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 function. * R/aggregate.R: Corrected some mistakes. Added descriptions. The function returns aggregated returns and weights to the chosen level from the hierarchy. 2012-06-03 mkshah * sandbox/Meucci/MeucciRobustBayesianAllocation.R: Checked the formula and results compared with Meucci's Matlab Program 2012-06-03 ababii * R/aggregate.R: * R/contribution.R[DEL]: * R/aggregate.R[ADD], R/attribution.geometric.R[ADD]: * R/attribution.arithmetic.R: 2012-06-01 matthieu_lestel * R/DownsideDeviation.R: Corrections in functions DownsideDeviation and DownsidePotential to match Bacon 2008 2012-05-31 matthieu_lestel * R/zzz.R: test commit 2012-05-26 ababii * R/attribution.arithmetic.R[ADD], R/contribution.R: A sketch for attribution function 2012-05-25 braverock * R/Drawdowns.R: - revert change from r1949 to previous behavior (r1855 and prior) after further consultation with Pat Burns 2012-05-25 ababii * R/contribution.R: Added support of matrix input 2012-05-24 braverock * R/CoMoments.R, man/CoMoments.Rd[CPY], man/CoVariance.Rd[DEL]: - roxygenize CoMoments Rd 2012-05-23 braverock * R/CoMoments.R, R/chart.RollingRegression.R, R/replaceTabs.R, R/table.RollingPeriods.R, R/textplot.R, man/centeredmoments.Rd, man/chart.RollingRegression.Rd, man/table.RollingPeriods.Rd, man/textplot.Rd: - fix codoc errors from roxygen conversion * R/CAPM.utils.R, R/StdDev.annualized.R, R/chart.QQPlot.R, man/CAPM.RiskPremium.Rd, man/StdDev.annualized.Rd: - fix codoc errors from roxygen conversion * R/SortinoRatio.R: - apply dots to DownsideDeviation function, per request from Suraj Gupta * DESCRIPTION: - adjust Contributors and Thanks * R/chart.QQPlot.R, man/chart.QQPlot.Rd: - manually fix chart.QQplot Rd, might still be broken for roxygen * R/Return.clean.R, R/chart.QQPlot.R, R/mean.utils.R, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd, man/chart.Histogram.Rd, man/chart.QQPlot.Rd, man/chart.RelativePerformance.Rd, man/chart.TimeSeries.Rd, man/clean.boudt.Rd, man/mean.geometric.Rd: - more changes to complete roxygen conversion of the documentation * R/ActivePremium.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CalmarRatio.R, R/ES.R, R/MultivariateMoments.R, R/Return.read.R, R/apply.fromstart.R, R/apply.rolling.R, R/chart.BarVaR.R, R/chart.Drawdown.R, R/chart.Events.R, R/chart.Histogram.R, R/chart.QQPlot.R, R/chart.Regression.R, R/chart.RelativePerformance.R, R/chart.RollingCorrelation.R, R/chart.RollingPerformance.R, R/chart.RollingQuantileRegression.R, R/chart.RollingRegression.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/findDrawdowns.R, R/mean.utils.R, R/sortDrawdowns.R, R/table.CalendarReturns.R, R/table.DownsideRisk.R, R/table.Drawdowns.R, R/table.MonthlyReturns.R: - improvements to roxygen docs supporting svn r1954 * DESCRIPTION, man/ActivePremium.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd, man/CAPM.beta.Rd, man/CDD.Rd, man/CalmarRatio.Rd, man/DownsideDeviation.Rd, man/ES.Rd, man/InformationRatio.Rd, man/KellyRatio.Rd, man/Omega.Rd, man/PerformanceAnalytics-package.Rd, man/Return.Geltner.Rd, man/Return.annualized.Rd, man/Return.calculate.Rd, man/Return.clean.Rd, man/Return.cumulative.Rd, man/Return.excess.Rd, man/Return.portfolio.Rd, man/Return.read.Rd, man/Return.relative.Rd, man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd, man/SmoothingIndex.Rd, man/SortinoRatio.Rd, man/StdDev.Rd, man/StdDev.annualized.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd, man/UpDownRatios.Rd, man/UpsidePotentialRatio.Rd, man/VaR.Rd, man/apply.fromstart.Rd, man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd, man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd, man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd, man/chart.CumReturns.Rd, man/chart.Drawdown.Rd, man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd, man/chart.QQPlot.Rd, man/chart.Regression.Rd, man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd, man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd, man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd, man/chart.Scatter.Rd, man/chart.SnailTrail.Rd, man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd, man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd, man/charts.RollingPerformance.Rd, man/checkData.Rd, man/findDrawdowns.Rd, man/kurtosis.Rd, man/legend.Rd, man/maxDrawdown.Rd, man/mean.geometric.Rd, man/skewness.Rd, man/sortDrawdowns.Rd, man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd, man/table.Autocorrelation.Rd, man/table.CAPM.Rd, man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd, man/table.Correlation.Rd, man/table.DownsideRisk.Rd, man/table.Drawdowns.Rd, man/table.HigherMoments.Rd, man/table.MonthlyReturns.Rd, man/table.RollingPeriods.Rd, man/textplot.Rd, man/zerofill.Rd: 2012-05-23 ababii * R/contribution.R: Function to calculate contribution of returns * data/portfolio.rda[ADD]: A small dataset. It will be extended latter. 2012-05-22 mkshah * sandbox/Meucci/MeucciRobustBayesianAllocation.R: Making a Test Commit 2012-05-20 braverock * inst/doc/PA-charts.Rnw: - apply patch from Evelyn Mitchell that fixes long-standing typos s/Palates/Palettes/ in PA-charts.Rnw 2012-05-19 braverock * R/Drawdowns.R: - fix error in calculating drawdown with arithmetic returns. thanks to Pat Burns for the patch 2012-05-04 ababii * R/contribution.R[ADD]: Test submission to make sure that I can make commits 2012-05-04 peter_carl * R/chart.BarVaR.R: - fixed color of lower bars when show.greenredbars = TRUE 2012-05-03 braverock * NAMESPACE: - remove S3method line for mean.matrix, as this exports the function 2012-05-01 braverock * R/ES.R: - pass mu and sigma to M# and M4 if we have them 2012-04-28 peter_carl * R/chart.QQPlot.R: - added parameter to roxygen doc * R/chart.QQPlot.R: - added ylim into plot 2012-04-27 peter_carl * R/chart.ECDF.R, R/chart.QQPlot.R: - added parameters for hiding x and y axes 2012-04-23 braverock * sandbox/Meucci[ADD], sandbox/Meucci/.~lock.Meucci_functions.csv#[ADD], sandbox/Meucci/FactorDistributions.rda[ADD], sandbox/Meucci/MeucciAnalyticalvsNumerical.R[ADD], sandbox/Meucci/MeucciButterflyTrading.R[ADD], sandbox/Meucci/MeucciCmaCopula.R[ADD], sandbox/Meucci/MeucciEntropyProg.R[ADD], sandbox/Meucci/MeucciFreaqEst.rda[ADD], sandbox/Meucci/MeucciFullFlexibleBayesNets.R[ADD], sandbox/Meucci/MeucciHermiteGrid.R[ADD], sandbox/Meucci/MeucciInvariantProjection.R[ADD], sandbox/Meucci/MeucciRankingInformation.R[ADD], sandbox/Meucci/MeucciReturnsDistribution.rda[ADD], sandbox/Meucci/MeucciRobustBayesianAllocation.R[ADD], sandbox/Meucci/MeucciTweakTest.rda[ADD], sandbox/Meucci/Meucci_DetectOutliersviaMVE.R[ADD], sandbox/Meucci/Meucci_functions.csv[ADD], sandbox/Meucci/butterflyTradingX.rda[ADD], sandbox/Meucci/logToArithmeticCovariance.R[ADD]: - add Meucci functions and data ported from original Matlab code contributed by Ram Ahluwalia 2012-04-21 braverock * R/chart.BarVaR.R: - additional movement towards converting PerfA to use roxygen2 for documentation * R/CalmarRatio.R, R/CoMoments.R, R/DownsideDeviation.R, R/ES.R, R/Return.clean.R, R/Return.portfolio.R, R/SharpeRatio.R, R/StdDev.R, R/StdDev.annualized.R, R/UpsidePotentialRatio.R, R/VaR.R, R/chart.Histogram.R, R/expectedShortFallFunctions.r, R/findDrawdowns.R, R/maxDrawdown.R, R/skewness.R, R/sortDrawdowns.R, R/table.Arbitrary.R, R/table.MonthlyReturns.R, R/table.RollingPeriods.R, R/textplot.R, R/zerofill.R: - additional movement towards converting PerfA to use roxygen2 for documentation * DESCRIPTION: - bump commit to test R-Forge commit list functionality. 2012-04-18 braverock * DESCRIPTION: - add Date keyword property to DESCRIPTION * DESCRIPTION: - bump date 2012-04-02 braverock * R/Return.calculate.R: - revert to prior lag behavior for Return.calculate. bug noticed in same day by Tomáš Bálint and Effrem Sternbach 2012-03-31 braverock * inst/doc/textplotPresentation-CRUG-2011.Rnw: - change index entry to "How to Present Tables in Plot Devices" * DESCRIPTION, inst/doc/PA-charts.Rnw, inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw, inst/doc/PerformanceAnalyticsPresentation-UseR-2007.Rnw, inst/doc/textplotPresentation-CRUG-2011.Rnw: - fix Sweave Index - add svn properties - bump revision post CRAN release 2012-03-30 braverock * DESCRIPTION: - remove PA-techniques.tex - bump CRAN version 2012-03-29 braverock * NEWS: - update NEWS before CRAN submit * DESCRIPTION, R/DownsideDeviation.R, R/chart.StackedBar.R, R/expectedShortFallFunctions.r, R/table.Drawdowns.R: - additional changes to pass 'no visible binding for global variable' NOTE's in R CMD check 2012-03-25 braverock * DESCRIPTION, R/chart.BarVaR.R, R/chart.CumReturns.R, R/chart.Drawdown.R, R/chart.RelativePerformance.R, R/chart.RollingCorrelation.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/table.CalendarReturns.R: - multiple updates to appease BDR * ChangeLog: - update ChangeLog * DESCRIPTION, NEWS: - bump version to 1.0.4.1 - update NEWS * DESCRIPTION: - remove Suggests for SparseM * inst/doc/textplotPresentation-CRUG-2011.pdf[ADD]: - add compiled PDF * DESCRIPTION, NAMESPACE, R/ActivePremium.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.utils.R, R/CalmarRatio.R, R/DownsideDeviation.R, R/ES.R, R/HurstIndex.R, R/InformationRatio.R, R/KellyRatio.R, R/Omega.R, R/PortfolioRisk.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/SharpeRatio.R, R/SharpeRatio.annualized.R, R/SmoothingIndex.R, R/SortinoRatio.R, R/StdDev.R, R/StdDev.annualized.R, R/TrackingError.R, R/TreynorRatio.R, R/UpDownRatios.R, R/UpsidePotentialRatio.R, R/VaR.R, R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R, R/chart.Bar.R, R/chart.BarVaR.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.Events.R, R/chart.Histogram.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.RollingRegression.R, R/chart.Scatter.R, R/chart.SnailTrail.R, R/chart.StackedBar.R, R/chart.TimeSeries.R, R/chart.VaRSensitivity.R, R/charts.PerformanceSummary.R, R/charts.RollingPerformance.R, R/checkData.R, R/checkData.patch[DEL], R/expectedShortFallFunctions.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.DownsideRisk.R, R/table.Drawdowns.R, R/table.HigherMoments.R, R/table.MonthlyReturns.R, R/table.RollingPeriods.R, R/textplot.R, R/zerofill.R, R/zzz.R, inst/doc/PA-charts.Rnw, inst/doc/PA-charts.pdf, inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.pdf, inst/doc/PerformanceAnalyticsPresentation-UseR-2007.pdf, man/DownsideDeviation.Rd, man/SharpeRatio.Rd, man/SortinoRatio.Rd, man/StdDev.Rd, man/StdDev.annualized.Rd, man/chart.BarVaR.Rd, tests/Examples/PerformanceAnalytics-Ex.Rout.save: - multiple changes to pass R CMD check on new R core - sd.xts and mean.xts methods - bump version to 1.0.4 2012-03-24 braverock * man/table.Drawdowns.Rd: -remove extra brace 2012-03-11 peter_carl * R/Return.portfolio.R: - fixed bug causing duplicated rows when calculated results are blank 2012-01-15 braverock * DESCRIPTION: - bump version and date - formally add Kris as an author * DESCRIPTION, R/ActivePremium.