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ChangeLog
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2013-01-28 peter_carl
* R/chart.RollingCorrelation.R, R/chart.RollingMean.R: - added fill
parameter to roxygen
* R/chart.RollingCorrelation.R: - replaced na.pad with fill=NA
2013-01-28 braverock
* DESCRIPTION, R/ES.R, R/Return.calculate.R, R/chart.Correlation.R,
R/chart.RollingCorrelation.R, R/chart.RollingMean.R,
R/chart.RollingQuantileRegression.R, R/chart.SnailTrail.R,
man/Return.calculate.Rd, man/Return.excess.Rd,
man/SystematicRisk.Rd, man/TreynorRatio.Rd,
man/chart.Correlation.Rd, man/chart.RollingCorrelation.Rd,
man/chart.RollingMean.Rd, man/chart.RollingPerformance.Rd,
man/charts.RollingPerformance.Rd,
tests/Examples/PerformanceAnalytics-Ex.Rout.save: - multiple
changes to pass R CMD check, almost all to documentation
2013-01-23 braverock
* R/Return.excess.R: - make the which more robust
2013-01-23 peter_carl
* R/SharpeRatio.annualized.R: - changed apply to sapply to pass xts
objects into Return.excess
* R/KellyRatio.R: - changed apply to sapply to pass xts objects
into Return.excess
- changed sd.xts to StdDev
* R/SharpeRatio.R: - changed apply to sapply to deal with
Return.excess and xts attributes
2013-01-23 braverock
* R/Return.excess.R: - correct for Rf of length different from R
2013-01-23 peter_carl
* R/chart.RollingPerformance.R: - fixed fill parameter to behave
with na.pad
* R/charts.RollingPerformance.R: - removed an unused parameter,
trim
* R/chart.RollingPerformance.R: - moved from na.pad to fill
2012-12-27 bodanker
* R/Return.excess.R: - typo in Rf argument description
2012-12-20 braverock
* R/StdDev.annualized.R, R/TreynorRatio.R: - rearrange handling of
'scale'
2012-12-15 bodanker
* R/CAPM.beta.R: - check for all NA sooner in CAPM.beta*
* R/CAPM.beta.R: - update CAPM.beta* to be more robust to NAs
2012-11-27 braverock
* R/StdDev.annualized.R: - refactor to remove need for sd.xts
* R/StdDev.annualized.R: - use sd.xts again to avoid BDR's
gratuitous apply() warning
2012-11-12 braverock
* R/Return.excess.R: - further updates to catch more use cases for
Return.excess
2012-11-12 peter_carl
* R/SystematicRisk.R: - added multiple benchmark handling
- replaced calc with existing StdDev.annualized function
* R/TreynorRatio.R: - simplified modified calc of TreynorRatio
- fixed calculation
2012-11-12 braverock
* R/Return.excess.R: - patch to avoid TZ issue, thanks to attention
by Josh and Jeff
2012-11-10 braverock
* tests/Examples/PerformanceAnalytics-Ex.Rout.save: - update
example output using current code
2012-11-08 braverock
* DESCRIPTION: - bump xts version req. for rollapply change
2012-11-08 bodanker
* DESCRIPTION, NAMESPACE, R/chart.RollingRegression.R, R/zzz.R: -
un-register rollapply.xts S3 method (now in xts)
- copy (unexported) sd.xts from xts namespace
- convert chart.RollingRegression.R to use rollapply.xts
- bump version
2012-11-05 braverock
* R/chart.TimeSeries.R: - add pch to legend call, does nothing in
the default case
2012-10-26 braverock
* R/PortfolioRisk.R: - use sd.default for vector
2012-10-25 braverock
* R/StdDev.annualized.R: - use sd.default for vector
2012-10-06 braverock
* man/Return.calculate.Rd: - don't run the example for now.
* DESCRIPTION, NAMESPACE, R/zzz.R: - remove sd.xts and mean.xts,
since these are now in xts upstream
- bump version, dependencies
2012-09-18 braverock
* R/Return.annualized.R, R/Return.cumulative.R,
R/Return.portfolio.R, R/SharpeRatio.annualized.R,
R/chart.CumReturns.R, R/chart.Drawdown.R,
R/chart.RiskReturnScatter.R, R/charts.PerformanceSummary.R,
R/findDrawdowns.R, R/maxDrawdown.R, R/table.AnnualizedReturns.R,
R/table.CalendarReturns.R, R/table.Variability.R, man/CDD.Rd,
man/Return.annualized.Rd, man/Return.calculate.Rd,
man/Return.cumulative.Rd, man/Return.portfolio.Rd,
man/SharpeRatio.annualized.Rd, man/chart.CumReturns.Rd,
man/chart.Drawdown.Rd, man/chart.RiskReturnScatter.Rd,
man/charts.PerformanceSummary.Rd, man/findDrawdowns.Rd,
man/maxDrawdown.Rd, man/table.AnnualizedReturns.Rd,
man/table.CalendarReturns.Rd, man/table.Variability.Rd: - change
language around geometric chaining argument to attempt to make it
more clear
2012-09-16 ababii
* R/Return.portfolio.R: - corrected computation of returns and
contributions
2012-09-05 braverock
* R/Return.calculate.R, man/Return.calculate.Rd: - change 'simple'
and 'compound' to 'discrete' and 'log', update docs
- add xtsAttributes for ret_type so that we can parse it later
and give the user intelligent warnings
2012-09-02 braverock
* R/AdjustedSharpeRatio.R, R/AppraisalRatio.R,
R/BernadoLedoitratio.R, R/BurkeRatio.R, R/CAPM.epsilon.R,
R/CAPM.jensenAlpha.R, R/DRatio.R, R/DownsideDeviation.R,
R/DownsideFrequency.R, R/DrawdownPeak.R, R/FamaBeta.R,
R/Frequency.R, R/Kappa.R, R/M2Sortino.R, R/MSquared.R,
R/MSquaredExcess.R, R/MartinRatio.R, R/MeanAbsoluteDeviation.R,
R/NetSelectivity.R, R/OmegaExcessReturn.R, R/OmegaSharpeRatio.R,
R/PainIndex.R, R/PainRatio.R, R/ProspectRatio.R, R/Selectivity.R,
