library(xts)
# Mock objects
data(edhec, package = "PerformanceAnalytics")
R_monthly <- edhec['199701/199704', 1:2]
equalweights_quarterly = xts(matrix(rep(0.5, 4), nrow=2), order.by=as.Date(c('1996-12-31', '1997-03-31')))
epsilon = 1e-10
# Test internal API: Does Return.portfolio.arithmetic rebalance via weights arg?
ret_ari <- PerformanceAnalytics:::Return.portfolio(R = R_monthly,
weights = equalweights_quarterly,
verbose = TRUE,
geometric=FALSE)
# Because weights is quarterly and R is monthly,
# we expect returned monthly BOP.Weights to float around
# based on returns in R and should observe max > min.
minwgt <- min(ret_ari$BOP.Weight)
maxwgt <- max(ret_ari$BOP.Weight)
expect_true(length(ret_ari$BOP.Weight) == 8) # 4 Monthly weights for 2 assets.
expect_true((maxwgt - minwgt) > epsilon) # Monthly BOP.Weights are floating.
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