sandbox/R/table.RollingStyle.R

In R-Finance/FactorAnalytics: factor analysis

table.RollingStyle <-
function (R.fund, R.style, method = c("constrained","unconstrained","normalized"), leverage = FALSE, width = 12, ...)
{ # @author Peter Carl

    # DESCRIPTION:
    # A wrapper to create a chart of relative returns through time

    # R-Squared could deliver adjusted R-Squared if we wanted

    # FUNCTION:

    # Transform input data to a data frame
    R.fund = checkData(R.fund[,1,drop=FALSE])
    R.style = checkData(R.style)

    method = method[1]

    # Get dimensions and labels
    columns.fund = ncol(R.fund)
    columns.style = ncol(R.style)
    columnnames.fund = colnames(R.fund)
    columnnames.style = colnames(R.style)


    # Calculate
    merged.assets = na.omit(merge(R.fund, R.style))

    result = xts:::rollapply.xts(merged.assets, FUN= function(x, method, leverage) {t(style.fit(R.fund = x[,1,drop=FALSE], R.style = x[,-1,drop=FALSE], method = method, leverage = leverage)$weights)}, width = width, method = method, leverage = leverage, by = 1, by.column = FALSE, na.pad = FALSE, align = "right")

    colnames(result) = columnnames.style
    return(result)
}

###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2007 Peter Carl and Brian G. Peterson
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id: chart.RollingStyle.R 1684 2010-04-28 03:24:19Z peter_carl $
#
###############################################################################
# $Log: not supported by cvs2svn $
# Revision 1.4  2009-10-15 21:50:19  brian
# - updates to add automatic periodicity to chart labels, and support different frequency data
#
# Revision 1.3  2008-07-11 03:22:01  peter
# - removed unnecessary function attributes
#
# Revision 1.2  2008-04-18 03:59:52  peter
# - added na.omit to avoid problems with missing data
#
# Revision 1.1  2008/02/23 05:55:21  peter
# - chart demonstrating fund exposures through time
#
#
###############################################################################