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# 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 Description. 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:
# portfolioData Returns an object of class fPFOLIODATA
################################################################################
portfolioData <-
function(data, spec=portfolioSpec())
{
# A function implemented by Rmetrics
# Description:
# Creates portfolio data list
# Arguments:
# data - a multivariate 'timeSeries' object
# spec - a portfolio specification structure, from which
# the mean and covariance type of estimator will be extracted
# Details:
# The first argument can be either:
# 1) an object of class "fPFOLIODATA"
# 2) an object of class "timeSeries"
# 3) a "list: with portfolio mean and covariance
# FUNCTION:
# Data, if we have already an object of class "fPFOLIODATA":
if (is(data, "fPFOLIODATA")) return(data)
# Data, if we have a "timeSeries" or a "list":
if (inherits(data,"timeSeries")) {
series = data = sort(data)
assetsNames = colnames(data)
} else if (inherits(data,"list")) {
series = rep(NA, times = length(data[[1]]))
assetsNames = names(series) = names(data[[1]])
}
nAssets = length(assetsNames)
names = assetsNames
if(is.null(names)) names = paste("A", 1:nAssets, sep = "")
.data = list(
series = series,
nAssets = nAssets,
names = assetsNames)
# Statistics:
if (inherits(data,"timeSeries")) {
estimator = getEstimator(spec)
estimatorFun = match.fun(estimator)
muSigma = estimatorFun(data, spec)
Cov = cov(data)
rownames(Cov) <- colnames(Cov) <- names
.statistics = list(
mean = colMeans(data),
Cov = Cov,
estimator = estimator,
mu = muSigma$mu,
Sigma = muSigma$Sigma)
} else if (inherits(data,"list")) {
.statistics = list(
mean = data[[1]],
Cov = data[[2]],
estimator = NA,
mu = data[[1]],
Sigma = data[[2]])
}
# Tail Risk:
.tailRisk = spec@model$tailRisk
# Return Value:
new("fPFOLIODATA",
data = .data,
statistics = .statistics,
tailRisk = .tailRisk)
}
################################################################################
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