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.utils.R, R/CalmarRatio.R, R/CoMoments.R, R/DownsideDeviation.R, R/Drawdowns.R, R/ES.R, R/HerfindahlIndex.R, R/HurstIndex.R, R/InformationRatio.R, R/KellyRatio.R, R/MultivariateMoments.R, R/Omega.R, R/PainIndex.R, R/PortfolioRisk.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.index.R, R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R, R/Return.wealthindex.R, R/SemiDeviation.R, R/SharpeRatio.R, R/SharpeRatio.annualized.R, R/SmoothingIndex.R, R/SortinoRatio.R, R/StdDev.R, R/StdDev.annualized.R, R/TrackingError.R, R/TreynorRatio.R, R/UlcerIndex.R, R/UpDownRatios.R, R/UpsidePotentialRatio.R, R/VaR.Marginal.R, R/VaR.R, R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R, R/chart.ACFplus.R, R/chart.Bar.R, R/chart.BarVaR.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.Events.R, R/chart.Histogram.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.RollingRegression.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/checkData.patch[ADD], R/decomposeMVaR.R[ADD], R/expectedShortFallFunctions.r, R/findDrawdowns.R, R/kurtosis.R, R/legend.R, R/maxDrawdown.R, R/mean.utils.R, R/na.skip.R, R/rCornishFisher.r, R/replaceTabs.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.DownsideRisk.R, R/table.Drawdowns.R, R/table.HigherMoments.R, R/table.MonthlyReturns.R, R/table.RollingPeriods.R, R/table.UpDownRatios.R, R/textplot.R, R/valueAtRiskFunctions.r, R/zerofill.R, R/zzz.R: - update copyright to 2012 * inst/doc/PA-charts.Rnw, inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw, inst/doc/PerformanceAnalyticsPresentation-UseR-2007.Rnw: - replace \char`\"{} with " in vignettes per a request from Kurt Hornik related to recent changes in Rd.sty 2011-09-17 braverock * man/centeredmoments.Rd: - fix broken equation * man/Return.read.Rd: - change syntax from \itemize to \describe * man/BetaCoMoments.Rd[DEL], man/BetaCoVariance.Rd[CPY], man/CAPM.RiskPremium.Rd[CPY], man/CAPM.utils.Rd[DEL], man/CoMoments.Rd[DEL], man/CoVariance.Rd[CPY], man/PerformanceAnalytics-internal.Rd[DEL], man/VaR.Rd, man/legend.Rd[CPY], man/mean.geometric.Rd[CPY], man/mean.utils.Rd[DEL]: - rename files in advance of Rd2roxygen conversion 2011-08-30 peter_carl * R/maxDrawdown.R: - added AverageRecovery function * R/DownsideDeviation.R: - added DownsidePotential function * R/SharpeRatio.R: - added function for annualizing SR, particularly modified SRs - TODO Need to fix calculation method for portfolio SR with weights - TODO Need to consolidate calculation methods at some point * R/StdDev.annualized.R: - added dots to each wrapper for handling other parameters cleanly 2011-08-30 braverock * NAMESPACE, R/ES.R, man/ES.Rd: - add and export CVaR and ETL aliases for ES function 2011-08-24 peter_carl * R/CalmarRatio.R: - fixed operator for Sterling Ratio to add excess 2011-07-26 braverock * man/CAPM.beta.Rd: - fix equation denominator per Kris 2011-06-20 peter_carl * R/StdDev.R: - added method parameter to be passed into cov * R/StdDev.R: - added use parameter to be passed into cov 2011-06-05 peter_carl * man/chart.TimeSeries.Rd: - extends the list of NBER recession dates - Thanks to Michael Ash for contributing 2011-06-03 peter_carl * man/chart.TimeSeries.Rd: - fixed the prior documentation fix * R/chart.TimeSeries.R, man/chart.TimeSeries.Rd: - expanded functionality of period ranges to accept lower frequency date ranges than the underlying data 2011-06-02 peter_carl * inst/doc/textplotPresentation-CRUG-2011.Rnw[ADD]: - presentation to Chicago R Users Group in June 2011 2011-05-10 braverock * man/table.Drawdowns.Rd: - describe columns in returned table.Drawdowns 2011-03-18 braverock * man/charts.PerformanceSummary.Rd: - minor wording change 2011-03-17 braverock * R/chart.RiskReturnScatter.R: - apply patch modified from one from Eduardo Susini susini gmail com> to be more robust if option 'nocalc' is chosen 2011-01-24 peter_carl * R/charts.BarVaR.R: - needed to set ymin as well 2011-01-22 peter_carl * R/charts.BarVaR.R: - allows splitting small multiples across pages * R/charts.BarVaR.R: - added show.yaxis for varying displays * R/chart.BarVaR.R: - fixed legend error when legend.loc = NULL * R/chart.BarVaR.R: - added show.greenredbars to show gains in green and losses in red * R/chart.BarVaR.R: - added show.endvalue to display ending risk value in the right margin * R/charts.BarVaR.R: - allows ylim to be set 2011-01-21 braverock * DESCRIPTION, R/ActivePremium.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.utils.R, R/CalmarRatio.R, R/CoMoments.R, R/DownsideDeviation.R, R/Drawdowns.R, R/ES.R, R/HerfindahlIndex.R, R/HurstIndex.R, R/InformationRatio.R, R/KellyRatio.R, R/MultivariateMoments.R, R/Omega.R, R/PainIndex.R, R/PortfolioRisk.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.index.R, R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R, R/Return.wealthindex.R, R/SemiDeviation.R, R/SharpeRatio.R, R/SharpeRatio.annualized.R, R/SmoothingIndex.R, R/SortinoRatio.R, R/StdDev.R, R/StdDev.annualized.R, R/TrackingError.R, R/TreynorRatio.R, R/UlcerIndex.R, R/UpDownRatios.R, R/UpsidePotentialRatio.R, R/VaR.Marginal.R, R/VaR.R, R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R, R/chart.ACFplus.R, R/chart.Bar.R, R/chart.BarVaR.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.Events.R, R/chart.Histogram.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.RollingRegression.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/expectedShortFallFunctions.r, R/findDrawdowns.R, R/kurtosis.R, R/legend.R, R/maxDrawdown.R, R/mean.utils.R, R/na.skip.R, R/rCornishFisher.r, R/replaceTabs.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.DownsideRisk.R, R/table.Drawdowns.R, R/table.HigherMoments.R, R/table.MonthlyReturns.R, R/table.RollingPeriods.R, R/table.UpDownRatios.R, R/textplot.R, R/valueAtRiskFunctions.r, R/zerofill.R, R/zzz.R: - update copyright to 2011 - add license and copyright block to files that were missing it - add svn keywords to files missing them - update Contributors to add H. Felix Wittman * R/table.CAPM.R: - apply patch for consistency based on report by H. Felix Wittman < hfwittmann googlemail com > * R/sortDrawdowns.R: - replace body of function with lapply based version provided by H. Felix Wittman < hfwittmann googlemail com > 2011-01-17 braverock * man/Omega.Rd: - correct ambiguity in documentation for Rf in Omega related to problem reported by Tobias Verbeke * R/Omega.R: - apply mean(x) to Rf or L parameters with length(x)>1, problem reported by Tobias Verbeke * R/UpsidePotentialRatio.R: - apply patch from Tobias Verbeke for series time-varying MAR * R/sortDrawdowns.R: - apply patch from Tobias Verbeke for series with only one drawdown 2011-01-16 braverock * R/expectedShortFallFunctions.r[CPY], R/rCornishFisher.r[CPY], R/valueAtRiskFunctions.r[CPY]: - move to PerformanceAnalytics pkg/ 2011-01-14 braverock * DESCRIPTION: - bump version and Date - add Tobias Verbeke to contributors * R/SemiDeviation.R: - apply multi-column SemiVariance bug fix patch from Tobias Verbeke < tobias verbeke openanalytics com > 2011-01-10 braverock * R/SortinoRatio.R: - patch for time-varying MAR by Tobias Verbeke < tobias verbeke openanalytics eu > * R/CAPM.beta.R: - patch for when input is a timeSeries provided by Tobias Verbeke < tobias verbeke openanalytics eu > * R/CAPM.alpha.R, R/CAPM.beta.R: - patch for when input is a timeSeries provided by Tobias Verbeke < tobias verbeke openanalytics eu > 2011-01-03 braverock * R/DownsideDeviation.R: - fix bug where MAR is a timeseries reported by Tobias Verbeke < tobias verbeke openanalytics eu > 2010-12-01 peter_carl * R/chart.Regression.R: - fix for single benchmark 2010-11-30 peter_carl * R/chart.QQPlot.R: - removed par(op) for layout 2010-11-24 peter_carl * R/findDrawdowns.R: - fixed comparison bug caused by date-time index issues 2010-11-06 braverock * R/chart.CumReturns.R, man/chart.CumReturns.Rd: - apply patch from Aleksandr Rudnev to fix begin='axis' - add examples for begin argument to catch further regression 2010-11-01 braverock * R/SortinoRatio.R, man/SortinoRatio.Rd: - make SortinoRatio function 'portfolio-aware' by adding handling for weights - add Sortino-maximizing demo to PortfolioAnalytics - fix bug in plot method for random portfolios that could make optimum portfolio not appear 2010-09-17 braverock * R/table.CAPM.R: - convert to use TrackingError fn after bug report from mac com> 2010-09-16 peter_carl * sandbox/fPerformance[ADD], sandbox/fPerformance/DESCRIPTION[ADD], sandbox/fPerformance/R[ADD], sandbox/fPerformance/R/perf-Data.R[ADD], sandbox/fPerformance/R/perf-DownsideRisk.R[ADD], sandbox/fPerformance/R/perf-Drawdown.R[ADD], sandbox/fPerformance/R/perf-RegressionAnalysis.R[ADD], sandbox/fPerformance/R/perf-RelativeRisk.R[ADD], sandbox/fPerformance/R/perf-ReturnDisributions.R[ADD], sandbox/fPerformance/R/perf-Returns.R[ADD], sandbox/fPerformance/R/perf-Risk.R[ADD], sandbox/fPerformance/R/perf-RiskAdjusted.R[ADD], sandbox/fPerformance/R/perf-Tables.R[ADD], sandbox/fPerformance/R/perf-ValueAtRisk.R[ADD], sandbox/fPerformance/man[ADD], sandbox/fPerformance/man/perfAdjustedMeasures.Rd[ADD], sandbox/fPerformance/man/perfDistributionMeasures.Rd[ADD], sandbox/fPerformance/man/perfDownsideMeasures.Rd[ADD], sandbox/fPerformance/man/perfDrawdownMeasures.Rd[ADD], sandbox/fPerformance/man/perfRegressionMeasures.Rd[ADD], sandbox/fPerformance/man/perfRelativeMeasures.Rd[ADD], sandbox/fPerformance/man/perfVaRMeasures.Rd[ADD], sandbox/fPerformance/man/returns.Rd[ADD], sandbox/fPerformance/man/tables.Rd[ADD]: - initial commit of Diethelm's code contributions 2010-09-14 braverock * DESCRIPTION, R/Omega.R, man/table.Drawdowns.Rd, man/textplot.Rd, tests/Examples/PerformanceAnalytics-Ex.Rout.save: - updates to protect us from failures caused by 'Hmisc' overriding 'format' from R-base * ChangeLog: - ChangeLog after tag 1.0.3.1 * ChangeLog, DESCRIPTION, NEWS: - updates prior to 1.0.3.1 release * R/checkData.R: - patch provided by Jeff Ryan to fix bug introduced by changes to as.xts functionality 2010-08-27 braverock * man/ES.Rd: - fix typos 2010-08-04 peter_carl * sandbox/Benford.R: - outlined plot function 2010-08-04 braverock * NEWS: -update NEWS prior to CRAN release * DESCRIPTION: -update date prior to CRAN release * man/ES.Rd: - eliminate Xreference to orphaned package VaR 2010-08-04 peter_carl * sandbox/Benford.R: - improvements to table.Benford 2010-08-04 braverock * ChangeLog: - update Changelog prior to tag v1.0.3 2010-08-04 peter_carl * R/table.CalendarReturns.R: - added geometric to table.Returns as well * man/table.CalendarReturns.Rd: - added geometric attribute * R/table.CalendarReturns.R: - added geometric to attributes * R/chart.StackedBar.R: - removed op 2010-08-03 peter_carl * sandbox/Benford.R[ADD]: - first functions for implementing tests of Benford's law * man/chart.RollingPerformance.Rd: - fixed codoc error 2010-08-03 braverock * man/PerformanceAnalytics-package.Rd, man/VaR.Rd: - remove references to orphaned package 'VaR' * tests/Examples/PerformanceAnalytics-Ex.Rout.save: - reconcile differences between expected output and current code * R/ActivePremium.