R/futuretest.R

In Bjerring/BEWESO: BEWESO

futuretest <- function(prices,a.head,port1,data.length){
set.seed(111)
  data <- apply(prices,2,PriceToReturn)

  library(boot)
  if( is.vector(data) == FALSE && dim(data)[1]> data.length){
    data.tmp <- data[(dim(data)[1]-data.length):dim(data)[1],]
    data <- data.tmp
  }
  #Run tsboot on any series using the selected block size
  R <- 200      # scenario
  l <- 20        # block size
  #n.sim <- 52*5 # length of scenario path
  n.sim <- a.head
  # perform block bootstrapping
  bootstrap <- tsboot(data,mean,R=R,l=l, n.sim=n.sim,sim="fixed")
  ba <- boot.array(bootstrap)

  #Use index from bootstrap output to reconstruct multivariate time series
  port.scen <- array(0, dim=c(R,n.sim))
  for(i in 1:R){
    port.scen[i,] <- cumprod(apply(unlist(port1)*data[ba[i,],names(port1)],1,sum)+1)
  }
  #apply(unlist(port1) * data[ba[i,],names(port1)],1,sum)

  quantiles <- cbind(c(0,0,0,0,0),apply(port.scen,2,quantile,probs=c(.05,0.25,0.5,0.75,0.95))-1)*100
  #  out <- list()
  #  out[[1]] <- quantiles
  #  out[[2]] <- port.scen
  return(quantiles)

}