R/SkewnessKurtosisRatio.R, R/SpecificRisk.R, R/SystematicRisk.R,
R/TotalRisk.R, R/TreynorRatio.R, R/UpsideFrequency.R,
R/UpsideRisk.R, R/VolatilitySkewness.R, R/decomposeMVaR.R,
R/table.Distributions.R, R/table.DownsideRiskRatio.R,
R/table.DrawdownsRatio.R, R/table.InformationRatio.R,
R/table.SpecificRisk.R, R/table.Variability.R: - add Copyright
and GPL license block to files created during GSoC 2012
2012-08-29 braverock
* sandbox/Meucci[DEL]: -delete Meucci directory from sandbox, moved
to top-level pkg dir in r2261 (and earlier revs)
2012-08-24 braverock
* R/chart.TimeSeries.R: - explicitly call xts's time() fn to avoid
bad behavior by RMetrics TimeSreies, patch from Garrett See
2012-08-20 mkshah
* sandbox/Meucci/R/RobustBayesianAllocation.R,
sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd:
Updating documentation for successful PDF Manual creation
2012-08-19 mkshah
* sandbox/Meucci/00index, sandbox/Meucci/DESCRIPTION,
sandbox/Meucci/R/EmpiricalMultivariateOUnCointegration.R[DEL],
sandbox/Meucci/R/MeanDiversificationFrontier.R,
sandbox/Meucci/R/MultivariateOUnCointegration.R,
sandbox/Meucci/R/TheoryMultivariateOUnCointegration.R[DEL],
sandbox/Meucci/man/FitOU.Rd[ADD],
sandbox/Meucci/man/GenFirstEigVect.Rd[ADD],
sandbox/Meucci/man/GenPCBasis.Rd[ADD],
sandbox/Meucci/man/MaxEntropy.Rd[ADD],
sandbox/Meucci/man/MeanTCEntropyFrontier.Rd[ADD],
sandbox/Meucci/man/OUstep.Rd[ADD],
sandbox/Meucci/man/OUstepEuler.Rd[ADD]: Updating documentation
* sandbox/Meucci/R/MeanDiversificationFrontier.R: Documentation
* sandbox/Meucci/R/MultivariateOUnCointegration.R[ADD]: Merging
theoretical and empirical functions in the same file and
documenting
2012-08-19 matthieu_lestel
* R/AdjustedSharpeRatio.R, R/AppraisalRatio.R,
R/DownsideDeviation.R, R/FamaBeta.R, R/MeanAbsoluteDeviation.R,
R/NetSelectivity.R, R/OmegaSharpeRatio.R, R/PainIndex.R,
R/ProspectRatio.R, R/Selectivity.R, R/SkewnessKurtosisRatio.R,
R/TotalRisk.R, R/UpsideRisk.R, inst/doc/PA-Bacon.Rnw[ADD],
inst/doc/PA-Bacon.pdf[ADD], man/AdjustedSharpeRatio.Rd,
man/AppraisalRatio.Rd, man/DownsideDeviation.Rd, man/FamaBeta.Rd,
man/MeanAbsoluteDeviation.Rd, man/NetSelectivity.Rd,
man/OmegaSharpeRatio.Rd, man/PainIndex.Rd, man/ProspectRatio.Rd,
man/Selectivity.Rd, man/SkewnessKurtosisRatio.Rd,
man/TotalRisk.Rd, man/UpsideRisk.Rd: little corrections in
documentation + additon of vignette on Bacon
2012-08-19 mkshah
* sandbox/Meucci/demo/00index: Updating the Index file for the
newly added demos
* sandbox/Meucci/demo/S_DeterministicEvolution.R[ADD]: Additional
demo for Theoretical Multivariate OU and Cointegration
* sandbox/Meucci/R/TheoryMultivariateOUnCointegration.R,
sandbox/Meucci/demo/S_CheckDiagonalization.R[ADD],
sandbox/Meucci/demo/S_CovarianceEvolution.R[ADD]: Correcting
functions and adding demos for
TheoryMultivariateOUnCointegration.R
* sandbox/Meucci/R/EmpiricalMultivariateOUnCointegration.R,
sandbox/Meucci/R/MeanDiversificationFrontier.R,
sandbox/Meucci/data/00index,
sandbox/Meucci/data/DB_SwapParRates.rda[ADD],
sandbox/Meucci/demo/MeanDiversificationFrontier.R,
sandbox/Meucci/demo/S_FitProjectRates.R[ADD]: Correcting
functions, adding demos and data files
2012-08-18 mkshah
* sandbox/Meucci/R/MeanDiversificationFrontier.R,
sandbox/Meucci/data/MeanDiversificationFrontier.rda[ADD],
sandbox/Meucci/demo/MeanDiversificationFrontier.R[ADD]: Adding
demo and data file for MeanDiversificationFrontier.R and editing
the core functions
2012-08-16 mkshah
* sandbox/Meucci/R/MeanDiversificationFrontier.R: Completing
functions for MeanDiversificationFrontier.R
* sandbox/Meucci/R/EmpiricalMultivariateOUnCointegration.R,
sandbox/Meucci/R/TheoryMultivariateOUnCointegration.R[ADD]:
Adding functions for theoretical Multivariate OU and correcting
functions for empirical Multivariate OU
* sandbox/Meucci/R/EmpiricalMultivariateOUnCointegration.R:
Remaining functions added
* sandbox/Meucci/R/EmpiricalMultivariateOUnCointegration.R[ADD]:
Creating a R script for empirical version of Multivariate OU
2012-08-12 matthieu_lestel
* R/AdjustedSharpeRatio.R, R/BurkeRatio.R, R/CAPM.epsilon.R,
R/CAPM.jensenAlpha.R, R/M2Sortino.R, R/MSquared.R,
R/MSquaredExcess.R, R/MartinRatio.R, R/NetSelectivity.R,
R/OmegaExcessReturn.R, R/PainRatio.R, R/TreynorRatio.R,
man/AdjustedSharpeRatio.Rd, man/BurkeRatio.Rd,
man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd, man/MSquared.Rd,
man/MSquaredExcess.Rd, man/PainRatio.Rd: returns annualised
everywhere they were not yet + use of Frequency everywhere
possible to lighten the code
2012-08-10 matthieu_lestel
* R/DownsideDeviation.R, R/TreynorRatio.R, R/UpsideRisk.R, R/VaR.R,
R/chart.RollingRegression.R, R/chart.TimeSeries.R,
R/mean.utils.R, R/textplot.R,
man/PerformanceAnalytics-package.Rd, man/TreynorRatio.Rd,
man/VaR.Rd, man/chart.RollingRegression.Rd,
man/chart.TimeSeries.Rd, man/mean.geometric.Rd, man/textplot.Rd:
no more warnings in R CMD check
2012-08-09 matthieu_lestel
* NAMESPACE, R/SkewnessKurtosisRatio.R, R/SpecificRisk.R[ADD],
