#' @title
#' Table for displaying the Mximum Drawdown and the Time under Water
#'
#' @description
#' \code{table.Penance} Displays the table showing mean,Standard Deviation , phi, sigma , MaxDD,time at which MaxDD occurs, MaxTuW and the penance.For more
#' details about MaxDD , Time under Water see code \code{MaxDD} and \code{TuW}
#' respoectively.
#'
#' @param R Returns
#' @param confidence the confidence interval
#' @param type The type of distribution "normal" or "ar"."ar" stands for Autoregressive.
#' @author Pulkit Mehrotra
#' @seealso \code{\link{chart.Penance}} \code{\link{MaxDD}} \code{\link{TuW}}
#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the "Triple Penance" Rule(January 1, 2013).
#' @export
table.Penance<-function(R,confidence=0.95,type=c("ar","norm")){
# DESCRIPTION:
# Maximum Drawdown and Time under Water considering first-order serial correlation
#
# Input:
# R log returns
#
# Output:
# Creates a Table showing mean stdDev phi sigma MaxDD t* MaxTuW and Penance
#
# Function:
x = checkData(R)
columns = ncol(x)
columnnames = colnames(x)
rownames = c("mean","stdDev","phi","sigma","MaxDD(in %)","t*","MaxTuW","Penance")
for(column in 1:columns){
col_val = na.omit(x[,column])
phi = cov(col_val[-1],col_val[-length(col_val)])/(cov(col_val[-length(col_val)]))
sigma_infinity = StdDev(col_val)
sigma = sigma_infinity*((1-phi^2)^0.5)
column_MinQ<-c(mean(col_val),sigma_infinity,phi,sigma)
column_MinQ <- c(column_MinQ,MaxDD(x[,column],confidence,type=type[1]))
column_TuW = TuW(x[,column],confidence,type=type[1])
v = c(column_MinQ,column_TuW,Penance(x[,column],confidence,type=type[1]))
v = round(v,4)
if(column == 1){
result = data.frame(Value = v, row.names = rownames)
}
else{
nextcolumn = data.frame(Value = v,row.names = rownames)
result = cbind(result,nextcolumn)
}
}
colnames(result) = columnnames
result
}
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