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.utils.R, R/CalmarRatio.R, R/CoMoments.R, R/DownsideDeviation.R, R/Drawdowns.R, R/ES.R, R/HerfindahlIndex.R[ADD], R/HurstIndex.R, R/InformationRatio.R, R/KellyRatio.R, R/MultivariateMoments.R, R/Omega.R, R/PainIndex.R, R/PortfolioRisk.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.index.R, R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R, R/Return.wealthindex.R, R/SemiDeviation.R, R/SharpeRatio.R, R/SharpeRatio.annualized.R, R/SmoothingIndex.R, R/SortinoRatio.R, R/StdDev.R, R/StdDev.annualized.R, R/TrackingError.R, R/TreynorRatio.R, R/UlcerIndex.R, R/UpDownRatios.R, R/UpsidePotentialRatio.R, R/VaR.Marginal.R, R/VaR.R, R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R, R/chart.ACFplus.R, R/chart.Bar.R, R/chart.BarVaR.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.Events.R, R/chart.Histogram.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.RollingRegression.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/na.skip.R, R/replaceTabs.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.DownsideRisk.R, R/table.Drawdowns.R, R/table.HigherMoments.R, R/table.MonthlyReturns.R, R/table.RollingPeriods.R, R/table.UpDownRatios.R, R/textplot.R, R/zerofill.R, R/zzz.R: - update all footer function, rationalize use of ID, Log, Rev keywords - ensure all code files have proper attribution, copyright, license * R/PortfolioRisk.R: - revert rev 1716 * man/PerformanceAnalytics-package.Rd: - update section on Style Analysis to point people to R-Forge FactorAnalytics * R/checkData.R: - fix typo to pass R CMD check * R/table.CAPM.R: - fix the way we call CAPM.beta.bear and CAPM.beta.bull to get back to expected results in R CMD check 2010-08-02 braverock * tests/Examples/PerformanceAnalytics-Ex.Rout.save: - remove trivial changes due to R version and test platform differences - TODO substantive changes still need reconciliation 2010-07-30 braverock * R/CoMoments.R, R/checkData.R, man/CoMoments.Rd: - updates to pass R CMD check - change merge to cbind - change "SP500.TR" to "SP500 TR" - don't transform an xts object to an xts object in checkData, just return 2010-07-28 braverock * R/PortfolioRisk.R: - t(w) to match portm4, seems like a regression bug * R/table.AnnualizedReturns.R: - pass geometric argument properly through to SharpeRatio.annualized bug report credit to Murali.Menon avivainvestors.com 2010-07-19 braverock * R/chart.RollingPerformance.R: - rearrange to use do.call so our lists of args works properly * R/chart.RollingPerformance.R: - fix separation of dots for plot and function 2010-07-15 peter_carl * R/chart.RollingPerformance.R: - first try to separate dots into FUN and plot separately 2010-07-13 braverock * man/VaR.Rd: - add another paragraph on Marginal VaR 2010-06-02 braverock * R/chart.Drawdown.R: - workaround provided by Samuel Le to handle single-column input 2010-06-01 peter_carl * R/HurstIndex.R[ADD]: - adding function 2010-05-29 peter_carl * R/maxDrawdown.R: - added AverageDrawdown function - added DrawdownDeviation function 2010-05-27 peter_carl * R/PainIndex.R[ADD]: - first commit of function * R/UlcerIndex.R: - fixed for NAs * R/UlcerIndex.R[ADD]: - first commit of function 2010-05-14 peter_carl * R/chart.Histogram.R: - fixed bug in labeling vertical lines - allow ylim to be passed in 2010-05-11 braverock * R/SharpeRatio.R: - finish fix for FUN/FUNC/FUNCT confusion reported by Giuseppe Milicia - only globally calculate Return.excess if weights is.null 2010-05-11 peter_carl * R/SharpeRatio.R: - fixed apply confusion with FUN - moved xR calculation into interior function 2010-05-10 braverock * R/Return.excess.R: - apply patch for edge case provided by Giuseppe Milicia 2010-05-08 peter_carl * man/ActivePremium.Rd: - fixed example 2010-04-30 peter_carl * NAMESPACE: - Removed functions that went into StyleAnalytics 2010-04-28 peter_carl * man/Style.Rd[DEL]: moving style functions to new pkg * R/chart.RollingStyle.R[DEL]: moving style functions to new pkg * R/chart.Style.R[DEL]: moving style functions to new pkg * R/style.fit.R[DEL]: moving style functions to new pkg * R/style.QPfit.R[DEL]: moving style functions to new pkg 2010-04-23 braverock * DESCRIPTION: - re-increment version to 1.0.3 * DESCRIPTION, man/PerformanceAnalytics-package.Rd, man/chart.CumReturns.Rd, man/charts.PerformanceSummary.Rd, tests/Examples/PerformanceAnalytics-Ex.Rout.save: - fix silly escaped backslash fatal error in examples on R 2.11.0 check 2010-04-15 braverock * DESCRIPTION: - update DESCRIPTION * NEWS: - back-port release notes from v 0.9.7 * NEWS: - update with Release Notes for v1.0.2 2010-04-08 braverock * DESCRIPTION: - update Description - bump version to 1.0.3 post-release 2010-04-07 braverock * ChangeLog: - update Changelog prior to 1.0.2 tag * DESCRIPTION, man/Return.portfolio.Rd, man/SortinoRatio.Rd, man/TreynorRatio.Rd, man/maxDrawdown.Rd, tests/Examples/PerformanceAnalytics-Ex.Rout.save: - minor updates prior to release * man/CDD.Rd: - update doc title and topics 2010-04-06 braverock * man/CDD.Rd: - add examples * R/StdDev.R: - updates to pass R CMD check * R/VaR.R, R/maxDrawdown.R, man/CDD.Rd[ADD], man/charts.PerformanceSummary.Rd: - updates to pass R CMD check 2010-03-17 peter_carl * R/charts.BarVaR.R: - fixed text alignment and size in box frame title 2010-03-16 peter_carl * R/charts.PerformanceSummary.R: - fixed ylab * R/charts.PerformanceSummary.R: - changed ylab in charts 2010-03-14 braverock * R/Return.portfolio.R: - change stop to warning for date overlap check in Return.rebalancing 2010-03-14 peter_carl * R/chart.BarVaR.R: - added rounding to labels 2010-03-10 braverock * man/ES.Rd, man/VaR.Rd, man/chart.RelativePerformance.Rd: - add concept tags to docs to improve searchability 2010-03-06 braverock * R/ES.R, R/VaR.R: - reorganize checks to better reflect option for R to be NULL if moments are passed credit Kris Boudt for the suggestion. 2010-03-05 braverock * R/charts.PerformanceSummary.R: - add 'drawdown' to third panel label * R/ES.R, R/PortfolioRisk.R, R/VaR.R, R/maxDrawdown.R, man/ES.Rd, man/VaR.Rd, man/maxDrawdown.Rd: - allow R param to be NULL if moments are passed - update docs - implement VaR.historical non-exported utility function 2010-03-04 braverock * man/Return.portfolio.Rd: - update documentation to more fully explain how rebalancing periods work * R/Return.portfolio.R: - add checks to make sure data series and rebalancing periods actually overlap 2010-03-03 braverock * R/Return.portfolio.R: - fix lag in Return.rebalancing so new weights apply 'from' immediately *after* the weights change 'to' the time of next change - don't call Return.portfolio from Return.rebalancing if we have no returns for from/to period - don't die in Return.portfolio if no R(eturns) passed in, return(NULL) w/ warning * R/chart.BarVaR.R: - fixed show.symmetric bug reported by Helmuth Vollmeier 2010-02-25 peter_carl * R/charts.PerformanceSummary.R: - cleaned up passing 'p' into chart.BarVaR, labeling 2010-02-24 braverock * R/StdDev.R: - apply the same weight handling used by VaR and ES functions to avoid spurious warnings 2010-02-23 braverock * R/Return.portfolio.R: - fix if/else logic for support of deprecated simple/compound argument, replace by geometric TRUE/FALSE to match other PerfA fn's 2010-02-22 braverock * R/ES.R, R/VaR.R: - change warning to message in rationality checks in VaR/ES to make optimizer happier * R/ES.R, R/VaR.R: - only clean if we haven't been passed moments * R/Return.portfolio.R, man/Return.portfolio.Rd: - update to use geometric TRUE/FALSE like other PerfA functions 2010-02-09 braverock * R/table.CalendarReturns.R: - add localized month labels, thanks to David Luthi for pointing out the problem 2010-01-20 braverock * R/chart.RollingPerformance.R: - add is.null check around ylim before clobbering user-supplied value, patch provided by Dominik Locher 2010-01-08 braverock * R/maxDrawdown.R: - add weights parameter to maxDrawdown * DESCRIPTION, NAMESPACE, R/maxDrawdown.R: - add Conditional Drawdown function CDD, add to NAMESPACE - bump pkg version to 1.0.2 * R/ES.R, R/VaR.R: - add multivariate moment calcs 2010-01-07 braverock * ChangeLog, NEWS: * DESCRIPTION: - update prior to release 1.0.1 * ChangeLog, generatechangelog.sh: - update Changelog prior to release 1.0.1 * tests/Examples/PerformanceAnalytics-Ex.Rout.save: - update prior to tagging release 1.0.1 2010-01-06 peter_carl * NAMESPACE: - added charts.Bar and charts.BarVaR * R/chart.StackedBar.R: - fixed check for one-row objects * man/chart.Bar.Rd, man/chart.BarVaR.Rd: - added aliases * man/chart.Bar.Rd, man/chart.BarVaR.Rd: - additions to accomodate charts.* functions * R/charts.Bar.R, R/charts.BarVaR.R: - slight modifications to oma for better margins * R/chart.StackedBar.R: - fixes bugs with matrix identification and handling pointed out by Dr. Stefan Albrecht --Ths line, and those below, will be ignored-- M chart.StackedBar.R 2010-01-05 braverock * R/zzz.R: - add even and odd functions from gtools, not exported * DESCRIPTION, man/StdDev.Rd: - updates to pass R CMD check * man/StdDev.Rd[ADD]: - add documentation for StdDev wrapper so we can expose it in NAMESPACE for PerfA 1.0.1 2010-01-05 peter_carl * R/maxDrawdown.R: - fixed codoc error * man/findDrawdowns.Rd, man/maxDrawdown.Rd: - added geometric * R/maxDrawdown.R: - added geometric and uses Drawdowns function * R/findDrawdowns.R: - added geometric argument and uses Drawdowns function calc -This line, and those below, will be ignored-- M findDrawdowns.R 2010-01-04 peter_carl * R/Drawdowns.R, R/Return.annualized.R, R/Return.cumulative.R, R/SharpeRatio.annualized.R, R/chart.CumReturns.R, R/chart.Drawdown.R, R/chart.RiskReturnScatter.R, R/chart.Scatter.R, R/charts.PerformanceSummary.R, R/table.AnnualizedReturns.R, man/Return.annualized.Rd, man/Return.cumulative.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/table.AnnualizedReturns.Rd: - changed default for geometric back to TRUE * NAMESPACE: - added StdDev to namespace * R/StdDev.R: - changed call to sd to use na.rm 2010-01-03 braverock * DESCRIPTION: - updates to pass R CMD check * .Rbuildignore, ChangeLog, ChangeLog.1.0.0[ADD]: - keep the old CVS ChangeLog for posterity * .Rbuildignore, ChangeLog, generatechangelog.sh[ADD]: - new ChangeLog generator for svn repository * NAMESPACE, R/CAPM.utils.R, R/Drawdowns.R, R/ES.R, R/Return.annualized.R, R/SharpeRatio.R, R/SharpeRatio.annualized.R, R/StdDev.R, R/VaR.R, R/chart.BarVaR.R, R/chart.CumReturns.R, R/chart.Drawdown.R, R/chart.RiskReturnScatter.R, R/charts.PerformanceSummary.R, R/table.AnnualizedReturns.R, man/ES.Rd, man/Return.annualized.Rd, man/Return.cumulative.Rd, man/Return.portfolio.Rd, man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd, man/SharpeRatio.modified.Rd[DEL], man/VaR.Rd, man/chart.BarVaR.Rd, man/chart.CumReturns.Rd, man/chart.Drawdown.Rd, man/chart.RiskReturnScatter.Rd, man/chart.RollingRegression.Rd, man/charts.PerformanceSummary.Rd, man/findDrawdowns.Rd, man/table.AnnualizedReturns.Rd, man/table.RollingPeriods.Rd, man/zerofill.Rd, tests/Examples/PerformanceAnalytics-Ex.Rout.save: - updates to pass R CMD check 2010-01-02 braverock * DESCRIPTION, R/ActivePremium.