R/SystematicRisk.R, R/TotalRisk.R, R/table.Distributions.R[ADD],
R/table.DownsideRiskRatio.R[ADD], R/table.DrawdownsRatio.R[ADD],
R/table.InformationRatio.R[ADD], R/table.SpecificRisk.R[ADD],
R/table.Variability.R[ADD], man/SpecificRisk.Rd[ADD],
man/SystematicRisk.Rd, man/TotalRisk.Rd, man/UlcerIndex.Rd[ADD],
man/table.Distributions.Rd[ADD],
man/table.DownsideRiskRatio.Rd[ADD],
man/table.DrawdownsRatio.Rd[ADD],
man/table.InformationRatio.Rd[ADD],
man/table.SpecificRisk.Rd[ADD], man/table.Variability.Rd[ADD]:
addition of SpecificRisk, table.Variability, table.SpecificRisk,
table.InformationRisk, table.Distributions, table.DrawdownsRatio,
table.DownsideRiskRatio with documentation + doc of Ulcer Index +
minor modifications
2012-08-07 matthieu_lestel
* R/DownsideDeviation.R, R/MartinRatio.R, R/PainRatio.R,
R/TreynorRatio.R, R/VolatilitySkewness.R,
man/portfolio_bacon.Rd[ADD]: documentation of portfolio_bacon
data + other modification to fix warnings in R CMD check
2012-08-03 matthieu_lestel
* NAMESPACE, R/MartinRatio.R[ADD], R/NetSelectivity.R[ADD],
R/OmegaExcessReturn.R[ADD], R/UlcerIndex.R,
man/MartinRatio.Rd[ADD], man/NetSelectivity.Rd[ADD],
man/OmegaExcessReturn.Rd[ADD], man/Selectivity.Rd: Net
Selectivity, Omega excess return and Martin ratio with examples
and documentation
2012-07-30 mkshah
* sandbox/Meucci/R/MeanDiversificationFrontier.R[ADD]: Adding a
script for "Managing Diversification" part of Meucci's research
2012-07-27 braverock
* sandbox/Meucci/DESCRIPTION, sandbox/Meucci/NAMESPACE[ADD],
sandbox/Meucci/R/CmaCopula.R, sandbox/Meucci/R/EntropyProg.R,
sandbox/Meucci/R/HermiteGrid.R,
sandbox/Meucci/R/InvariantProjection.R,
sandbox/Meucci/R/RankingInformation.R,
sandbox/Meucci/R/logToArithmeticCovariance.R,
sandbox/Meucci/man/EntropyProg.Rd: - updates to get closer to
passing R CMD check
* sandbox/Meucci/data/00index[CPY],
sandbox/Meucci/data/butterflyAnalytics.Rda[DEL],
sandbox/Meucci/data/butterflyAnalytics.rda[CPY],
sandbox/Meucci/data/datalist[DEL],
sandbox/Meucci/data/pseudodata.Rda[DEL],
sandbox/Meucci/data/pseudodata.rda[CPY]: - cleanup for R CMD
check
* R/ES.R, R/PortfolioRisk.R, man/ES.Rd: - remove ES portfolio
kernel method for now, lay groudwork for adding it back in later
* R/ES.R, R/MultivariateMoments.R, man/ES.Rd: - fix component ES
multivariat moments bug, reported by Eric Zivot
2012-07-27 matthieu_lestel
* NAMESPACE: modif of NAMESPACE to pass R CMD check
* NAMESPACE, R/AppraisalRatio.R, R/FamaBeta.R[ADD],
R/ProspectRatio.R, R/Selectivity.R[ADD], man/AppraisalRatio.Rd,
man/DownsideDeviation.Rd, man/FamaBeta.Rd[ADD],
man/ProspectRatio.Rd, man/Selectivity.Rd[ADD]: modified jensen's
alpha, alternative modified jensen's alpha, selectivity and fama
beta with examples and documentation
2012-07-27 peter_carl
* R/PortfolioRisk.R: - fixed the last fix by changing sign on VaR
value
* R/PortfolioRisk.R: - fixed corner case in ES.historical where no
observations are larger than VaR
- in that case, set ES = VaR and warn the user
2012-07-25 braverock
* R/chart.Correlation.R: - fix problem with R CMD check
2012-07-25 matthieu_lestel
* NAMESPACE, R/AppraisalRatio.R[ADD], R/BernadoLedoitratio.R,
R/CAPM.jensenAlpha.R, R/M2Sortino.R[ADD], R/ProspectRatio.R[ADD],
R/SystematicRisk.R, man/AppraisalRatio.Rd[ADD],
man/BernardoLedoitRatio.Rd[ADD], man/CAPM.jensenAlpha.Rd,
man/DrawdownPeak.Rd[ADD], man/M2Sortino.Rd[ADD],
man/ProspectRatio.Rd[ADD]: M2Sortino, AppraisalRatio and
ProspectRatio with examples and documentation + some doc I forgot
to add in the svn commit
2012-07-25 mkshah
* sandbox/Meucci/demo/00index: Correcting demo name
* sandbox/Meucci/demo/00index[ADD],
sandbox/Meucci/demo/InvariantProjection.R: Adding Index File for
demo folder and deleting unnecessary code in
InvariantProjection.R
2012-07-23 braverock
* R/chart.Correlation.R, man/chart.Correlation.Rd: - update to pass
method to cor() per request from John Muschelli @ JH
2012-07-23 mkshah
* sandbox/Meucci/data/MeucciReturnsDistribution.rda[DEL],
sandbox/Meucci/data/butterflyTradingX.rda[DEL],
sandbox/Meucci/data/datalist[ADD]: Deleting unnecessary datasets
and adding datalist which contains information about all the data
files
* sandbox/Meucci/00index[ADD], sandbox/Meucci/DESCRIPTION: Adding
the 00index file and changing DESCRIPTION
* sandbox/Meucci/man/CMAcombination.Rd,
sandbox/Meucci/man/CMAseparation.Rd,
sandbox/Meucci/man/Central2Raw.Rd,
sandbox/Meucci/man/ComputeMVE.Rd,
sandbox/Meucci/man/ComputeMoments.Rd,
sandbox/Meucci/man/CondProbViews.Rd,
sandbox/Meucci/man/Cumul2Raw.Rd,
sandbox/Meucci/man/DetectOutliersViaMVE.Rd,
sandbox/Meucci/man/EntropyProg.Rd,
sandbox/Meucci/man/GenerateLogNormalDistribution.Rd,
sandbox/Meucci/man/MvnRnd.Rd,
sandbox/Meucci/man/NoisyObservations.Rd,
sandbox/Meucci/man/PanicCopula.Rd,
sandbox/Meucci/man/PartialConfidencePosterior.Rd,
sandbox/Meucci/man/PlotDistributions.Rd,
sandbox/Meucci/man/Prior2Posterior.Rd,
sandbox/Meucci/man/RIEfficientFrontier.Rd[ADD],
sandbox/Meucci/man/Raw2Central.Rd,
