R/plot-seriesPlot.R

In fBasics: Rmetrics - Markets and Basic Statistics

# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 
# GNU Library General Public License for more details.
#
# You should have received A copy of the GNU Library General 
# Public License along with this library; if not, write to the 
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston, 
# MA  02111-1307  USA


################################################################################
# FUNCTION:                DESCRIPTION:     
#  seriesPlot               Dispalys a time Series Plot           
#  cumulatedPlot            Displays a cumulated series given the returns
#  returnPlot               Displays returns given the cumulated series
#  drawdownPlot             Displays drawdown series from returns
################################################################################


seriesPlot <- 
function(x, labels = TRUE, type = "l", col = "steelblue", 
    title = TRUE, grid = TRUE, box = TRUE, rug = TRUE, ...) 

{   
    # A function implemented by Diethelm Wuertz
    
    # Description:
    #   Dispalys a time Series Plot  
  
    # Arguments:
    #   x - an uni- or multivariate return series of class 'timeSeries' 
    #       or any other object which can be transformed by the function
    #       'as.timeSeries()' into an object of class 'timeSeries'.
    
    # FUNCTION:
 
    # timeSeries:
    stopifnot(is.timeSeries(x))
    N = NCOL(x)
    Units = colnames(x)
    if (length(col) == 1) col = rep(col, times = N)
     
    # Series Plots:
    for (i in 1:N) {
        X = x[, i] 
        plot(x = X, type = type, col = col[i], ann = FALSE, ...)
        
        # Add Title:
        if (title) {
            title(main = Units[i], xlab = "Time", ylab = "Value") 
        } else {
            title(...)
        } 
        
        # Add Grid: 
        if(grid) grid()
        
        # Add Box: 
        if(box) box()
        
        # Add Rugs:
        if(rug) rug(as.vector(X), ticksize = 0.01, side = 2, quiet = TRUE)
    }
    
    # Return Value:
    invisible()
}


# ------------------------------------------------------------------------------


cumulatedPlot <-  
function(x, index = 100, labels = TRUE, type = "l", col = "steelblue", 
    title = TRUE, grid = TRUE, box = TRUE, rug = TRUE, ...) 
{   
    # A function implemented by Diethelm Wuertz
    
    # Description:
    #   Displays a cumulated series given the returns
    
    # FUNCTION:

    # timeSeries:
    stopifnot(is.timeSeries(x))
    x = index * exp(colCumsums(x))
    seriesPlot(x, labels = labels, type = type, col = col, 
        title = title, grid = grid, box = box, rug = rug, ...) 
         
    # Return Value:
    invisible()
}


# ------------------------------------------------------------------------------


returnPlot <-  
function(x, labels = TRUE, type = "l", col = "steelblue", 
    title = TRUE, grid = TRUE, box = TRUE, rug = TRUE, ...) 
{   
    # A function implemented by Diethelm Wuertz
    
    # Description:
    #   Displays returns given the cumulated series
    
    # FUNCTION:

    # timeSeries:
    stopifnot(is.timeSeries(x))
    x = returns(x, ...)
    seriesPlot(x, labels = labels, type = type, col = col, 
        title = title, grid = grid, box = box, rug = rug, ...) 
         
    # Return Value:
    invisible()
}


# ------------------------------------------------------------------------------


drawdownPlot <-  
function(x, labels = TRUE, type = "l", col = "steelblue", 
    title = TRUE, grid = TRUE, box = TRUE, rug = TRUE, ...) 
{   
    # A function implemented by Diethelm Wuertz
    
    # Description:
    #   Displays drawdowns given the return series
    
    # FUNCTION:

    # timeSeries:
    stopifnot(is.timeSeries(x))
    x = drawdowns(x, ...)
    seriesPlot(x, labels = labels, type = type, col = col, 
        title = title, grid = grid, box = box, rug = rug, ...) 
         
    # Return Value:
    invisible()
}


################################################################################