wfo_getdates: Compute the WFO dates using asset universe returns and WFO...

Description Usage Arguments Value See Also

View source: R/wfo_getdates.R

Description

Compute the WFO dates using asset universe returns and WFO parameters

Usage

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wfo_getdates(returns, features = NA, rollwindow = 63, wfo_span = "months",
  wfo_offset = 0)

Arguments

returns

The xts matrix of returns for all assets in the universe.

features

A vector of all features used in the WFO analysis. This is used to compute the lead time required to calculate the feature before the rolling window can start. The max of all the feature days is what matters. Note: this feature vector may include a mixture of strings and numerics.

rollwindow

The size of the WFO rolling window in days. This is added to the max number of days required to create all features.

wfo_span

The WFO period size. Can be one of the following: "weeks", "months" or "quarters".

wfo_offset

The number of days to offset the raw WFO dates (based on endpoints of the wfo_span). This may be a positive or negative offset if specified as a numeric. If specified as a list, then it is assumed the offset will be a uniform random value between a minimum and maximum offset, which may be a negative or positive value, as long as the maximum value > minimum value. This list must be specified as follows: list(type = "runif", min = <minimum value>, max = <maximum value>)

Value

Returns a vector of WFO dates

See Also

xtsanalytics:::wfo_timeframe


jeanmarcgp/ResilientPortfolio documentation built on April 8, 2018, 5:43 p.m.