sandbox/Meucci/man/Raw2Cumul.Rd,
sandbox/Meucci/man/RejectOutlier.Rd,
sandbox/Meucci/man/StackedBarChart.Rd,
sandbox/Meucci/man/SummStats.Rd, sandbox/Meucci/man/Tweak.Rd,
sandbox/Meucci/man/ViewRanking.Rd,
sandbox/Meucci/man/efficientFrontier.Rd,
sandbox/Meucci/man/gaussHermiteMesh.Rd[ADD],
sandbox/Meucci/man/hermitePolynomial.Rd[ADD],
sandbox/Meucci/man/integrateSubIntervals.Rd[ADD],
sandbox/Meucci/man/kernelbw.Rd[ADD],
sandbox/Meucci/man/kernelcdf.Rd[ADD],
sandbox/Meucci/man/kernelinv.Rd[ADD],
sandbox/Meucci/man/kernelpdf.Rd[ADD],
sandbox/Meucci/man/linreturn.Rd,
sandbox/Meucci/man/normalizeProb.Rd[ADD],
sandbox/Meucci/man/pHist.Rd,
sandbox/Meucci/man/private_fun.Rd[ADD],
sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd,
sandbox/Meucci/man/std.Rd,
sandbox/Meucci/man/subIntervals.Rd[ADD]: Adding documentation
files for new functions and updating comments for other functions
* sandbox/Meucci/R/HermiteGrid.R: Correcting mistakes in commenting
* sandbox/Meucci/R/HermiteGrid.R: Adding comments for remaining
functions
* sandbox/Meucci/R/HermiteGrid.R: Adding and updating comments for
Kernel functions
* sandbox/Meucci/R/InvariantProjection.R: Updating comments
* sandbox/Meucci/R/DetectOutliersviaMVE.R,
sandbox/Meucci/R/RankingInformation.R,
sandbox/Meucci/R/RobustBayesianAllocation.R: Updating comments
and correcting code
2012-07-22 mkshah
* sandbox/Meucci/R/DetectOutliersviaMVE.R,
sandbox/Meucci/R/RobustBayesianAllocation.R: Updating comments
* sandbox/Meucci/man/ProjectInvariant.Rd[DEL]: Deleting an unused
function documentation file
* sandbox/Meucci/R/Prior2Posterior.R: Updating comments
* sandbox/Meucci/demo/InvariantProjection.R: Removing Roxygen like
commenting
2012-07-21 matthieu_lestel
* NAMESPACE, R/AdjustedSharpeRatio.R, R/BernadoLedoitratio.R,
R/BurkeRatio.R, R/CAPM.epsilon.R, R/CAPM.jensenAlpha.R,
R/CoMoments.R, R/DRatio.R, R/DownsideDeviation.R,
R/DownsideFrequency.R, R/DrawdownPeak.R, R/Frequency.R[ADD],
R/MSquared.R, R/MSquaredExcess.R[ADD], R/MeanAbsoluteDeviation.R,
R/OmegaSharpeRatio.R, R/PainIndex.R, R/PainRatio.R,
R/SkewnessKurtosisRatio.R, R/SystematicRisk.R, R/TotalRisk.R,
R/TreynorRatio.R, R/UpsideFrequency.R, R/UpsideRisk.R,
R/VolatilitySkewness.R, R/chart.Correlation.R, R/kurtosis.R,
R/skewness.R, man/AdjustedSharpeRatio.Rd, man/BurkeRatio.Rd,
man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd, man/CoMoments.Rd,
man/DRatio.Rd, man/DownsideDeviation.Rd,
man/DownsideFrequency.Rd, man/Frequency.Rd[ADD], man/MSquared.Rd,
man/MSquaredExcess.Rd[ADD], man/MeanAbsoluteDeviation.Rd,
man/OmegaSharpeRatio.Rd, man/PainIndex.Rd, man/PainRatio.Rd,
man/SkewnessKurtosisRatio.Rd, man/SystematicRisk.Rd,
man/TotalRisk.Rd, man/TreynorRatio.Rd, man/UpsideFrequency.Rd,
man/UpsideRisk.Rd, man/VolatilitySkewness.Rd,
man/chart.Correlation.Rd, man/kurtosis.Rd, man/skewness.Rd:
frequency with examples and documentation + MSquaredExcess with
examples and documentation + correction of all latex equations in
the doc to avoid the html part to appear in the pdf + some
warning corrected in R CMD check
2012-07-19 matthieu_lestel
* R/DownsideDeviation.R, R/MSquared.R[ADD], R/SystematicRisk.R,
man/DownsideDeviation.Rd, man/MSquared.Rd[ADD],
man/SystematicRisk.Rd: better with the addition of the file
* NAMESPACE, R/DownsideDeviation.R, R/SystematicRisk.R,
R/TotalRisk.R, man/DownsideDeviation.Rd, man/SystematicRisk.Rd,
man/TotalRisk.Rd: msquared with examples and documentation
* R/AdjustedSharpeRatio.R, R/BurkeRatio.R, R/CAPM.epsilon.R,
R/DRatio.R, R/DownsideFrequency.R, R/Kappa.R,
R/MeanAbsoluteDeviation.R, R/OmegaSharpeRatio.R, R/PainRatio.R,
R/SkewnessKurtosisRatio.R, R/UpsideFrequency.R, R/UpsideRisk.R,
R/VolatilitySkewness.R, man/DRatio.Rd, man/DownsideDeviation.Rd,
man/DownsideFrequency.Rd, man/Kappa.Rd, man/OmegaSharpeRatio.Rd,
man/PainRatio.Rd, man/SkewnessKurtosisRatio.Rd,
man/UpsideFrequency.Rd, man/UpsideRisk.Rd,
man/VolatilitySkewness.Rd: modification to use xts objects inside
the functions
2012-07-18 matthieu_lestel
* NAMESPACE, R/AdjustedSharpeRatio.R, R/BernadoLedoitratio.R,
R/DownsideDeviation.R, R/ES.R, R/MeanAbsoluteDeviation.R,
R/PainIndex.R, R/PainRatio.R, R/SkewnessKurtosisRatio.R,
R/TreynorRatio.R, R/UpsideRisk.R, R/VolatilitySkewness.R,
R/chart.RollingRegression.R, data/portfolio_bacon.csv,
data/portfolio_bacon.rda, man/AdjustedSharpeRatio.Rd,
man/BernardoLedoitratio.Rd[DEL], man/ES.Rd,
man/MeanAbsoluteDeviation.Rd, man/PainIndex.Rd, man/PainRatio.Rd,
man/SkewnessKurtosisRatio.Rd, man/VolatilitySkewness.Rd,
man/chart.RollingRegression.Rd: Rcheck pass + some other minor
modifications
2012-07-16 braverock
* NAMESPACE, R/Return.portfolio.R: - add @export for
Return.portfolio
* NAMESPACE, R/CoMoments.R: - minor change to exports
* DESCRIPTION, NAMESPACE, R/CAPM.beta.R, R/CAPM.utils.R,
R/CoMoments.R, R/DownsideDeviation.R, R/InformationRatio.R,
R/KellyRatio.R, R/Omega.R, R/OmegaSharpeRatio.R,
R/Return.Geltner.R, R/Return.annualized.R, R/Return.calculate.R,
R/Return.clean.R, R/Return.cumulative.R, R/Return.excess.R,