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.utils.R, R/CalmarRatio.R, R/CoMoments.R, R/DownsideDeviation.R, R/Drawdowns.R, R/ES.R, R/InformationRatio.R, R/KellyRatio.R, R/MultivariateMoments.R, R/Omega.R, R/PortfolioRisk.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.index.R, R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R, R/Return.wealthindex.R, R/SemiDeviation.R, R/SharpeRatio.R, R/SharpeRatio.annualized.R, R/SortinoRatio.R, R/StdDev.R, R/StdDev.annualized.R, R/TrackingError.R, R/TreynorRatio.R, R/UpDownRatios.R, R/UpsidePotentialRatio.R, R/VaR.Marginal.R, R/VaR.R, R/apply.fromstart.R, R/apply.rolling.R, R/chart.Bar.R, R/chart.BarVaR.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.Histogram.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.RollingRegression.R, R/chart.Scatter.R, R/chart.SnailTrail.R, R/chart.TimeSeries.R, R/charts.PerformanceSummary.R, R/charts.RollingPerformance.R, R/charts.RollingRegression.R, R/checkData.R, R/findDrawdowns.R, R/kurtosis.R, R/legend.R, R/maxDrawdown.R, R/mean.utils.R, R/na.skip.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.DownsideRisk.R, R/table.Drawdowns.R, R/table.HigherMoments.R, R/table.MonthlyReturns.R, R/table.RollingPeriods.R, R/zerofill.R: - update copyright to 2010 2009-12-22 braverock * man/zerofill.Rd[ADD]: - add documentation for zerofill fn * man/ES.Rd, man/VaR.Rd: - document change of p default to .95 2009-12-20 braverock * man/chart.RollingRegression.Rd: - add examples for quantile regression 2009-12-18 peter_carl * R/zerofill.R[CPY]: - moved from PortfolioAnalytics package 2009-12-15 braverock * R/SharpeRatio.R[CPY], R/SharpeRatio.modified.R[DEL]: - extend SharpeRatio wrapper to be more general for VaR,ES,maxDrawdown etc - use vectorized calcs for weighted portfolios where possible - move old SharpeRatio.modified wrapper to replace SharpeRatio fn - remove classic SharpeRatio fn/file - deprecate SharpeRatio.modified 2009-12-08 peter_carl * R/Return.wealthindex.R: - changed function name * R/Return.wealthindex.R[CPY]: - renamed the Return.index function * R/maxDrawdown.R: - reverted back to working version 2009-11-25 peter_carl * R/PortfolioRisk.R: - fixed typo * R/chart.StackedBar.R: - fix to axis 2009-11-25 braverock * R/VaR.R: - change warnings to messages where they don't need to be warning level * R/Return.cumulative.R, R/Return.portfolio.R, R/maxDrawdown.R: - default to simple returns * R/Return.portfolio.R: - add handling of weights the way they are in optimizer functions * R/MultivariateMoments.R: -add proper handling of dots for mu argument * R/PortfolioRisk.R, R/StdDev.R[ADD]: - add StdDev wrapper function to support univariate, multivariate moment, and component standard deviation - arrange/name returned list in Portsd function to match other component calcs 2009-11-19 braverock * .Rbuildignore[ADD], sandbox[ADD]: - create sandbox dir, add .Rbuildignore file 2009-11-09 braverock * R/ActivePremium.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.utils.R, R/CalmarRatio.R, R/CoMoments.R, R/DownsideDeviation.R, R/Drawdowns.R, R/ES.R, R/InformationRatio.R, R/KellyRatio.R, R/MultivariateMoments.R, R/Omega.R, R/PortfolioRisk.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.index.R, R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R, R/SemiDeviation.R, R/SharpeRatio.R, R/SharpeRatio.annualized.R, R/SharpeRatio.modified.R, R/SmoothingIndex.R, R/SortinoRatio.R, R/StdDev.annualized.R, R/TrackingError.R, R/TreynorRatio.R, R/UpDownRatios.R, R/UpsidePotentialRatio.R, R/VaR.Marginal.R, R/VaR.R, R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R, R/chart.ACFplus.R, R/chart.Bar.R, R/chart.BarVaR.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.Events.R, R/chart.Histogram.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.RollingRegression.R, R/chart.RollingStyle.R, R/chart.Scatter.R, R/chart.SnailTrail.R, R/chart.StackedBar.R, R/chart.Style.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/na.skip.R, R/replaceTabs.R, R/skewness.R, R/sortDrawdowns.R, R/style.QPfit.R, R/style.fit.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.DownsideRisk.R, R/table.Drawdowns.R, R/table.HigherMoments.R, R/table.MonthlyReturns.R, R/table.RollingPeriods.R, R/table.UpDownRatios.R, R/textplot.R, R/zzz.R: Adding Id and Rev property to all files 2009-11-04 peter_carl * R/Drawdowns.R: - fixed simple case * R/Drawdowns.R, R/chart.Drawdown.R, R/charts.PerformanceSummary.R: - added geometric or simple option * R/chart.CumReturns.R: - added simple return calculations with and without a wealth index 2009-11-04 braverock * R/na.skip.R: - update to version closer to original version that still uses xts internal index, patch via Jeff * R/na.skip.R: - update to use internal xts function avoid changeing TZ of index patch provided by Jeff Ryan (xts, quantmod) 2009-11-03 braverock * R/Return.portfolio.R: - remove remaining assumption of compunding * DESCRIPTION: - bump version to 1.0.1 to keep track of post-release changes 2009-11-03 peter_carl * R/chart.RiskReturnScatter.R: - fixed issue with layout and boxplots 2009-11-02 peter_carl * R/charts.Bar.R, R/charts.BarVaR.R, R/charts.TimeSeries.R: - adding three multi-plot charts 2009-11-01 braverock * man/PerformanceAnalytics-package.Rd, man/chart.BarVaR.Rd: - changes to pass R CMD check on R-Forge and CRAN with r-devel 2009-10-31 braverock * NEWS[CPY]: - move to pkg directory * NAMESPACE[CPY]: - move to pkg directory * DESCRIPTION[CPY]: - move to pkg directory * ChangeLog[CPY]: - move to pkg directory * data[CPY]: - move to pkg directory * tests[CPY]: - move to pkg directory * R[CPY]: - move to pkg directory * inst[CPY]: - move to pkg directory * man[CPY]: - move to pkg directory * .[ADD]: - create directory for PerformanceAnalytics 2009-10-23 16:30 tag v1_0_0-2009-10-23 2009-10-23 16:30 brian * DESCRIPTION: - bump version to 1.0.0 2009-10-23 16:29 brian * inst/doc/: PA-charts.pdf, PerformanceAnalyticsChartsPresentation-Meielisalp-2007.pdf, PerformanceAnalyticsPresentation-UseR-2007.pdf: - updates prior to 1.0.0 2009-10-23 16:29 brian * inst/doc/PerformanceAnalyticsGraphicalExamples.pdf: - Initial revision of file generated from examples 2009-10-23 16:15 brian * NEWS: - Initial Revision 2009-10-23 16:05 brian * tests/Examples/PerformanceAnalytics-Ex.Rout.save: - update prior to 1.0.0 2009-10-23 15:36 brian * man/prices.Rd: - Initial Revision 2009-10-23 15:14 peter * man/textplot.Rd: - fixed example 2009-10-23 15:03 brian * data/prices.rda: - Initial Revision 2009-10-23 14:49 peter * man/BetaCoMoments.Rd: - fixed codoc 2009-10-23 14:46 peter * R/CoMoments.R: - removed conditional test for beta coskewness 2009-10-23 14:46 peter * man/BetaCoMoments.Rd: - removed test for beta coskewness 2009-10-23 13:50 peter * man/: BetaCoMoments.Rd, table.AnnualizedReturns.Rd, table.Autocorrelation.Rd, table.CAPM.Rd, table.CalendarReturns.Rd, table.CaptureRatios.Rd, table.Correlation.Rd, table.DownsideRisk.Rd, table.Drawdowns.Rd, table.HigherMoments.Rd, table.MonthlyReturns.Rd, table.RollingPeriods.Rd: - added examples with textplot 2009-10-23 13:48 peter * man/textplot.Rd: - changed example 2009-10-23 12:29 brian * man/PerformanceAnalytics-package.Rd: - fix some minor typos and formatting 2009-10-23 11:31 brian * man/chart.VaRSensitivity.Rd: - update title and description 2009-10-23 11:30 brian * man/Return.calculate.Rd: - remove dependence on internet connection to run example 2009-10-23 11:30 brian * man/textplot.Rd: - reformat example 2009-10-23 11:16 brian * man/textplot.Rd: - escape percent symbols in example 2009-10-23 11:13 brian * man/textplot.Rd: - add data line - wrape Hmisc call in if block, since HMisc is only a Suggests dependency 2009-10-23 09:46 peter * R/textplot.R: - fixe S3 consistency 2009-10-23 09:46 peter * man/textplot.Rd: - fixed codoc 2009-10-23 09:03 peter * R/table.AnnualizedReturns.R: - added scale 2009-10-23 09:02 peter * R/textplot.R: - fixed warnings from passing through parameters with dots 2009-10-23 09:02 peter * man/textplot.Rd: - added example 2009-10-22 23:36 peter * man/chart.QQPlot.Rd: - modified example 2009-10-22 22:20 peter * man/chart.Correlation.Rd: - fixed example 2009-10-22 22:15 peter * man/: managers.Rd, weights.Rd: - fixed info about format 2009-10-22 22:09 peter * man/table.CalendarReturns.Rd: - missed a brace 2009-10-22 22:01 peter * R/chart.StackedBar.R: - added par reset 2009-10-22 21:58 peter * R/chart.RiskReturnScatter.R: - added par reset 2009-10-22 21:54 peter * R/chart.QQPlot.R: - added par reset 2009-10-22 21:52 peter * R/chart.Boxplot.R: - added back par reset 2009-10-22 21:46 peter * man/BetaCoMoments.Rd: - added detail on test parameter 2009-10-22 21:39 peter * man/chart.Correlation.Rd: - added example - fixed paramters 2009-10-22 21:34 peter * R/chart.Correlation.R: - added checkData method matrix - added dots to pairs 2009-10-22 21:26 peter * man/PerformanceAnalytics-package.Rd: - fixed typo 2009-10-22 21:22 peter * man/PerformanceAnalytics-package.Rd: - modifications to text 2009-10-22 15:59 brian * man/: ActivePremium.Rd, BetaCoMoments.Rd, CAPM.alpha.Rd, CAPM.beta.Rd, CAPM.utils.Rd, CalmarRatio.Rd, CoMoments.Rd, DownsideDeviation.Rd, ES.Rd, InformationRatio.Rd, KellyRatio.Rd, Return.Geltner.Rd, Return.annualized.Rd, Return.calculate.Rd, Return.clean.Rd, Return.cumulative.Rd, Return.excess.Rd, Return.read.Rd, SharpeRatio.Rd, SharpeRatio.annualized.Rd, SharpeRatio.modified.Rd, SmoothingIndex.Rd, SortinoRatio.Rd, StdDev.annualized.Rd, Style.Rd, TrackingError.Rd, TreynorRatio.Rd, UpDownRatios.Rd, UpsidePotentialRatio.Rd, VaR.Rd, apply.fromstart.Rd, chart.ACF.Rd, chart.Bar.Rd, chart.BarVaR.Rd, chart.CaptureRatios.Rd, chart.Correlation.Rd, chart.CumReturns.Rd, chart.Drawdown.Rd, chart.ECDF.Rd, chart.Events.Rd, chart.Histogram.Rd, chart.QQPlot.Rd, chart.Regression.Rd, chart.RelativePerformance.Rd, chart.RiskReturnScatter.Rd, chart.RollingCorrelation.Rd, chart.RollingMean.Rd, chart.RollingPerformance.Rd, chart.RollingRegression.Rd, chart.Scatter.Rd, chart.SnailTrail.Rd, chart.StackedBar.Rd, checkData.Rd, findDrawdowns.Rd, kurtosis.Rd, maxDrawdown.Rd, mean.utils.Rd, skewness.Rd, sortDrawdowns.Rd, table.AnnualizedReturns.Rd, table.Autocorrelation.Rd, table.CaptureRatios.Rd, table.Correlation.Rd, table.DownsideRisk.Rd, table.Drawdowns.Rd, table.HigherMoments.Rd, table.MonthlyReturns.Rd, table.RollingPeriods.Rd, textplot.Rd: - remove 'value' section, encorporating into main body where appropriate 2009-10-22 14:48 brian * man/clean.boudt.Rd: - make the equations a little more readable 2009-10-22 14:03 brian * tests/Examples/PerformanceAnalytics-Ex.Rout.save: - Initial Revision of tests/Examples version of the output of package examples 2009-10-22 14:01 brian * man/: apply.fromstart.Rd, apply.rolling.Rd, centeredmoments.Rd, chart.Correlation.Rd, chart.RollingPerformance.Rd: - updates to pass R CMD check 2009-10-22 14:00 brian * inst/doc/: PA-charts.Rnw, PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw, PerformanceAnalyticsPresentation-UseR-2007.Rnw: - change