R/frontier-getPoints.R

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR Description. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA


################################################################################
# FUNCTION:             DESCRIPTION:
#  frontierPoints        Extracts the efficient frontier from a 'fPORTFOLO' object
################################################################################


frontierPoints <-
    function(object, frontier = c("both", "lower", "upper"),
        return = c("mean", "mu"), risk = c("Cov", "Sigma", "CVaR", "VaR"),
        auto = TRUE)
{
    # A function implemented by Diethelm Wuertz

    # Description:
    #   Extracts the efficient frontier from a 'fPORTFOLO' object

    # Arguments:
    #   object - an object of S4 class fPORTFOLIO as returned by the
    #       functions fooPortfolio().
    #   frontier - a character string, which part of the frontier
    #       should be extracted
    #   return, rrisk - a character string, which return or risk
    #       measures should be selected
    #   auto - a logical, allows auto selection for the return and
    #       risk measure depending on

    # FUNCTION:

    # Settings:
    frontier = match.arg(frontier)
    
    # Match Arguments:
    return = match.arg(return)
    risk = match.arg(risk)

    # Get Efficient Frontier:
    if (auto) {
        Type = getType(object)
        Estimator = getEstimator(object)
        if (Type == "MV") risk = "Cov"
        if (Type == "MV" & Estimator != "covEstimator") risk = "Sigma"
        if (Type == "QLPM") risk = "Sigma"
        if (Type == "CVaR") risk = "CVaR" 
    }
    
    if (is.vector(getTargetRisk(object@portfolio))) { 
        targetRisk = getTargetRisk(object@portfolio)[risk]
        targetReturn = getTargetReturn(object@portfolio)[return]
    } else {       
        targetRisk = getTargetRisk(object@portfolio)[, risk]
        targetReturn = getTargetReturn(object@portfolio)[, return]
    }
    
    # Extract Whole Frontier:
    ans = cbind(Risk = targetRisk, Return = targetReturn)

    # Extract "upper|lower" Part of Frontier:
    if(frontier == "upper"){
        index = 1:length(ans[, 1])
        test = c(-1, diff(ans[, 1]))
        index = index[test > 0]
        ans = ans[index, ]
    } else if(frontier == "lower"){
        index = 1:length(ans[, 1])
        test = c(-1, diff(ans[, 1]))
        index = index[test < 0]
        if (length(index) == 1) {
            ans = matrix(ans[index, ], ncol = 2)
        } else {
            ans = ans[index, ]
        }
    }

    # Add Colnames:
    colnames(ans) = c("targetRisk", "targetReturn")
    rownames(ans) = as.character(1:NROW(ans))
    attr(ans, "control") <- 
        c(targetRisk = risk, targetReturn = return, auto = as.character(auto)) 

    # Return Value:
    ans
}


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