R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R,
R/SemiDeviation.R, R/SharpeRatio.R, R/SharpeRatio.annualized.R,
R/SkewnessKurtosisRatio.R, R/SmoothingIndex.R, R/SortinoRatio.R,
R/StdDev.R, R/SystematicRisk.R, R/TotalRisk.R, R/TrackingError.R,
R/TreynorRatio.R, R/UlcerIndex.R, R/UpDownRatios.R,
R/UpsidePotentialRatio.R, R/VaR.R, R/chart.ACF.R,
R/chart.ACFplus.R, R/chart.Bar.R, R/chart.Boxplot.R,
R/chart.CaptureRatios.R, R/chart.Correlation.R,
R/chart.CumReturns.R, R/chart.Drawdown.R, R/chart.ECDF.R,
R/chart.QQPlot.R, R/chart.Regression.R,
R/chart.RelativePerformance.R, R/chart.RiskReturnScatter.R,
R/chart.RollingCorrelation.R, R/chart.RollingMean.R,
R/chart.RollingPerformance.R,
R/chart.RollingQuantileRegression.R, R/chart.Scatter.R,
R/chart.SnailTrail.R, R/chart.StackedBar.R, R/chart.TimeSeries.R,
R/chart.VaRSensitivity.R, R/charts.Bar.R, R/charts.BarVaR.R,
R/charts.PerformanceSummary.R, R/charts.RollingPerformance.R,
R/charts.RollingRegression.R, R/charts.TimeSeries.R,
R/checkData.R, R/findDrawdowns.R, R/kurtosis.R, R/legend.R,
R/maxDrawdown.R, R/mean.utils.R, R/skewness.R, R/sortDrawdowns.R,
R/table.AnnualizedReturns.R, R/table.Arbitrary.R,
R/table.Autocorrelation.R, R/table.CAPM.R,
R/table.CalendarReturns.R, R/table.CaptureRatios.R,
R/table.Correlation.R, R/table.HigherMoments.R,
R/table.RollingPeriods.R, R/textplot.R, man/BetaCoMoments.Rd,
man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.beta.Rd,
man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd,
man/DownsideDeviation.Rd, man/Return.calculate.Rd,
man/Return.portfolio.Rd, man/TreynorRatio.Rd, man/chart.ACF.Rd,
man/chart.RollingRegression.Rd, man/chart.TimeSeries.Rd,
sandbox/Meucci/DESCRIPTION, sandbox/Meucci/man/CMAcombination.Rd,
sandbox/Meucci/man/CMAseparation.Rd,
sandbox/Meucci/man/Central2Raw.Rd,
sandbox/Meucci/man/Cumul2Raw.Rd,
sandbox/Meucci/man/PartialConfidencePosterior.Rd,
sandbox/Meucci/man/Prior2Posterior.Rd,
sandbox/Meucci/man/Raw2Central.Rd,
sandbox/Meucci/man/Raw2Cumul.Rd,
sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd: -
update roxygen doec, specifically @export tags
2012-07-15 matthieu_lestel
* R/AdjustedSharpeRatio.R, R/BurkeRatio.R, R/CAPM.epsilon.R,
R/CAPM.jensenAlpha.R, R/TreynorRatio.R: modification of the
method of calcul for return to match Bacon(2008) in some
functions
* R/PainRatio.R[ADD], R/TreynorRatio.R, man/PainRatio.Rd[ADD]: Pain
ratio with examples and documentation
* R/DrawdownPeak.R[ADD], R/MeanAbsoluteDeviation.R, R/PainIndex.R,
man/MeanAbsoluteDeviation.Rd, man/PainIndex.Rd[ADD]:
documentation of PainIndex, correction of PainIndex.R, addition
of DrawdownPeak to calculate drawdown since previous peak
2012-07-14 matthieu_lestel
* R/MeanAbsoluteDeviation.R[ADD],
man/MeanAbsoluteDeviation.Rd[ADD]: Mean absolute deviation with
examples and documentation
2012-07-13 matthieu_lestel
* R/BurkeRatio.R, R/kurtosis.R, R/skewness.R, man/kurtosis.Rd,
man/skewness.Rd: correction of calcul of skewness and kurtosis,
update of documentation, addition of sample skewness, sample
kurtosis and sample excess kurtosis
2012-07-13 mkshah
* sandbox/Meucci/R/RobustBayesianAllocation.R: Correcting
documentation mistakes
* sandbox/Meucci/R/InvariantProjection.R: Correcting documentation
mistakes
* sandbox/Meucci/R/EntropyProg.R: Correcting documentation mistakes
* sandbox/Meucci/R/ButterflyTrading.R[DEL]: Deleting
ButterflyTrading.R since all the functions have been moved to the
demo script demo/ButterflyTrading.R
* sandbox/Meucci/demo/ButterflyTrading.R: Including
ButterflyTrading functions in the demo file since it is a case
study and doesn't include any generalized method/process
* sandbox/Meucci/R/HermiteGrid.R: Adding comments for the functions
subIntervals, gaussHermiteMesh and hermitePolynomial
* sandbox/Meucci/R/CmaCopula.R: Updating comments for
CMACombination and CMASeperation
2012-07-11 braverock
* sandbox/Meucci/R/DetectOutliersviaMVE.R,
sandbox/Meucci/R/EntropyProg.R,
sandbox/Meucci/R/FullyFlexibleBayesNets.R,
sandbox/Meucci/R/InvariantProjection.R,
sandbox/Meucci/R/Prior2Posterior.R,
sandbox/Meucci/R/RankingInformation.R,
sandbox/Meucci/R/RobustBayesianAllocation.R,
sandbox/Meucci/R/logToArithmeticCovariance.R,
sandbox/Meucci/man/Central2Raw.Rd,
sandbox/Meucci/man/ComputeMVE.Rd,
sandbox/Meucci/man/CondProbViews.Rd,
sandbox/Meucci/man/Cumul2Raw.Rd,
sandbox/Meucci/man/EfficientFrontier.Rd[DEL],
sandbox/Meucci/man/GenerateLogNormalDistribution.Rd,
sandbox/Meucci/man/PartialConfidencePosterior.Rd,
sandbox/Meucci/man/PlotDistributions.Rd,
sandbox/Meucci/man/Prior2Posterior.Rd,
sandbox/Meucci/man/Raw2Central.Rd,
sandbox/Meucci/man/Raw2Cumul.Rd,
sandbox/Meucci/man/StackedBarChart.Rd,
sandbox/Meucci/man/Tweak.Rd, sandbox/Meucci/man/ViewRanking.Rd,
sandbox/Meucci/man/linreturn.Rd,
sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd,
sandbox/Meucci/man/std.Rd: - changes to roxygen comments and a
few manual edits to .Rd files so documentation will compile, more
to do here.
