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fix: freq undefined when scale set for some tables #164

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fix: freq undefined when scale set for some tables #164

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7 changes: 5 additions & 2 deletions R/table.Distributions.R
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Original file line number Diff line number Diff line change
Expand Up @@ -42,7 +42,8 @@ function (R, scale = NA, digits = 4)

#set up frequency
if(is.na(scale)) {
freq = periodicity(y)
freq = periodicity(R)
name <- paste0(freq$scale," Std Dev")
switch(freq$scale,
minute = {stop("Data periodicity too high")},
hourly = {stop("Data periodicity too high")},
Expand All @@ -52,13 +53,15 @@ function (R, scale = NA, digits = 4)
quarterly = {scale = 4},
yearly = {scale = 1}
)
} else {
name <- paste0("Std Dev")
}

# for each column, do the following:
for(column in 1:columns) {
z = c(StdDev.annualized(y[,column,drop=FALSE])/sqrt(scale), skewness(y[,column,drop=FALSE], method = "moment"), kurtosis(y[,column,drop=FALSE], method = "moment"), kurtosis(y[,column,drop=FALSE], method = "excess"), skewness(y[,column,drop=FALSE], method = "sample"), kurtosis(y[,column,drop=FALSE], method = "sample_excess"))

znames = c(paste(freq$scale," Std Dev"), "Skewness", "Kurtosis", "Excess kurtosis", "Sample skewness", "Sample excess kurtosis")
znames = c(name, "Skewness", "Kurtosis", "Excess kurtosis", "Sample skewness", "Sample excess kurtosis")


if(column == 1) {
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5 changes: 4 additions & 1 deletion R/table.DownsideRiskRatio.R
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Original file line number Diff line number Diff line change
Expand Up @@ -46,6 +46,7 @@ function (R, MAR = 0, scale = NA, digits = 4)
#set up frequency
if(is.na(scale)) {
freq = periodicity(R)
name <- paste0(freq$scale," downside risk")
switch(freq$scale,
minute = {stop("Data periodicity too high")},
hourly = {stop("Data periodicity too high")},
Expand All @@ -55,13 +56,15 @@ function (R, MAR = 0, scale = NA, digits = 4)
quarterly = {scale = 4},
yearly = {scale = 1}
)
} else {
name <- paste0("downside risk")
}

# for each column, do the following:
for(column in 1:columns) {
z = c(DownsideDeviation(y[,column,drop=FALSE], MAR = MAR), DownsideDeviation(y[,column,drop=FALSE], MAR = MAR)*sqrt(scale), DownsidePotential(y[,column,drop=FALSE], MAR = MAR), UpsideRisk(y[,column,drop=FALSE], MAR = MAR, stat = "potential")/DownsidePotential(y[,column,drop=FALSE], MAR = MAR), SortinoRatio(y[,column,drop=FALSE], MAR = MAR), UpsideRisk(y[,column,drop=FALSE], MAR = MAR, stat = "potential"), UpsidePotentialRatio(y[,column,drop=FALSE], MAR = MAR), OmegaSharpeRatio(y[,column,drop=FALSE], MAR = MAR))

znames = c(paste0(freq$scale," downside risk"), "Annualised downside risk", "Downside potential", "Omega", "Sortino ratio", "Upside potential", "Upside potential ratio", "Omega-sharpe ratio")
znames = c(name, "Annualised downside risk", "Downside potential", "Omega", "Sortino ratio", "Upside potential", "Upside potential ratio", "Omega-sharpe ratio")
if(column == 1) {
resultingtable = data.frame(Value = z, row.names = znames)
}
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5 changes: 4 additions & 1 deletion R/table.Variability.R
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Original file line number Diff line number Diff line change
Expand Up @@ -46,6 +46,7 @@ function (R, scale = NA, geometric = TRUE, digits = 4)
#set up frequency
if(is.na(scale)) {
freq = periodicity(R)
name <- paste0(freq$scale," Std Dev")
switch(freq$scale,
minute = {stop("Data periodicity too high")},
hourly = {stop("Data periodicity too high")},
Expand All @@ -55,13 +56,15 @@ function (R, scale = NA, geometric = TRUE, digits = 4)
quarterly = {scale = 4},
yearly = {scale = 1}
)
} else {
name <- paste0("Std Dev")
}

# for each column, do the following:
for(column in 1:columns) {
z = c(MeanAbsoluteDeviation(y[,column,drop=FALSE]), StdDev.annualized(y[,column,drop=FALSE], scale = scale)/sqrt(scale), StdDev.annualized(y[,column,drop=FALSE], scale = scale))

znames = c("Mean Absolute deviation", paste0(freq$scale," Std Dev"), "Annualized Std Dev")
znames = c("Mean Absolute deviation", name, "Annualized Std Dev")


if(column == 1) {
Expand Down