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# 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:
# plot.fPORTFOLIO S3 Plot method for 'fPORTFOLIO' objects
# FUNCTION: DESCRIPTION:
# .fPortfolio.plot1..8 Internal plot functions
################################################################################
plot.fPORTFOLIO <-
function(x, which = "ask", control = list(), ...)
{
# A function implemented by Diethelm Wuertz
# Description:
# Plot method for an object of class 'fPORTFOLIO'
# FUNCTION:
# Control Parameters:
Statistics = getStatistics(x)
# Use default, if xlim and ylim is not specified ...
mu = Statistics$mu
Sigma = Statistics$Sigma
N = length(mu)
yLim = range(mu) + 0.25*c(-diff(range(mu)), diff(range(mu)))
# First, take care that all assets appear on the plot ...
# sqrtSig = sqrt(diag(Sigma))
# xLimAssets = c(
# min(sqrtSig),
# max(sqrtSig))+ c(-0.4*diff(range(sqrtSig)), 0.1*diff(range(sqrtSig)))
xRange = range(frontierPoints(x)[, 1])
xDiff = diff(xRange)
xLimAssets = c(xRange[1] - 2.5*xDiff/10, xRange[2] + xDiff/10)
# ... second take care that the whole frontier appears on the plot:
fullFrontier = frontierPoints(x)
xLimFrontier = range(fullFrontier[, 1])
xLim = range(c(xLimAssets, xLimFrontier))
# Control List:
# YC: merge with user control list
con <- c(control, frontierPlotControl())
# YC: remove double entries and keep user args
con <- con[unique(names(con))]
attr(x, "control") <- con
# Plot:
interactivePlot(
x,
choices = c(
"Plot Efficient Frontier",
"Add Minimum Risk Portfolio",
"Add Tangency Portfolio",
"Add Risk/Return of Single Assets",
"Add Equal Weights Portfolio",
"Add Two Asset Frontiers [LongOnly Only]",
"Add Monte Carlo Portfolios",
"Add Sharpe Ratio [Markowitz PF Only]"),
plotFUN = c(
".fportfolio.plot.1", ".fportfolio.plot.2", ".fportfolio.plot.3",
".fportfolio.plot.4", ".fportfolio.plot.5", ".fportfolio.plot.6",
".fportfolio.plot.7", ".fportfolio.plot.8"),
which = which)
# Return Value:
invisible(x)
}
# ------------------------------------------------------------------------------
.fportfolio.plot.1 <-
function(x)
{
# Description:
# Plot Efficient Frontier
# FUNCTION:
# Control:
con = attr(x, "control")
Type = getType(x)
if (Type == "MV") {
xLab = "Mean-Var Target Risk"
} else if (Type == "CVaR") {
xLab = "-CVaR Target Risk"
}
# Plot:
frontierPlot(
object = x, xlim = con$xlim, ylim = con$ylim,
pch = 19, cex = 0.75, title = FALSE,
las = ifelse(is.null(con$las), 0, con$las))
title(
main = ifelse(is.null(con$main), "Efficient Frontier", con$main),
xlab = ifelse(is.null(con$xlab), xLab, con$xlab),
ylab = ifelse(is.null(con$ylab), "Target Return", con$ylab))
}
# ------------------------------------------------------------------------------
.fportfolio.plot.2 <-
function(x)
{
# Description:
# Add Minimum Risk Portfolio
# FUNCTION:
# Control:
con = attr(x, "control")
# Plot:
minvariancePoints(
object = x,
col = con$minvariance.col,
cex = con$minvariance.cex,
pch = 19)
}
# ------------------------------------------------------------------------------
.fportfolio.plot.3 <-
function(x)
{
# Description:
# Add Tangency Portfolio
# FUNCTION:
# Control:
con = attr(x, "control")
# Plot:
tangencyPoints(
object = x,
col = con$tangency.col,
cex = con$tangency.cex,
pch = 17)
tangencyLines(
object = x,
col = con$tangency.col,
cex = con$tangency.cex)
}
# ------------------------------------------------------------------------------
.fportfolio.plot.4 <-
function(x)
{
# Description:
# Add Risk/Return of Single Assets
# FUNCTION:
# Control:
con = attr(x, "control")
# Plot:
Palette = match.fun(con$singleAsset.col)
col = Palette(getNAssets(x))
singleAssetPoints(
object = x,
col = col,
cex = con$singleAsset.cex,
pch = 18)
}
# ------------------------------------------------------------------------------
.fportfolio.plot.5 <-
function(x)
{
# Description:
# Add Equal Weights Portfolio
# FUNCTION:
# Control:
con = attr(x, "control")
# Plot:
equalWeightsPoints(
object = x,
col = con$equalWeights.col,
cex = con$equalWeights.cex,
pch = 15)
}
# ------------------------------------------------------------------------------
.fportfolio.plot.6 <-
function(x)
{
# Description:
# Add Two Asset Frontiers [0-1 PF Only]
# FUNCTION:
# Control:
con = attr(x, "control")
# Lines:
lines(frontierPoints(object = x), col = "grey")
twoAssetsLines(object = x, col = con$twoAssets.col)
# Points:
Palette = match.fun(con$singleAsset.col)
col = Palette(getNAssets(x))
singleAssetPoints(
object = x,
col = col,
cex = con$singleAsset.cex,
pch = 18)
}
# ------------------------------------------------------------------------------
.fportfolio.plot.7 <-
function(x)
{
# Description:
# Add Monte Carlo Portfolios
# FUNCTION:
# Control:
con = attr(x, "control")
# Plot:
monteCarloPoints(
object = x,
col = con$monteCarlo.col,
cex = con$monteCarlo.cex,
mcSteps = con$mcSteps)
}
# ------------------------------------------------------------------------------
.fportfolio.plot.8 <-
function(x)
{
# Description:
# Add Sharpe Ratio [MV PF Only]
# FUNCTION:
# Control:
con = attr(x, "control")
# Plot:
sharpeRatioLines(
object = x,
col = con$sharpeRatio.col,
cex = con$sharpeRatio.cex,
lty = 3)
}
################################################################################
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