2012-07-10 mkshah
* sandbox/Meucci/R/ButterflyTrading.R: Removing unnecessary
comments
* sandbox/Meucci/demo/RankingInformation.R: Changing function name
to avoid conflicts
* sandbox/Meucci/R/RankingInformation.R: Changing function name to
avoid conflicts
2012-07-09 braverock
* sandbox/Meucci/DESCRIPTION, sandbox/Meucci/man/Central2Raw.Rd,
sandbox/Meucci/man/ComputeMVE.Rd,
sandbox/Meucci/man/Cumul2Raw.Rd,
sandbox/Meucci/man/EntropyProg.Rd,
sandbox/Meucci/man/GenerateLogNormalDistribution.Rd,
sandbox/Meucci/man/PartialConfidencePosterior.Rd,
sandbox/Meucci/man/Prior2Posterior.Rd,
sandbox/Meucci/man/Raw2Central.Rd,
sandbox/Meucci/man/Raw2Cumul.Rd,
sandbox/Meucci/man/StackedBarChart.Rd,
sandbox/Meucci/man/efficientFrontier.Rd,
sandbox/Meucci/man/linreturn.Rd,
sandbox/Meucci/man/pHist.Rd[ADD],
sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd: -
update roxygen docs
- update DESCRIPTION for easier compilation
2012-07-09 mkshah
* sandbox/Meucci/R/RobustBayesianAllocation.R: Deleting duplicated
demo content which has already been shifted to
RobustBayesianAllocation.R in the demo folder
* sandbox/Meucci/demo/HermiteGrid_CVaR_Recursion.R: Correcting plot
parameters
* sandbox/Meucci/R/RobustBayesianAllocation.R: Updating equations
and references
* sandbox/Meucci/R/DetectOutliersviaMVE.R: Updating equations and
references
* sandbox/Meucci/R/Prior2Posterior.R: Removing unnecessary comments
* sandbox/Meucci/R/RankingInformation.R: Updating comments
* sandbox/Meucci/R/EntropyProg.R: Updating equations and references
* sandbox/Meucci/R/logToArithmeticCovariance.R: Updating equations
and references
* sandbox/Meucci/R/InvariantProjection.R: Adding equations and
references.
2012-07-08 mkshah
* sandbox/Meucci/R/EntropyProg.R: Updating comments
2012-07-08 matthieu_lestel
* R/AdjustedSharpeRatio.R[ADD], man/AdjustedSharpeRatio.Rd[ADD]:
adjusted sharpe ratio with examples and documentation
2012-07-07 mkshah
* sandbox/Meucci/demo/HermiteGrid_CVaR_Recursion.R[ADD]: Adding a
demo replicating the S_CVaR_Recursion.m file provided by Meucci
* sandbox/Meucci/R/HermiteGrid.R: Correcting the Kernel Functions
* sandbox/Meucci/R/EntropyProg.R: Correcting Comments
* sandbox/Meucci/demo/HermiteGrid_CaseStudy.R: Completed and
checked the results of the demo with Meucci's Matlab code
2012-07-06 matthieu_lestel
* R/BurkeRatio.R[ADD], man/BurkeRatio.Rd[ADD]: Burke ratio and
modified Burke ratio with examples and documentation
2012-07-05 mkshah
* sandbox/Meucci/demo/HermiteGrid_CaseStudy.R[ADD]: Duplicating the
S_CaseStudy.m Demo as provided by Meucci for Fully Flexible
Extreme Views
* sandbox/Meucci/R/HermiteGrid.R: Adding the kernel functions as
defined by Meucci for the CaseStudy Demo
2012-07-04 mkshah
* sandbox/Meucci/data/pseudodata.Rda[ADD]: Adding dataset for the
demo of FullyFlexibleExtremeViews by Meucci
* sandbox/Meucci/demo/S_plotGaussHermite.R[ADD]: New Demo for
gaussHermiteMesh function as given by Meucci
* sandbox/Meucci/R/HermiteGrid.R: Making hermitePolynomial
executable and adding a function gaussHermiteMesh
* sandbox/Meucci/demo/S_ToyExample.R[ADD]: Adding another example
for Fully Flexible Bayesian Network as suggested by Meucci
* sandbox/Meucci/R/FullyFlexibleBayesNets.R: Commenting out
unnecessary lines of code
* sandbox/Meucci/R/ButterflyTrading.R: Indenting and correcting
code
* sandbox/Meucci/demo/ButterflyTrading.R: Correcting code
* sandbox/Meucci/data/butterflyAnalytics.Rda[ADD]: Consolidating
data for ButterflyTrading in one workspace
* sandbox/Meucci/R/CmaCopula.R: Cleaning and checking results
against Meucci's Matlab Version
* sandbox/Meucci/R/EntropyProg.R: Changing the parameter list for
pHist
2012-07-04 matthieu_lestel
* R/SystematicRisk.R, R/TotalRisk.R, R/TreynorRatio.R,
man/SystematicRisk.Rd, man/TreynorRatio.Rd: Modified Treynor
ratio with examples and documentation
2012-07-02 matthieu_lestel
* R/SkewnessKurtosisRatio.R, man/SkewnessKurtosisRatio.Rd: addition
of expected value in the exemples
* R/SkewnessKurtosisRatio.R[ADD],
man/SkewnessKurtosisRatio.Rd[ADD]: SkewnessKurtosisRatio with
examples and documentation
2012-06-30 matthieu_lestel
* R/DownsideDeviation.R, R/UpsideRisk.R,
R/VolatilitySkewness.R[ADD], man/DownsideDeviation.Rd,
man/UpsideRisk.Rd, man/VolatilitySkewness.Rd[ADD]: Volatiliy and
variability skewness with examples and documentation
2012-06-29 matthieu_lestel
* R/OmegaSharpeRatio.R[ADD], man/OmegaSharpeRatio.Rd[ADD]:
OmegaSharpeRatio with examples and documentation
* R/DownsideDeviation.R: modification of DownsideDeviation to make
it easier to use for other functions
