments{
- \item{garch11}{object created by \code{\link{GARCH(1,1)}}
- #}
-
- \item{window}{is the forecast window (default is set to
- window = 100) #}
-
- \item{object}{garch11}
-
- \item{window}{}
-}
-\description{
-#Forecast GARCH(1,1) # #Description of forecast GARCH(1,1)
-# #
-}
-
Deleted: pkg/GARPFRM/man/fcstGarch11.Rd
===================================================================
--- pkg/GARPFRM/man/fcstGarch11.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/fcstGarch11.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,17 +0,0 @@
-\name{fcstGarch11}
-\alias{fcstGarch11}
-\title{Forecast GARCH(1,1)}
-\usage{
- fcstGarch11(object, window)
-}
-\arguments{
- \item{garch11}{object created by
- \code{\link{GARCH(1,1)}}}
-
- \item{window}{is the forecast window (default is set to
- window = 100)}
-}
-\description{
- Description of forecast GARCH(1,1)
-}
-
Deleted: pkg/GARPFRM/man/getVar.Rd
===================================================================
--- pkg/GARPFRM/man/getVar.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/getVar.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,17 +0,0 @@
-\name{getVar}
-\alias{getVar}
-\title{EWMA Variance}
-\usage{
- getVar(EWMA, assets)
-}
-\arguments{
- \item{object}{an EWMA object created by \code{EWMA}}
-
- \item{assets}{character vector or numeric vector. The
- assets can be specified by name or index.}
-}
-\description{
- Extract the Variance of an asset from an \code{EWMA}
- object
-}
-
Deleted: pkg/GARPFRM/man/plot.capm_mv.Rd
===================================================================
--- pkg/GARPFRM/man/plot.capm_mv.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/plot.capm_mv.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,10 +0,0 @@
-\name{plot.capm_mv}
-\alias{plot.capm_mv}
-\title{#}
-\usage{
- plot.capm_mv(object)
-}
-\description{
- #
-}
-
Deleted: pkg/GARPFRM/man/uvEWMAcor.Rd
===================================================================
--- pkg/GARPFRM/man/uvEWMAcor.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/uvEWMAcor.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,19 +0,0 @@
-\name{uvEWMAcor}
-\alias{uvEWMAcor}
-\title{EWMA Correlation Estimate}
-\usage{
- uvEWMAcor(R, lambda = 0.94, initialWindow = 10)
-}
-\arguments{
- \item{R}{xts object of asset returns}
-
- \item{lambda}{smoothing parameter, must be greater than 0
- or less than 1}
-
- \item{initialWindow}{initial window of observations used
- in estimating the initial conditions}
-}
-\description{
- EWMA model to estimate correlation
-}
-
Deleted: pkg/GARPFRM/man/uvEWMAcov.Rd
===================================================================
--- pkg/GARPFRM/man/uvEWMAcov.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/uvEWMAcov.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,19 +0,0 @@
-\name{uvEWMAcov}
-\alias{uvEWMAcov}
-\title{EWMA Covariance Estimate}
-\usage{
- uvEWMAcov(R, lambda = 0.94, initialWindow = 10)
-}
-\arguments{
- \item{R}{xts object asset returns}
-
- \item{lambda}{smoothing parameter, must be greater than 0
- or less than 1}
-
- \item{initialWindow}{initial window of observations used
- in estimating the initial conditions}
-}
-\description{
- EWMA model to estimate covariance
-}
-
Deleted: pkg/GARPFRM/man/uvEWMAvol.Rd
===================================================================
--- pkg/GARPFRM/man/uvEWMAvol.Rd 2014-03-27 00:02:18 UTC (rev 137)
+++ pkg/GARPFRM/man/uvEWMAvol.Rd 2014-03-27 04:06:42 UTC (rev 138)
@@ -1,19 +0,0 @@
-\name{uvEWMAvol}
-\alias{uvEWMAvol}
-\title{EWMA Volatility Estimate}
-\usage{
- uvEWMAvol(R, lambda = 0.94, initialWindow = 10)
-}
-\arguments{
- \item{R}{xts object of asset returns}
-
- \item{lambda}{smoothing parameter, must be greater than 0
- or less than 1}
-
- \item{initialWindow}{initial window of observations used
- in estimating the initial conditions}
-}
-\description{
- EWMA model to estimate volatility
-}
-
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