R/rel_weight.R

In nnguyen2496/mscir: Display MSCI USA and MSCI Min Volatility Data

#' This function calculates the relative weight of each sector for each day 
#' and display the result in a dataframe
#' @export
rel_weight <- function(category){

  summary <- data.frame();
  
  if (category == "minvol"){
    data(minvol)
    dates <- unique(minvol$Date)
    temp <- minvol
  } else {
    data(usa)
    dates <- unique(usa$Date)
    temp <- usa
  }
  
  for (date in dates){
    # Extract entries with the matched date
    msci_by_date <- minvol[which(temp$Date == date),]
    
    # Calculate the relative weight of each sector for the given date
    sector.freq <- table(msci_by_date$Sector)
    sector.relfreq <- sector.freq/nrow(msci_by_date)
    sector.weight <- sector.relfreq[which(sector.relfreq > 0)]

    local_summary<- merge(date, sector.weight)
    summary <- rbind(summary, local_summary)
  }
    colnames(summary) <- c("Date", "Sector", "Weight" )
    summary$Date <- as.Date(summary$Date, origin = "1970-01-01")
    summary$Sector <- as.character(summary$Sector)
    summary <- mutate(summary, Sector = ifelse(Sector == "Telecommunications", "Telecommunication Services", Sector))
    
    if (category == "minvol"){
      minvol_weight <- summary
      save(minvol_weight, file = "C:/Users/Nam Nguyen/Documents/MSCI-master/msci/data/minvol_weight.RData")
    } else {
      usa_weight <- summary
      save(usa_weight, file = "C:/Users/Nam Nguyen/Documents/MSCI-master/msci/data/usa_weight.RData")
    }
}