2012-06-28 matthieu_lestel
* R/TotalRisk.R[ADD], man/TotalRisk.Rd[ADD]: Total risk with
examples and documentation
2012-06-26 matthieu_lestel
* R/CAPM.jensenAlpha.R, R/SystematicRisk.R[ADD],
man/CAPM.jensenAlpha.Rd, man/SystematicRisk.Rd[ADD]: Systematic
risk with exemples and documentation
2012-06-25 matthieu_lestel
* R/CAPM.epsilon.R, R/CAPM.jensenAlpha.R[ADD], man/CAPM.epsilon.Rd,
man/CAPM.jensenAlpha.Rd[ADD]: jensen's alpha with exemples and
documentation
* R/CAPM.alpha.R, R/CAPM.epsilon.R[ADD], R/UpsideRisk.R,
data/portfolio_bacon.csv, man/CAPM.epsilon.Rd[ADD]: epsilon
regression with documentation
2012-06-25 mkshah
* sandbox/Meucci/demo/FullyFlexibleBayesNets.R: Cleaned code and
checked against Meucci's Matlab Code
* sandbox/Meucci/R/FullyFlexibleBayesNets.R: Code cleaning
2012-06-24 mkshah
* sandbox/Meucci/demo/InvariantProjection.R[ADD]: Created a new
demo file for InvariantProjection and checked the results with
Meucci's Matlab Code
* sandbox/Meucci/R/InvariantProjection.R: Cleaned code and shifted
the demo part to demo/InvariantProjection.R
* sandbox/Meucci/R/HermiteGrid.R: Moving common functions
prior2Posterior and pHist to EntropyProg.R
* sandbox/Meucci/R/EntropyProg.R: Moving common functions pHist and
prior2Posterior to EntropyProg.R
* sandbox/Meucci/R/Prior2Posterior.R: Moving common functions to
EntropyProg.R
* sandbox/Meucci/demo/HermiteGrid_demo.R: Cleaned and checked
against Meucci's Matlab Code
* sandbox/Meucci/R/HermiteGrid.R: Cleaned and verified output with
Meucci's Matlab Code.
* sandbox/Meucci/data/ghq1000.rda[ADD]: Dataset for HermiteGrid
Demo
* sandbox/Meucci/R/DetectOutliersviaMVE.R: Cleaned file and checked
against Meucci's Matlab Code
* sandbox/Meucci/demo/DetectOutliersviaMVE.R: Cleaned file and
checked against Meucci's Matlab Code.
* sandbox/Meucci/demo/Prior2Posterior.R: Adding missing statements
2012-06-21 matthieu_lestel
* R/Kappa.R[ADD], man/DRatio.Rd, man/Kappa.Rd[ADD]: addition of
kappa with examples and documentation
* R/DRatio.R[ADD], man/BernardoLedoitratio.Rd, man/DRatio.Rd[ADD],
man/DownsideDeviation.Rd, man/DownsideFrequency.Rd,
man/UpsideFrequency.Rd, man/UpsideRisk.Rd: d ratio with exemples
and documentation
2012-06-20 matthieu_lestel
* R/BernadoLedoitratio.R, R/DownsideDeviation.R,
R/DownsideFrequency.R, R/UpsideFrequency.R, R/UpsideRisk.R: end
of tests for UpsideRisk and correction of a little bug in all
examples
* R/BernadoLedoitratio.R[ADD], man/BernardoLedoitratio.Rd[ADD]:
addition of Bernado and Ledoit ratio and its documentation
* R/UpsideFrequency.R[ADD], man/UpsideFrequency.Rd[ADD]: addition
of Upside Frequency and its documentation
2012-06-19 matthieu_lestel
* R/DownsideFrequency.R[ADD], data/portfolio_bacon.csv[ADD],
data/portfolio_bacon.rda[ADD], man/DownsideFrequency.Rd[ADD],
man/UpsideRisk.Rd: DownsideFrequency with exemples and
documentation and addition of Bacon data
2012-06-17 mkshah
* sandbox/Meucci/R/Prior2Posterior.R: Adding function pHist as seen
in Meucci's Matlab Code and making PlotDistributions function
work
* sandbox/Meucci/Meucci_functions.csv: Added the new S&P example
added for Robust Bayesian Allocation to the list of scripts
* sandbox/Meucci/R/RobustBayesianAllocation.R: Adding Reference and
Matlab Source Code Information
* sandbox/Meucci/demo/RankingInformation.R: Adding StackedBarChart
function for PosteriorFrontier
* sandbox/Meucci/R/RankingInformation.R: Making StackedBarChart
function usable by shifting warnings to the calling function,
removing repeated implementation of ViewRanking() function and
modifying indentation
* sandbox/Meucci/R/EntropyProg.R: Changing the tolerance for
optimization function from 1e-7 to 1e-6 as used by Meucci
* sandbox/Meucci/data/ReturnsDistribution.rda[ADD]: Changed the
name of MeucciReturnsDistribution.rda to ReturnsDistribution.rda
* sandbox/Meucci/demo/RankingInformation.R: Used the Function
StackedBarChart and removed unnecessary indentation
* sandbox/Meucci/demo/S_SnPCaseStudy.R[ADD]: SnPCaseStudy Demo File
provided by Attilio Meucci
* sandbox/Meucci/data/SectorsSnP500.rda[ADD]: Data file for the
example SnPCaseStudy provided by Attilio Meucci
2012-06-11 matthieu_lestel
* R/UpsideRisk.R[ADD], man/DownsideDeviation.Rd,
man/UpsideRisk.Rd[ADD]: Upside Risk, Variance and Potential with
their documentation documentation
2012-06-09 mkshah
* sandbox/Meucci/Meucci_functions.csv: Changing the semi-colons to
commas
2012-06-08 braverock
* R/CoMoments.R, man/BetaCoMoments.Rd[CPY],
man/BetaCoVariance.Rd[DEL]: - roxygenize BetaCoMoments
documentation. I think this is the last to get roxygenized.