fn name to table.Stats 2009-10-22 13:28 brian * man/PerformanceAnalytics-package.Rd: - replace some instances of \code with \kbd for future-proofing 2009-10-22 12:38 brian * NAMESPACE, R/chart.Correlation.color.R, man/chart.Correlation.color.Rd: - remove chart.Correlation.color 2009-10-22 12:10 brian * inst/doc/: PA-charts.pdf, PerformanceAnalyticsChartsPresentation-Meielisalp-2007.pdf, PerformanceAnalyticsPresentation-UseR-2007.pdf: - updated versions of PDF's that reflect changed function names 2009-10-22 12:04 brian * man/PerformanceAnalytics-package.Rd: - update summary 2009-10-22 12:00 brian * R/table.MonthlyReturns.R: - rename function to table.Stats 2009-10-22 12:00 brian * man/CoMoments.Rd, man/DownsideDeviation.Rd, man/InformationRatio.Rd, man/KellyRatio.Rd, man/Omega.Rd, man/PerformanceAnalytics-internal.Rd, man/PerformanceAnalytics-package.Rd, man/Return.calculate.Rd, man/Return.clean.Rd, man/Return.portfolio.Rd, man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd, man/StdDev.annualized.Rd, man/TreynorRatio.Rd, man/UpDownRatios.Rd, man/centeredmoments.Rd, man/chart.Correlation.Rd, man/chart.Correlation.color.Rd, man/chart.Drawdown.Rd, man/chart.Histogram.Rd, man/chart.RiskReturnScatter.Rd, man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd, man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd, man/chart.Scatter.Rd, man/chart.TimeSeries.Rd, man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd, man/charts.RollingPerformance.Rd, man/edhec.Rd, man/findDrawdowns.Rd, man/managers.Rd, man/maxDrawdown.Rd, man/sortDrawdowns.Rd, man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd, man/table.Autocorrelation.Rd, man/table.CAPM.Rd, man/table.CalendarReturns.Rd, man/table.Correlation.Rd, man/table.DownsideRisk.Rd, man/table.Drawdowns.Rd, man/table.MonthlyReturns.Rd, man/table.RollingPeriods.Rd, man/weights.Rd, NAMESPACE: - updates to pass R CMD check 2009-10-22 09:37 brian * man/: CoMoments.Rd, SharpeRatio.modified.Rd: - remove links to MultivariateMoments functions that are not exported 2009-10-22 09:32 brian * man/chart.Boxplot.Rd: - change show.data usage to NULL 2009-10-22 09:22 brian * R/download.RiskFree.R, R/download.SP500PriceReturns.R, man/download.RiskFree.Rd, man/download.SP500PriceReturns.Rd: - remove obsolete download.* functions 2009-10-22 09:20 brian * man/: MultivariateMoments.Rd, MultivariateRisk.MM.Rd: - remove non-exposed multivariate moments function documentation, as it was incomplete, and the functions are now for internal use only 2009-10-22 09:16 brian * man/centeredmoments.Rd: - remove IPower, change name to Return.centered 2009-10-22 08:45 brian * R/chart.Boxplot.R, man/chart.Boxplot.Rd: - change show.data to be a numerical vector of observations to overplot 2009-10-22 08:36 brian * R/SharpeRatio.annualized.R, man/SharpeRatio.annualized.Rd: - add 'geometric' passthrough at the request of Philipp Lincoln on R-SIG-Finance 2009-10-22 07:47 brian * R/Return.portfolio.R: - fix passing in unnamed vector, single column matrix, and other edge cases for weights - restore proper working of simple returns 2009-10-21 22:33 peter * R/: chart.RollingRegression.R, charts.RollingRegression.R: - fixed title 2009-10-21 22:31 peter * man/: Return.calculate.Rd, CAPM.beta.Rd, BetaCoMoments.Rd: - minor edits 2009-10-21 22:31 peter * man/PerformanceAnalytics-package.Rd: - editing 2009-10-21 19:08 peter * man/BetaCoMoments.Rd: - cleaned up text 2009-10-21 19:08 peter * man/PerformanceAnalytics-package.Rd: - added to sections on comoments and time series 2009-10-21 18:50 brian * R/chart.VaRSensitivity.R: - reverse order of operators to account for inversion of risk metrics 2009-10-20 21:56 peter * man/Omega.Rd: - modified example 2009-10-20 21:07 peter * R/Omega.R: - fixed for full output in method interp 2009-10-20 13:31 peter * man/chart.StackedBar.Rd: - backslashed percentage signs 2009-10-20 13:07 peter * man/chart.StackedBar.Rd: - modified example 2009-10-20 13:03 peter * man/chart.StackedBar.Rd: - fixed codoc - added back example 2009-10-19 22:06 peter * R/style.fit.R, man/Style.Rd: - removed debugging code - added documentation for parameter 'selection' 2009-10-19 21:44 peter * R/: chart.StackedBar.R, chart.Style.R, style.fit.R: - fixed chart.Stacked bar to accomodate different kinds of data 2009-10-19 21:42 peter * man/: Style.Rd, chart.SnailTrail.Rd: - modified example 2009-10-17 10:42 brian * R/ES.R, man/ES.Rd, man/VaR.Rd: - add option for clean="geltner" to ES() and to docs - minor updates to docs for clarity and accuracy, thanks Kris 2009-10-16 11:17 peter * R/chart.StackedBar.R: - adjusted axis labels to include space - changed default date label to match other defaults - adjusted margins for top plot when legend is under 2009-10-16 11:15 peter * R/chart.RollingStyle.R: - use rollapply.xts instead of rollapply 2009-10-16 11:14 peter * NAMESPACE: - added StdDev.annualized to export 2009-10-16 11:13 peter * DESCRIPTION: - added version constraint for xts 2009-10-15 16:50 brian * R/chart.RollingStyle.R, man/Style.Rd: - updates to add automatic periodicity to chart labels, and support different frequency data 2009-10-15 16:43 brian * DESCRIPTION: - add quantreg to Suggests 2009-10-15 16:42 brian * R/ES.R, man/ES.Rd, man/VaR.Rd: - updates to pass R CMD check 2009-10-15 16:41 brian * R/chart.RollingMean.R, R/chart.RollingPerformance.R, R/chart.RollingQuantileRegression.R, R/chart.RollingRegression.R, R/charts.RollingPerformance.R, R/charts.RollingRegression.R, man/chart.RelativePerformance.Rd, man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd, man/table.RollingPeriods.Rd: - updates to add automatic periodicity to chart labels, and support different frequency data 2009-10-15 16:37 brian * inst/doc/: PA-charts.Rnw, PA-charts.pdf, PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw, PerformanceAnalyticsChartsPresentation-Meielisalp-2007.pdf, PerformanceAnalyticsPresentation-UseR-2007.Rnw, PerformanceAnalyticsPresentation-UseR-2007.pdf, Rlogo.jpg: - changes to pass R CMD check 2009-10-15 14:56 brian * NAMESPACE: - remove pfolioReturn from exports, add Return.rebalancing 2009-10-15 13:20 peter * NAMESPACE: - added functions to export 2009-10-15 13:20 peter * R/Return.calculate.R: - fixed reclass reference 2009-10-15 13:17 brian * R/Return.portfolio.R: - add dots back in as parameter - add stop error for multirow weights in Return.portfolio, perhaps automatically call appropriate fn in the future 2009-10-15 13:15 brian * man/: BetaCoMoments.Rd, CAPM.alpha.Rd, CAPM.beta.Rd, CAPM.utils.Rd, CalmarRatio.Rd, apply.fromstart.Rd, apply.rolling.Rd, centeredmoments.Rd, chart.ACF.Rd, chart.Bar.Rd, chart.BarVaR.Rd, chart.Boxplot.Rd, chart.Correlation.color.Rd, chart.CumReturns.Rd, CoMoments.Rd, DownsideDeviation.Rd, ES.Rd, InformationRatio.Rd, MultivariateMoments.Rd, MultivariateRisk.MM.Rd, Omega.Rd, Return.Geltner.Rd, Return.annualized.Rd, Return.clean.Rd, Return.cumulative.Rd, Return.excess.Rd, Return.relative.Rd, SharpeRatio.Rd, SharpeRatio.annualized.Rd, SharpeRatio.modified.Rd, SmoothingIndex.Rd, SortinoRatio.Rd, StdDev.annualized.Rd, TrackingError.Rd, TreynorRatio.Rd, UpDownRatios.Rd, UpsidePotentialRatio.Rd, VaR.Rd, chart.Drawdown.Rd, chart.ECDF.Rd, chart.Events.Rd, chart.Histogram.Rd, chart.QQPlot.Rd, chart.RelativePerformance.Rd, chart.RiskReturnScatter.Rd, chart.RollingCorrelation.Rd, chart.RollingMean.Rd, chart.RollingPerformance.Rd, chart.RollingRegression.Rd, chart.SnailTrail.Rd, chart.TimeSeries.Rd, chart.VaRSensitivity.Rd, charts.PerformanceSummary.Rd, charts.RollingPerformance.Rd, clean.boudt.Rd, findDrawdowns.Rd, maxDrawdown.Rd, table.AnnualizedReturns.Rd, table.Arbitrary.Rd, table.Autocorrelation.Rd, table.CalendarReturns.Rd, table.DownsideRisk.Rd, table.Drawdowns.Rd, table.HigherMoments.Rd, table.MonthlyReturns.Rd, table.RollingPeriods.Rd: - standardize language about xts for R,Ra,Rb,Rf 2009-10-15 13:01 peter * man/: Style.Rd, chart.Events.Rd, chart.QQPlot.Rd, chart.RollingRegression.Rd, chart.StackedBar.Rd, charts.PerformanceSummary.Rd, download.RiskFree.Rd, download.SP500PriceReturns.Rd, findDrawdowns.Rd, sortDrawdowns.Rd, table.Drawdowns.Rd, table.RollingPeriods.Rd: - modified examples 2009-10-15 12:23 brian * man/Return.portfolio.Rd: - initial revision of doc for Return.portfolio and Return.rebalancing 2009-10-15 11:06 peter * NAMESPACE: - added chart.Events to export list 2009-10-15 10:45 peter * man/SharpeRatio.modified.Rd: - adjusted parameter name 2009-10-15 10:45 peter * R/SharpeRatio.modified.R: - fixed function parameter confusion with apply 2009-10-15 10:23 peter * man/SharpeRatio.modified.Rd: - changed parameter names to match function 2009-10-15 10:23 peter * R/SharpeRatio.modified.R: - changed parameter name for passing function so that method may be passed 2009-10-15 10:11 peter * R/SharpeRatio.modified.R: - fixed function call 2009-10-15 09:52 brian * data/weights.rda: - update so column names are the same as edhec 2009-10-15 09:49 brian * R/Return.portfolio.R: - update Return.rebalancing to properly accumulate wealth - add rbind workaround provided by Jeff 2009-10-15 07:26 brian * R/Return.portfolio.R: - revert change of calc of weighed cumulative returns, use more efficient apply since wealthindex.assets is already tied to structure of weights 2009-10-14 22:53 peter * man/: table.AnnualizedReturns.Rd, table.Arbitrary.Rd, table.Correlation.Rd, table.DownsideRisk.Rd, table.Drawdowns.Rd, table.HigherMoments.Rd: - modified examples 2009-10-14 22:52 peter * R/table.HigherMoments.R: - revised parameters 2009-10-14 22:37 peter * R/table.CAPM.R, man/table.CAPM.Rd: - modified example 2009-10-14 22:16 peter * man/Return.read.Rd: - modified to include dontrun{} 2009-10-14 22:06 peter * NAMESPACE: - reformatted 2009-10-14 21:47 peter * R/Return.read.R: - switched default for frequency parameter 2009-10-14 21:46 peter * man/chart.RelativePerformance.Rd: - added detail about the function 2009-10-14 21:46 peter * man/: Return.Geltner.Rd, Return.clean.Rd, Return.excess.Rd, Return.read.Rd: - modified examples 2009-10-14 21:43 peter * man/Return.relative.Rd: - first draft of function documentation 2009-10-14 20:30 peter * man/CAPM.beta.Rd: - added alias for TimingRatio 2009-10-14 16:59 brian * R/Return.portfolio.R: - add xts-based weights handling - handle column names out of order for assets and weights 2009-10-14 12:07 brian * man/chart.StackedBar.Rd: - updates to pass R CMD check 2009-10-14 12:03 peter * man/Return.calculate.Rd: - modified example 2009-10-14 09:10 peter * man/: CalmarRatio.Rd, Omega.Rd: - fixed examples 2009-10-14 09:09 peter * R/CAPM.utils.R: - fixed error in CAPM.SML.slope 2009-10-13 22:46 peter * R/chart.VaRSensitivity.R: - modified call to gaussian VaR and ES 2009-10-13 22:45 peter * man/: chart.Bar.Rd, chart.CumReturns.Rd, chart.ECDF.Rd, chart.Events.Rd, chart.Histogram.Rd, chart.QQPlot.Rd, chart.RelativePerformance.Rd, chart.RiskReturnScatter.Rd, chart.RollingCorrelation.Rd, chart.RollingPerformance.Rd, chart.StackedBar.Rd, chart.TimeSeries.Rd, charts.RollingPerformance.Rd: - modified examples 2009-10-13 21:13 peter * NAMESPACE: - fixes textplot export issue 2009-10-13 16:29 peter * NAMESPACE: - added back textplot functions to export list 2009-10-13 14:00 peter * NAMESPACE: - fixed typos 2009-10-13 13:55 peter * NAMESPACE: - exporting graphics lists 2009-10-13 09:31 peter * NAMESPACE: - changed timing.ratio function to TimingRatio 2009-10-13 09:30 peter * DESCRIPTION: - revised thanks 2009-10-13 09:29 peter * man/: CAPM.utils.Rd, BetaCoMoments.Rd: - modified examples 2009-10-13 09:29 peter * R/InformationRatio.R: - fixed ordering of results 2009-10-13 09:28 peter * R/SmoothingIndex.R: - revised row labeling 2009-10-13 09:27 peter * R/SharpeRatio.R: - removed 'scale' parameter 2009-10-13 09:26 peter * R/CAPM.beta.R: - revised labeling for TimingRatio function 2009-10-13 09:26 peter * R/CAPM.alpha.R: - renamed internal function to match functionality 2009-10-13 09:25 peter * man/: ActivePremium.Rd, CAPM.alpha.Rd, CAPM.beta.Rd, CalmarRatio.Rd, DownsideDeviation.Rd, InformationRatio.Rd, KellyRatio.Rd, Omega.Rd, Return.annualized.Rd, Return.cumulative.Rd, SharpeRatio.Rd, SharpeRatio.annualized.Rd, SmoothingIndex.Rd, SortinoRatio.Rd, StdDev.annualized.Rd, TrackingError.Rd, TreynorRatio.Rd, UpDownRatios.Rd, UpsidePotentialRatio.Rd, kurtosis.Rd, maxDrawdown.Rd, mean.utils.Rd, skewness.Rd: - revised examples 2009-10-12 20:24 brian * man/: CoMoments.Rd, PerformanceAnalytics-package.Rd, apply.rolling.Rd, chart.QQPlot.Rd, chart.Regression.Rd, chart.RelativePerformance.Rd, chart.RollingMean.Rd, chart.RollingRegression.Rd, chart.StackedBar.Rd: - updates to pass R CMD check 2009-10-12 20:20 brian * NAMESPACE: - updates to pass R CMD check 2009-10-12 16:40 brian * man/VaR.Rd, DESCRIPTION: - update to pass R CMD check 2009-10-11 07:55 brian * R/Return.relative.R: - trim 2009-10-11 07:26 brian * man/chart.Histogram.Rd: - updates to fix infinite loop in R-core perl code in R CMD check 2009-10-11 07:19 brian * R/chart.RollingRegression.R: - rf to Rf 2009-10-10 10:40 brian * man/: ActivePremium.Rd, BetaCoMoments.Rd, CAPM.alpha.Rd, CAPM.beta.Rd, CAPM.utils.Rd, CalmarRatio.Rd, DownsideDeviation.Rd, Return.annualized.Rd, SharpeRatio.modified.Rd, SortinoRatio.Rd, TrackingError.Rd, chart.Bar.Rd, chart.BarVaR.Rd, chart.CumReturns.Rd, chart.Drawdown.Rd, chart.RollingCorrelation.Rd, table.CaptureRatios.Rd, table.Correlation.Rd: - changes to pass R CMD check 2009-10-10 08:22 brian * man/: ActivePremium.Rd, CAPM.alpha.Rd, CAPM.beta.Rd, CAPM.utils.Rd, CalmarRatio.Rd, DownsideDeviation.Rd, Return.annualized.Rd, SharpeRatio.modified.Rd, SortinoRatio.Rd, chart.Bar.Rd, chart.RollingCorrelation.Rd, table.Correlation.Rd: - remove empty \note{} sections 2009-10-10 07:40 brian * DESCRIPTION, R/ActivePremium.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.utils.R, R/CalmarRatio.R, R/CoMoments.R, R/DownsideDeviation.R, R/Drawdowns.R, R/ES.R, R/InformationRatio.R, R/KellyRatio.R, R/MultivariateMoments.R, R/Omega.R, R/PortfolioRisk.R, R/Return.Geltner.R, R/Return.calculate.R, R/Return.clean.R, R/Return.cumulative.R, R/Return.excess.R, R/Return.index.R, R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R, R/SemiDeviation.R, R/SharpeRatio.R, R/SharpeRatio.modified.R, R/SortinoRatio.R, R/StdDev.annualized.R, R/TrackingError.R, R/TreynorRatio.R, R/UpDownRatios.R, R/UpsidePotentialRatio.R, R/VaR.Marginal.R, R/VaR.R, R/apply.fromstart.R, R/apply.rolling.R, R/chart.Bar.R, R/chart.BarVaR.R, R/chart.Boxplot.R, R/chart.CaptureRatios.R, R/chart.Correlation.R, R/chart.Correlation.color.R, R/chart.CumReturns.R, R/chart.Drawdown.R, R/chart.ECDF.R, R/chart.Histogram.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.RollingRegression.R, R/chart.Scatter.R, R/chart.TimeSeries.R, R/charts.PerformanceSummary.R, R/charts.RollingPerformance.R, R/charts.RollingRegression.R, R/checkData.R, R/download.RiskFree.R, R/download.SP500PriceReturns.R, R/findDrawdowns.R, R/kurtosis.R, R/legend.R, R/maxDrawdown.R, R/mean.utils.R, R/na.skip.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.DownsideRisk.R, R/table.Drawdowns.R, R/table.HigherMoments.R, R/table.MonthlyReturns.R, man/PerformanceAnalytics-package.Rd: - update copyright to 2004-2009 2009-10-10 07:31 brian * R/chart.VaRSensitivity.R: - add ES to sensitivity chart 2009-10-10 07:30 brian * man/: BetaCoMoments.Rd, CAPM.beta.Rd, centeredmoments.Rd, chart.Histogram.Rd, chart.VaRSensitivity.Rd, MultivariateRisk.MM.Rd, Return.Geltner.Rd, SmoothingIndex.Rd, clean.boudt.Rd: - changes to pass R CMD check 2009-10-10 06:54 brian * DESCRIPTION, man/PerformanceAnalytics-package.Rd: - update sections on acknowledgements and contributors 2009-10-09 05:08 brian * R/VaR.Beyond.R, R/VaR.CornishFisher.R, man/VaR.Beyond.Rd: - remove deprecated VaR.Beyond and redundant VaR.CornishFisher 2009-10-09 04:28 brian * NAMESPACE: - change from blanket export to only exporting specific functions 2009-10-08 14:47 peter * R/table.DownsideRisk.R: - added scale check 2009-10-08 14:47 peter * R/chart.RollingPerformance.R: - added the new xts rollapply function 2009-10-08 12:35 peter * R/Return.excess.R: - modified to fix unequal length issue between R and Rf 2009-10-07 15:17 peter * data/weights.rda: - converted to xts 2009-10-07 15:03 peter * data/: edhec.csv, edhec.rda, managers.rda: - updated edhec series - converted to xts 2009-10-06 21:44 peter * man/chart.Histogram.Rd: - fixed codoc issues 2009-10-06 21:41 peter * man/chart.BarVaR.Rd: - fixed codoc issues 2009-10-06 21:37 peter * man/chart.RollingPerformance.Rd: - fixed codoc issues 2009-10-06 21:34 peter * man/chart.StackedBar.Rd: - fixed codoc issues - added missing arguments 2009-10-06 21:26 peter * man/chart.TimeSeries.Rd: - fixed codoc issues 2009-10-06 13:36 peter * R/table.UpDownRatios.R: - fixed method tags in UpDownRatio call 2009-10-06 13:31 peter * R/table.CaptureRatios.R: - updated method tags 2009-10-06 10:14 peter * R/: ActivePremium.R, CAPM.utils.R, CalmarRatio.R, DownsideDeviation.R, InformationRatio.R, KellyRatio.R, Omega.R, Return.annualized.R, Return.cumulative.R, SemiDeviation.R, SharpeRatio.R, SharpeRatio.annualized.R, SharpeRatio.modified.R, SortinoRatio.R, StdDev.annualized.R, TrackingError.R, TreynorRatio.R, UpsidePotentialRatio.R, kurtosis.R, maxDrawdown.R, mean.utils.R: - fixed rownames - fixed scale = 12 replacement errors 2009-10-05 22:02 peter * R/table.Drawdowns.R: - modified to accept only one column 2009-10-05 21:59 peter * R/: DownsideDeviation.R, CoMoments.R, CalmarRatio.R, CAPM.utils.R, CAPM.beta.R, CAPM.alpha.R, ActivePremium.R: - added label to results 2009-10-05 21:56 peter * R/: SharpeRatio.R, SharpeRatio.annualized.R, SharpeRatio.modified.R, SemiDeviation.R, Return.annualized.R, Return.cumulative.R, Omega.R, KellyRatio.R, InformationRatio.R: - added label to results 2009-10-05 21:53 peter * R/: skewness.R, mean.utils.R, maxDrawdown.R, kurtosis.R, UpsidePotentialRatio.R, TreynorRatio.R, TrackingError.R, StdDev.annualized.R, SortinoRatio.R, SmoothingIndex.R: - added label to results 2009-10-03 13:23 brian * R/ActivePremium.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.utils.R, R/CalmarRatio.R, R/InformationRatio.R, R/MultivariateMoments.R, R/Omega.R, R/PortfolioRisk.R, R/Return.annualized.R, R/Return.excess.R, R/SharpeRatio.R, R/SharpeRatio.annualized.R, R/SharpeRatio.modified.R, R/SmoothingIndex.R, R/SortinoRatio.R, R/StdDev.annualized.R, R/TrackingError.R, R/TreynorRatio.R, R/UpDownRatios.R, R/UpsidePotentialRatio.R, R/VaR.Marginal.R, R/VaR.R, R/chart.CaptureRatios.R, R/chart.Histogram.R, R/chart.RiskReturnScatter.R, R/chart.RollingPerformance.R, R/chart.RollingRegression.R, R/chart.SnailTrail.R, R/chart.VaRSensitivity.R, R/charts.PerformanceSummary.R, R/charts.RollingPerformance.R, R/charts.RollingRegression.R, R/download.RiskFree.R, R/table.AnnualizedReturns.R, R/table.Arbitrary.R, R/table.CAPM.R, R/table.DownsideRisk.R, R/table.HigherMoments.R, man/ActivePremium.Rd, man/BetaCoMoments.Rd, man/CAPM.alpha.Rd, man/CAPM.beta.Rd, man/CAPM.utils.Rd, man/CalmarRatio.Rd, man/DownsideDeviation.Rd, man/InformationRatio.Rd, man/KellyRatio.Rd, man/Omega.Rd, man/PerformanceAnalytics-package.Rd, man/apply.rolling.Rd, man/chart.BarVaR.Rd, man/chart.Histogram.Rd, man/chart.RiskReturnScatter.Rd, man/chart.RollingRegression.Rd, man/chart.SnailTrail.Rd, man/chart.TimeSeries.Rd, man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd, man/charts.RollingPerformance.Rd, man/checkData.Rd, man/download.RiskFree.Rd, man/Return.annualized.Rd, man/Return.clean.Rd, man/Return.excess.Rd, man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd, man/SharpeRatio.modified.Rd, man/SmoothingIndex.Rd, man/SortinoRatio.Rd, man/StdDev.annualized.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd, man/UpDownRatios.Rd, man/UpsidePotentialRatio.Rd, man/VaR.Rd, man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd, man/table.CAPM.Rd, man/table.DownsideRisk.Rd, man/table.HigherMoments.Rd, man/table.RollingPeriods.Rd: - multiple Code-Doc mismatches cleaned up for R CMD check - further rationalized use of R,Ra,Rf - rationalized use of period/scale 2009-10-03 00:00 peter * R/: chart.RollingCorrelation.R, chart.RollingRegression.R: - reversion to prior, still working, version 2009-10-02 16:28 peter * R/chart.RollingCorrelation.R: - fixed issues around rolling correlation call with apply.rolling 2009-10-02 16:27 peter * R/apply.rolling.R: - removed multi-column support so larger objects can be passed in 2009-10-02 14:17 peter * R/charts.RollingRegression.R: - changed parameter rf to Rf 2009-10-02 14:17 peter * R/table.CAPM.R: - added up and down market beta measures 2009-10-02 14:15 peter * R/chart.RollingRegression.R: - substituted apply.rolling for rollapply 2009-10-02 14:11 peter * R/table.RollingPeriods.R: - added relative value table function - removed window, using xts:::last - revised periodicity labeling for changes in xts:::periodicity 2009-10-02 14:04 peter * R/chart.RollingPerformance.R: - uses apply.rolling rather than rollapply 2009-10-02 13:57 peter * R/charts.RollingPerformance.R: - changed parameter rf to Rf 2009-10-02 13:54 peter * R/: chart.RiskReturnScatter.R, table.AnnualizedReturns.R: - changed parameter rf to Rf 2009-10-02 13:53 peter * R/chart.Regression.R: - changed checkData to use xts - changed default Rf to 0 2009-10-02 13:51 peter * R/chart.BarVaR.R: - changed default p to 0.95 - removed negative sign from risk calculation 2009-10-02 13:49 peter * R/VaR.CornishFisher.R: - changed default p to 0.95 2009-10-02 13:47 peter * R/CoMoments.R: - all comoment and betacomoment functions support multiple column R 2009-10-02 13:46 peter * R/chart.SnailTrail.R: - modified to use apply.rolling to replace rollapply 2009-10-02 13:44 peter * R/apply.rolling.R: - revamped to provide xtsible windows 2009-10-02 13:38 peter * R/Return.annualized.R: - moved scale test - revised copyright 2009-10-02 13:37 peter * R/SharpeRatio.annualized.R: - updated copyright 2009-10-02 13:36 peter * R/StdDev.annualized.R: - fixed scale testing 2009-10-01 15:22 brian * R/Return.portfolio.R: - add reclass on wealthindex so Return.calculate (now using xts internally) doesn't blow up 2009-10-01 