sandbox/symposium2013/parse.EDHEC.R

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

### Construct an xts object of EDHEC composite hedge fund style indexes

# Peter Carl

# Used for updating the edhec data object in PerformanceAnalytics

require(gdata)
require(xts)


### Constants
filename = "EDHEC-index-history.csv"
objectname = "edhec"
datadir = "./data"
cachedir = "./cache"

# Download the following file to the working directory:
# http://www.edhec-risk.com/indexes/pure_style/data/table/history.csv
### @TODO: Is there a way to download it directly? Maybe not, seems to require a login

### Read data from csv file
x=read.csv(file=paste(datadir,filename,sep="/"), sep=";", header=TRUE, check.names=FALSE)
x.dates = as.Date(x[,1], format="%d/%m/%Y")
x.data = apply(x[,-1], MARGIN=2, FUN=function(x){as.numeric(sub("%","", x, fixed=TRUE))/100}) # get rid of percentage signs
edhec = xts(x.data, order.by=x.dates)

### Add pretty columnnames as an xts attribute?


### Save data into cache
save(edhec, file=paste(cachedir, "/", objectname, ".RData", sep=""))