inst/unitTests/runit.portfolioData.R

In tipdub/ZestFinance: Rmetrics - Portfolio Selection and Optimization - ebook available at www.rmetrics.org

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#
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#
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# Copyrights (C)
# for this R-port: 
#   1999 - Diethelm Wuertz, GPL
#   2007 - Rmetrics Foundation, GPL
#   Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# for code accessed (or partly included) from other sources:
#   see Rmetric's copyright and license files


################################################################################
# FUNCTION:                     DESCRIPTION:
#  portfolioData                 Creates portfolio data list
#  portfolioStatistics           Estimates mu and Sigma statistics
# FUNCTION:                     DESCRIPTION:
#  getData
#   getSeries                    Extracts assets series data 
#   getNumberOfAssets            Extracts number of assets from statistics
#  getStatistics                 Extracts assets statistics, mean and covariance
#   getMu
#   getSigma
#  getTailrisk                   Extracts tail risk
################################################################################


test.portfolioData <- 
    function()
{
    # Load Data:
    data = SMALLCAP.RET
    data = data[, c("BKE", "GG", "GYMB", "KRON")]
    print(head(data))
   
    # Set Default Specifications:
    spec = portfolioSpec()
    print(spec)
    
    # PortfolioData:
    pfolioData = portfolioData(data, spec)
    print(pfolioData)
    
    # Return Value:
    return()
}


# ------------------------------------------------------------------------------


test.Extractors <- 
    function()
{
    # Load Data:
    data = SMALLCAP.RET
    data = data[, c("BKE", "GG", "GYMB", "KRON")]
    if (!inherits(data, "fPFOLIODATA")) data = portfolioData(data)
     
    getData(data)
    getSeries(data)
     
    getStatistics(data) 
    getMu(data)
    getSigma(data)
         
    # Return Value:
    return()
}
   

################################################################################