2012-06-07 braverock
* sandbox/Meucci/DESCRIPTION[ADD],
sandbox/Meucci/FactorDistributions.rda[DEL],
sandbox/Meucci/MeucciAnalyticalvsNumerical.R[DEL],
sandbox/Meucci/MeucciButterflyTrading.R[DEL],
sandbox/Meucci/MeucciCmaCopula.R[DEL],
sandbox/Meucci/MeucciEntropyProg.R[DEL],
sandbox/Meucci/MeucciFreaqEst.rda[DEL],
sandbox/Meucci/MeucciFullFlexibleBayesNets.R[DEL],
sandbox/Meucci/MeucciHermiteGrid.R[DEL],
sandbox/Meucci/MeucciInvariantProjection.R[DEL],
sandbox/Meucci/MeucciRankingInformation.R[DEL],
sandbox/Meucci/MeucciReturnsDistribution.rda[DEL],
sandbox/Meucci/MeucciRobustBayesianAllocation.R[DEL],
sandbox/Meucci/MeucciTweakTest.rda[DEL],
sandbox/Meucci/Meucci_DetectOutliersviaMVE.R[DEL],
sandbox/Meucci/Meucci_functions.csv, sandbox/Meucci/R[ADD],
sandbox/Meucci/R/ButterflyTrading.R[CPY],
sandbox/Meucci/R/CmaCopula.R[CPY],
sandbox/Meucci/R/DetectOutliersviaMVE.R[CPY],
sandbox/Meucci/R/EntropyProg.R[CPY],
sandbox/Meucci/R/FullyFlexibleBayesNets.R[CPY],
sandbox/Meucci/R/HermiteGrid.R[CPY],
sandbox/Meucci/R/InvariantProjection.R[CPY],
sandbox/Meucci/R/Prior2Posterior.R[CPY],
sandbox/Meucci/R/RankingInformation.R[CPY],
sandbox/Meucci/R/RobustBayesianAllocation.R[CPY],
sandbox/Meucci/R/logToArithmeticCovariance.R[CPY],
sandbox/Meucci/butterflyTradingX.rda[DEL],
sandbox/Meucci/data[ADD],
sandbox/Meucci/data/FactorDistributions.rda[CPY],
sandbox/Meucci/data/MeucciFreaqEst.rda[CPY],
sandbox/Meucci/data/MeucciReturnsDistribution.rda[CPY],
sandbox/Meucci/data/MeucciTweakTest.rda[CPY],
sandbox/Meucci/data/butterflyTradingX.rda[CPY],
sandbox/Meucci/demo[ADD],
sandbox/Meucci/demo/AnalyticalvsNumerical.R[ADD],
sandbox/Meucci/demo/ButterflyTrading.R[ADD],
sandbox/Meucci/demo/DetectOutliersviaMVE.R[ADD],
sandbox/Meucci/demo/FullyFlexibleBayesNets.R[ADD],
sandbox/Meucci/demo/HermiteGrid_demo.R[ADD],
sandbox/Meucci/demo/Prior2Posterior.R[ADD],
sandbox/Meucci/demo/RankingInformation.R[ADD],
sandbox/Meucci/demo/RobustBayesianAllocation.R[ADD],
sandbox/Meucci/demo/logToArithmeticCovariance.R[ADD],
sandbox/Meucci/logToArithmeticCovariance.R[DEL],
sandbox/Meucci/man[ADD],
sandbox/Meucci/man/CMAcombination.Rd[ADD],
sandbox/Meucci/man/CMAseparation.Rd[ADD],
sandbox/Meucci/man/Central2Raw.Rd[ADD],
sandbox/Meucci/man/ComputeMVE.Rd[ADD],
sandbox/Meucci/man/ComputeMoments.Rd[ADD],
sandbox/Meucci/man/CondProbViews.Rd[ADD],
sandbox/Meucci/man/Cumul2Raw.Rd[ADD],
sandbox/Meucci/man/DetectOutliersViaMVE.Rd[ADD],
sandbox/Meucci/man/EfficientFrontier.Rd[ADD],
sandbox/Meucci/man/EntropyProg.Rd[ADD],
sandbox/Meucci/man/GenerateLogNormalDistribution.Rd[ADD],
sandbox/Meucci/man/MvnRnd.Rd[ADD],
sandbox/Meucci/man/NoisyObservations.Rd[ADD],
sandbox/Meucci/man/PanicCopula.Rd[ADD],
sandbox/Meucci/man/PartialConfidencePosterior.Rd[ADD],
sandbox/Meucci/man/PlotDistributions.Rd[ADD],
sandbox/Meucci/man/Prior2Posterior.Rd[ADD],
sandbox/Meucci/man/ProjectInvariant.Rd[ADD],
sandbox/Meucci/man/Raw2Central.Rd[ADD],
sandbox/Meucci/man/Raw2Cumul.Rd[ADD],
sandbox/Meucci/man/RejectOutlier.Rd[ADD],
sandbox/Meucci/man/StackedBarChart.Rd[ADD],
sandbox/Meucci/man/SummStats.Rd[ADD],
sandbox/Meucci/man/Tweak.Rd[ADD],
sandbox/Meucci/man/ViewRanking.Rd[ADD],
sandbox/Meucci/man/efficientFrontier.Rd[ADD],
sandbox/Meucci/man/linreturn.Rd[ADD],
sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd[ADD],
sandbox/Meucci/man/std.Rd[ADD]:
2012-06-07 matthieu_lestel
* R/DownsideDeviation.R, man/DownsideDeviation.Rd: update in
DownsideDeviation documentation for the html version
2012-06-06 braverock
* DESCRIPTION, R/chart.QQPlot.R, man/DownsideDeviation.Rd,
man/chart.ECDF.Rd, man/chart.QQPlot.Rd: - update roxygen docs.
bump version
2012-06-06 matthieu_lestel
* R/DownsideDeviation.R: Documentation of DownsideDeviation and
DownsidePotential updated
2012-06-05 ababii
* data/portfolio.rda[DEL]: - remove old data. I will add new later
to the sandbox directory.
* R/Return.level.R[DEL], R/attribution.arithmetic.R[DEL],
R/attribution.geometric.R[DEL], R/attribution.levels.R[DEL]:
Moving attribution functions to the sandbox directory
2012-06-04 ababii
* R/Return.level.R, R/attribution.levels.R[ADD]: Some improvements
in the Return.level functions.
attribution.levels is a prototype of the multi-level attribution
function with working example. Currently it works only with 3
levels and may fail if used on other data than included example.
* R/Return.level.R[ADD], R/aggregate.R[DEL]: Replaced aggregate.R
by Return.level.R. Now it can use vector weights or periodically
rebalanced weights in the same fashion as Return.portfolio