14:12 brian * R/: ES.R, VaR.R: - update probability to 95% by default 2009-10-01 14:10 brian * R/: ES.R, VaR.R: - label rows - invert historical VaR for consistency with other univariate measures 2009-10-01 09:33 peter * R/UpDownRatios.R: - added multiple calc and row labeling 2009-09-30 22:07 peter * R/UpDownRatios.R: - added multi-column support 2009-09-30 21:41 peter * R/SharpeRatio.modified.R: - added multi-column support - substituted VaR wrapper and added dots to pass parameters 2009-09-30 20:53 peter * R/CalmarRatio.R: - missed one 2009-09-30 20:52 peter * R/CalmarRatio.R: - changed Ra to R for consistency 2009-09-30 20:47 peter * R/TreynorRatio.R: - added multi-column support - added periodicity for scaling 2009-09-30 20:45 peter * R/: KellyRatio.R, SortinoRatio.R, UpsidePotentialRatio.R: - added multi-column support 2009-09-30 20:45 peter * R/CalmarRatio.R: - added multi-column support - added periodicity check for scale 2009-09-30 09:01 peter * R/InformationRatio.R: - added multi-column support 2009-09-30 09:01 peter * R/TrackingError.R: - added multi-column support - added periodicity-based scaling 2009-09-29 22:00 peter * R/StdDev.annualized.R: - added periodicity for setting scale 2009-09-29 21:48 peter * R/SharpeRatio.annualized.R: - added multi-column support 2009-09-29 21:22 peter * R/: SharpeRatio.R, CAPM.utils.R: - added multi-column support 2009-09-29 20:42 peter * R/Return.annualized.R: - added multi-column support - detects scale from periodicity 2009-09-29 20:31 peter * R/ActivePremium.R: - added multiple-column support 2009-09-29 09:29 peter * R/: CAPM.beta.R, CAPM.alpha.R: - rewrite of function using apply for multi-column support 2009-09-24 13:00 peter * R/Return.excess.R: - fixed to handle scalar rf 2009-09-24 12:46 peter * R/Return.excess.R: - fixed column renaming 2009-09-24 12:39 peter * R/Return.excess.R: - fixed reclass - added column renaming 2009-09-24 12:11 brian * R/Return.excess.R: - convert to use apply 2009-09-24 11:01 brian * R/VaR.R: - remove unneeded function params - remove deprecated function 2009-09-23 22:35 peter * R/DownsideDeviation.R: - added multi-column support 2009-09-23 22:23 peter * R/SmoothingIndex.R: - added multi-column support 2009-09-23 22:14 peter * R/SemiDeviation.R: - added multi-column support 2009-09-23 22:03 peter * R/Omega.R: - added multicolumn support 2009-09-23 21:54 peter * R/: kurtosis.R, skewness.R: - changed checkData from zoo to matrix 2009-09-23 21:42 peter * R/Return.cumulative.R: - added multicolumn support 2009-09-23 21:35 peter * R/mean.utils.R: - added multicolumn support 2009-09-23 21:05 peter * R/maxDrawdown.R: - added multicolumn support 2009-09-22 13:07 brian * R/PortfolioRisk.R: - add ncol in loop in ES.historical 2009-09-22 04:35 brian * DESCRIPTION: - formally add Kris as an author - add xts as dependency 2009-09-21 21:56 peter * R/Drawdowns.R: - added reclass 2009-09-21 21:44 peter * R/: Return.relative.R, Return.excess.R: - added reclass 2009-09-21 21:43 peter * R/Return.calculate.R: - function now using cleaned data for 'simple' method 2009-09-21 21:15 peter * R/Return.index.R: - cleaned up cvs log 2009-09-21 21:12 peter * R/Return.index.R: - separates a function to calculate wealth index 2009-09-21 09:05 brian * R/PortfolioRisk.R: - remove precision global var, unnecessary 2009-09-19 09:35 brian * man/centeredmoments.Rd: - add some information on the math 2009-09-17 16:40 brian * R/chart.BarVaR.R: - use wrappers for historical VaR/ES, do not pass clean for historical measures 2009-09-16 22:48 peter * R/charts.BarVaR.R: - first commit of function 2009-09-16 22:15 peter * R/charts.Bar.R: - fixed labels and title 2009-09-16 22:02 peter * R/chart.RollingPerformance.R: - added new attributes 2009-09-16 22:01 peter * R/SharpeRatio.annualized.R: - using xts internally 2009-09-16 22:00 peter * R/Return.excess.R: - reverting back to zoo until rollapply works for xts 2009-09-16 21:58 peter * R/chart.Histogram.R: - added xaxis and yaxis controls 2009-09-15 15:35 peter * R/Return.excess.R: - converted to use xts internally 2009-09-15 15:34 peter * R/CAPM.beta.R: - fixed checkData for rf such that a single value can be passed 2009-09-15 08:09 brian * man/: VaR.CornishFisher.Rd, VaR.Marginal.Rd, VaR.Rd: - removed deprecated function documentation, replaced with documentation for new VaR wrapper function 2009-09-04 15:45 brian * R/ES.R: - make sure the non-portfolio case returns the same data type as VaR fn - add correct historical ES calc 2009-09-04 15:42 brian * R/chart.BarVaR.R: - add ES functions to as methods to chart.BarVaR, currently suffering from problems in apply.fromstart 2009-09-04 15:38 brian * R/PortfolioRisk.R: - add historical ES function for completeness 2009-09-02 09:11 brian * R/Return.clean.R: - add alpha and dots as passthru arguments to clean.boudt - TODO: vectorize and na.skip 2009-09-02 07:23 brian * R/Return.clean.R: - convert to use xts internally - add reclass - add 'none' and 'geltner' as methods 2009-09-02 07:20 brian * R/chart.BarVaR.R: - add 'geltner' as a method for clean= 2009-09-02 07:14 brian * R/Return.calculate.R: - convert to xts internally - use positive lag for lag.xts - add reclass to returned series 2009-09-02 07:13 brian * R/Return.Geltner.R: - fix for positive lag of lag.xts 2009-09-02 06:53 brian * R/Return.Geltner.R: - add na.skip functionality - add reclass functionality to returned series 2009-09-01 16:40 brian * R/chart.BarVaR.R: - add na.skip around call to Return.clean 2009-09-01 16:40 brian * R/Return.clean.R: - change to use xts internally 2009-09-01 15:18 brian * R/chart.CumReturns.R: - add comments to describe the handling of na.skip for rbind'ing correct start value to shorter series 2009-09-01 15:05 brian * R/chart.CumReturns.R: - add na.skip to reference.index - revise start.index handling to be more programatically efficient - revise start.index handling for binding later-starting series to the "current" value of the first series 2009-09-01 15:03 brian * R/chart.BarVaR.R: - move legend location to "topleft" 2009-08-31 17:30 brian * R/chart.TimeSeries.R: - update timestamp formatting for more compact format if start and end of series are in same year 2009-08-31 16:20 brian * R/chart.CumReturns.R: - fix return accumulation after adding na.skip 2009-08-31 15:51 brian * R/: Drawdowns.R, chart.CumReturns.R, chart.Drawdown.R, na.skip.R: - add new function na.skip to deal with non-contiguous NA's in data, may eventually go to xts - fix components of charts.PerformanceSummary to use na.skip 2009-08-31 11:35 brian * R/charts.PerformanceSummary.R: - add periodicity to label of chart.BarVaR 2009-08-27 13:34 peter * R/chart.BarVaR.R: - fixed initialization 2009-08-25 12:43 brian * R/: Return.portfolio.R, VaR.Marginal.R, VaR.R: - updates to support Marginal VaR - use reclass() in Return.portfolio to return xts object 2009-08-25 10:29 brian * R/: ES.R, PortfolioRisk.R: - clean up labeling, warnings, and returns for Expected Shortfall 2009-08-25 10:21 brian * R/VaR.R: - eliminate deprecated multi-argument return 2009-08-25 09:48 brian * R/VaR.R: - add additional warnings for unreasonable VaR results 2009-08-25 09:38 brian * R/: PortfolioRisk.R, VaR.R: - update display logic and names in list return for Component VaR, test more cases 2009-08-24 17:08 brian * R/: ES.R, PortfolioRisk.R, VaR.R: - adjust to handle p values for correct results - adjust ES to correctly handle probability - add invert argument with default TRUE to match older behavior - make sure all VaR/ES functions handle columns correctly 2009-08-20 21:59 peter * R/chart.TimeSeries.R: - tweaked the distance of the x-axis labels from the tick marks 2009-08-20 11:26 brian * R/chart.TimeSeries.R: - add as.numeric on range for ylim to handle xts objects with mixed character/numeric columns, which are stored as character matrix 2009-08-19 12:04 brian * R/chart.TimeSeries.R: - add 'seconds' to periodicity switch, since xts supports those now 2009-08-19 09:02 brian * R/chart.TimeSeries.R: - add automatic date.format using periodicity of series to be charted 2009-08-18 16:40 peter * R/charts.TimeSeries.R: - multi-panel time series chart 2009-08-18 16:24 peter * R/charts.Bar.R: - multiple bar plots function 2009-08-05 21:51 peter * R/textplot.R: - fixed max.cex to cap size 2009-07-02 09:01 peter * R/VaR.R: - forced returned value into matrix for naming - made VaR.CornishFisher results negative 2009-07-02 08:54 peter * R/checkData.R: - made warning quiet 2009-07-01 09:58 peter * R/checkData.R: - added support for vector to xts using zoo instead 2009-07-01 08:36 peter * R/SmoothingIndex.R: - verbose mode shows thetas in results 2009-07-01 08:34 peter * man/charts.PerformanceSummary.Rd: - added 'none' to list of methods 2009-07-01 08:31 peter * R/chart.BarVaR.R: - added sensitivity to data periodicity for labeling 2009-06-30 05:23 brian * R/chart.BarVaR.R: - modify to use VaR wrapper, reverse signs 2009-06-26 15:47 brian * R/: ES.R, VaR.R: - clean up naming confusion/standardization between VaR/ES wrappers 2009-06-25 11:10 brian * R/ES.R: - initial revision of ES wrapper function to call underlying Es functions for univariate and multivariate series 2009-06-25 08:27 brian * R/PortfolioRisk.R: - rationalize function arguments - standardize function returns - TODO: rationalize fn return for VaR/ES.historical.portfolio to match other portfolio methods 2009-06-24 18:59 brian * R/: PortfolioRisk.R, VaR.R: - changes to make portfolio VaR work correctly NOTE: weights is a vector, not time-varying 2009-06-22 11:35 brian * R/VaR.R: - correct apply for historical VaR to pass na.rm=TRUE 2009-06-21 10:07 brian * R/: PortfolioRisk.R, VaR.R: - wrapper functions now work for VaR 2009-06-19 22:18 peter * R/chart.StackedBar.R: - added axTicksByTime to give nice xaxis labels - modified to use layout only for legend "under" 2009-06-19 15:59 brian * R/VaR.R: - worked out more of the switch logic, - NOTE: still looping too many times 2009-06-01 22:23 peter * R/chart.Correlation.R: - removed pch change, should parameterize it instead 2009-06-01 22:20 peter * R/chart.ACFplus.R: - correction to checkData line for removing na's 2009-06-01 22:17 peter * R/chart.Scatter.R: - cleaned out old comments 2009-06-01 22:16 peter * R/chart.CaptureRatios.R: - corrected order for coloring 2009-06-01 22:14 peter * R/Drawdowns.R: - converted internal to xts, removed zoo coersion 2009-06-01 22:13 peter * R/checkData.R: - added back rm.na for vectors 2009-06-01 22:12 peter * R/chart.TimeSeries.R: - added xaxis.labels to allow for non-date labeling of date axes 2009-06-01 22:08 peter * man/SmoothingIndex.Rd: - added credit where it's due 2009-06-01 22:08 peter * man/chart.Events.Rd: - initial commit of documentation 2009-06-01 20:01 brian * R/PortfolioRisk.R: - temporarily move VaR.CornishFisher to VaR.CornishFisher.new 2009-05-14 21:19 peter * R/checkData.R: - rewrite to cover cases more carefully 2009-05-14 20:40 peter * R/chart.Events.R: - first draft of code 2009-05-05 21:21 peter * R/replaceTabs.R: - from gplots package 2009-04-20 06:30 brian * man/PerformanceAnalytics-package.Rd: - add \cr to references 2009-04-19 08:15 brian * R/checkData.R: - pass dots into the xts call (e.g. for date formatting) 2009-04-17 22:01 peter * man/PerformanceAnalytics-package.Rd: - link cleanup 2009-04-17 22:01 peter * man/: chart.BarVaR.Rd, chart.Histogram.Rd, chart.RollingRegression.Rd, chart.StackedBar.Rd, chart.TimeSeries.Rd, textplot.Rd: - codoc and parameter cleanup 2009-04-17 21:56 peter * R/: chart.BarVaR.R, chart.Histogram.R, chart.RollingRegression.R, chart.Scatter.R, chart.TimeSeries.R, table.RollingPeriods.R: - argument cleanup and codoc issues 2009-04-17 10:36 brian * R/VaR.Beyond.R: - add additional handling for 'modified' and 'add' arguments 2009-04-17 10:23 brian * R/PortfolioRisk.R: - better standardize use of p for probability and conversion to alpha number 2009-04-17 10:23 brian * R/VaR.Beyond.R: - update to use (Boudt,Peterson,Croux(2008)) versions of ES calcs for greater accuracy 2009-04-17 10:14 brian * R/: PortfolioRisk.R, VaR.R: - Initial revision of VaR wrapper and portfolio risk functions 2009-04-16 23:15 peter * R/chart.CaptureRatios.R: - parameter cleanup - adjusted placement of benchmark name label 2009-04-16 23:14 peter * R/chart.RiskReturnScatter.R: - added parameters for geometry, scale 2009-04-16 23:13 peter * R/chart.SnailTrail.R: - removed commented code 2009-04-16 23:11 peter * R/chart.TimeSeries.R: - removed commented code - parameter cleanup 2009-04-16 23:09 peter * R/: table.UpDownRatios.R, table.Drawdowns.R, table.CaptureRatios.R: - parameter cleanup 2009-04-16 23:08 peter * R/textplot.R: - added back hadj variable for later work 2009-04-16 23:06 peter * man/: chart.BarVaR.Rd, chart.Histogram.Rd, chart.QQPlot.Rd, chart.Regression.Rd, chart.RiskReturnScatter.Rd, chart.RollingMean.Rd, chart.RollingPerformance.Rd, chart.RollingRegression.Rd, chart.Scatter.Rd, chart.SnailTrail.Rd, chart.TimeSeries.Rd, checkData.Rd, table.AnnualizedReturns.Rd, table.Correlation.Rd, table.Drawdowns.Rd, table.RollingPeriods.Rd, textplot.Rd: - fixed codoc issues 2009-04-15 22:20 peter * man/chart.ECDF.Rd: - fixed codoc 2009-04-15 22:14 peter * man/: chart.BarVaR.Rd, chart.Boxplot.Rd: - fixed codoc 2009-04-15 22:10 peter * man/: UpDownRatios.Rd: - fixed codoc 2009-04-15 22:09 peter * man/SmoothingIndex.Rd: - fixed clobbered function name 2009-04-15 22:06 peter * man/SmoothingIndex.Rd: - fixed codoc issues 2009-04-15 21:54 peter * man/: chart.CaptureRatios.Rd, table.CaptureRatios.Rd: - first draft of function documentation 2009-04-15 21:53 peter * man/: chart.RiskReturnScatter.Rd, table.CAPM.Rd: - minor adjustments to wording 2009-04-15 21:53 peter * man/UpDownRatios.Rd: - adjusted for changes to the function 2009-04-15 20:37 peter * man/textplot.Rd: - adding documentation straight from gplots function 2009-04-15 16:50 peter * R/table.DownsideRisk.R: - fixed calculation using subset on zoo object - passing in column using drop=FALSE to preserve names 2009-04-14 20:20 peter * R/rollingRegression.R, man/rollingRegression.Rd, man/rollingStat.Rd: - removed, no longer used 2009-04-14 20:20 peter * R/rollingStat.R: - removing, no longer used 2009-04-13 23:24 peter * R/table.Drawdowns.R: - now subsets drawdowns less than zero - digits for formatting WDD 2009-04-13 22:45 peter * R/table.RollingPeriods.R: - smarter labeling of frequency scale 2009-04-13 21:50 peter * R/table.AnnualizedReturns.R: - added geometric parameter to pass calculation method 2009-04-13 21:49 peter * R/chart.TimeSeries.R: - restored date formatting needed for matching event lines and areas 2009-04-07 17:33 peter * R/table.Correlation.R: - changed checkData to use default xts 2009-04-07 17:32 peter * R/findDrawdowns.R: - changed checkData to a matrix 2009-04-07 17:30 peter * R/chart.TimeSeries.R: - added cex.* attributes for sizing text elements 2009-04-07 17:26 peter * R/chart.SnailTrail.R: - added element.color, cex.* attributes 2009-04-07 17:26 peter * R/chart.Scatter.R: - added rug and other graphic features 2009-04-07 17:22 peter * R/: chart.Regression.R, chart.RiskReturnScatter.R: - uses element.color parameter 2009-04-07 17:22 peter * R/chart.QQPlot.R: - added element.color parameter - passes cex.* for main, axis labels, and axis titles 2009-04-07 17:19 peter * R/: chart.ECDF.R, chart.Histogram.R: - changed to use element.color parameter 2009-04-07 17:18 peter * R/chart.Boxplot.R: - added element.color as a parameter 2009-04-07 17:17 peter * R/chart.BarVaR.R: - changed to use xts internally 2009-04-07 17:15 peter * R/UpDownRatios.R: - removed unused dot dot dot 2009-04-07 17:14 peter * R/SmoothingIndex.R: - parameterized the lag period 2009-04-01 22:06 peter * R/table.CaptureRatios.R: - added CVS log 2009-04-01 22:04 peter * R/: chart.CaptureRatios.R, table.CaptureRatios.R: - initial commit to cvs 2009-04-01 09:03 peter * R/table.UpDownRatios.R: - first commit of code - formatted table of Up/Down ratios 2009-04-01 09:02 peter * R/UpDownRatios.R: - fixed number ratio and added percentage ratio 2009-03-30 23:21 peter * R/table.Drawdowns.R: - fixed error when NAs in data shifted time index - added NAs in table when series ends in drawdown 2009-03-20 23:39 peter * man/StdDev.annualized.Rd: - added ",drop=FALSE" to examples. How did that pass before? 2009-03-20 16:20 peter * R/checkData.R: - makes vectors a single col matrix for naming again 2009-03-20 15:48 peter * R/checkData.R: - fixes vector to zoo translation 2009-03-19 22:26 peter * R/chart.SnailTrail.R: - changed arguments for consistency - uses xts internally 2009-03-19 22:23 peter * R/Return.read.R: - now returns an xts object by default 2009-03-19 22:22 peter * R/: chart.BarVaR.R, chart.CumReturns.R, chart.Drawdown.R, chart.RelativePerformance.R, chart.RollingCorrelation.R, chart.RollingMean.R, chart.RollingPerformance.R, chart.RollingRegression.R, chart.TimeSeries.R, charts.PerformanceSummary.R, charts.RollingPerformance.R, charts.RollingRegression.R: - added xts 2009-03-10 22:42 peter * R/checkData.R: - added switch for xts, set as default 2009-03-05 21:06 peter * R/chart.Bar.R: - changed checkData to use default xts 2009-03-03 23:14 peter * R/chart.TimeSeries.R: - added axTicksByTime from xts for nice xaxis 2009-03-01 21:26 peter * R/Return.read.R: - returns an xts object rather than zoo 2009-03-01 21:25 peter * R/chart.SnailTrail.R: - fixed condition when end-dates do not match ---------------------------------------------------------------------- R/chart.SnailTrail.R CVS: ---------------------------------------------------------------------- 2009-03-01 21:22 peter * R/table.CalendarReturns.R: - fixed date formatting issues with yearmon, other date classes 2009-03-01 21:21 peter * R/Return.Geltner.R: - fix acf call to pass in numeric 2009-03-01 21:04 peter * R/textplot.R: - initial commit of changes to function originally in gplots package - added text wrap to labels for columns and rows - re-wrote internals to allow for horizontal and vertical alignment 2009-01-11 06:55 brian * R/checkData.R: - convert 'zoo' method to use xts - TODO add reclass capability 2009-01-08 05:23 brian * R/Return.portfolio.R: - remove obsolete comments - change yeargrid to rebalancegrid - add comment block 2009-01-08 05:04 brian * R/Return.portfolio.R: - initial revision of Return.portfolio, Return.portfolio.multiweight, and pfolioReturn wrapper 2008-10-29 21:18 peter * R/Return.relative.R: - functionalizes the relative return calculation used in the charts 2008-10-16 13:45 brian * R/: UpDownRatios.R, VaR.Marginal.R, chart.Bar.R: - use checkData with method="zoo" instead of checkDataMatrix 2008-10-16 13:41 brian * man/: PerformanceAnalytics-package.Rd, chart.TimeSeries.Rd, edhec.Rd, managers.Rd: - remove deprecated cummax.column and cumprod.column functions, replaced with zoo-native functions 2008-10-16 13:31 brian * man/cum.utils.Rd: - remove, deprecated as cumprod and cummax are now supported by zoo 2008-10-16 12:02 brian * R/: cummax.column.R, cumprod.column.R: - removed as these functions are now provided by zoo for multicolumn data 2008-10-14 09:37 brian * R/: StdDev.annualized.R, VaR.Beyond.R, VaR.CornishFisher.R, chart.StackedBar.R, charts.RollingPerformance.R, checkData.R, style.QPfit.R, style.fit.R, table.Arbitrary.R, table.CalendarReturns.R, table.DownsideRisk.R, table.MonthlyReturns.R: - convert from matrix or data.frame to zoo in checkData call 2008-10-10 11:26 tag v0_9_7_1-2008-10-10 2008-10-10 11:26 brian * ChangeLog: - update to changes for v0.9.7.1 2008-10-10 11:21 brian * DESCRIPTION, man/PerformanceAnalytics-package.Rd: - update date 2008-10-10 11:17 brian * man/PerformanceAnalytics-package.Rd: - added sections on Style Analysis, Robust Data Cleaning, and Moments and Co-moments - added references to new tables and graphs - bump version to 0.9.7.1 2008-10-06 14:08 peter * R/chart.TimeSeries.R: - fixed so that it will plot backgrounds when ylog=T 2008-10-01 19:55 brian * man/clean.boudt.Rd: - add explicit reference to multivariate Winsorization 2008-10-01 07:25 brian * DESCRIPTION: - bump version to 0.9.7.1 2008-09-30 16:17 brian * R/DownsideDeviation.R, R/UpsidePotentialRatio.R, man/DownsideDeviation.Rd, man/UpsidePotentialRatio.Rd: - both DownsideDeviation and UpsidePotentialRatio now support "method argument to use full or subset of series - use subset as default method - updated documentation to reflect change 2008-09-30 10:27 brian * man/CoMoments.Rd: - fix typo in code link 2008-09-30 10:26 brian * man/PerformanceAnalytics-package.Rd: - update version to 0.9.7 2008-09-30 05:28 tag v0_9_7-2008-09-29 2008-09-30 05:28 brian * man/chart.RollingRegression.Rd: remove spurious bracket 2008-09-29 20:14 brian * inst/doc/: PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw, PerformanceAnalyticsPresentation-UseR-2007.Rnw: - remove hardcoded path for SWeave 2008-09-29 13:29 brian * man/chart.RollingRegression.Rd: - fix LaTeX syntax error 2008-09-29 13:24 brian * ChangeLog: - ChangeLog for PerfromanceAnalytics version 0.9.7 2008-09-29 13:15 brian * DESCRIPTION: - uodate version and date prior to release 2008-09-29 11:59 peter * NAMESPACE: - added importFrom for packageDescription function needed for namespace check 2008-09-29 09:26 brian * man/: BetaCoMoments.Rd, CoMoments.Rd, MultivariateMoments.Rd, MultivariateRisk.MM.Rd, centeredmoments.Rd: - update documentation prior to 0.9.7 release 2008-09-29 08:47 brian * R/Omega.R: - fix to use pmax per patch submitted by Ryan Sheftel Malbec Pertners 2008-09-17 04:58 brian * man/edhec.Rd: - correct duplicated sections 2008-09-16 19:37 brian * man/cum.utils.Rd: - fix typo 2008-09-16 19:35 brian * man/CAPM.utils.Rd: - add more description on CML function and leveraged portfolios 2008-09-16 19:33 brian * man/edhec.Rd: - add acknowledgements - add note about extending the data set 2008-09-03 20:17 peter * R/zzz.R: - creates onLoad message from DESCRIPTION file 2008-09-03 20:15 peter * DESCRIPTION: - added copyright 2008-09-03 17:26 brian * NAMESPACE: - create default NAMESPACE file 2008-09-03 16:36 peter * R/utils.R: - removed in favor of zzz.R 2008-09-03 16:35 peter * R/zzz.R: - added load message 2008-09-03 16:27 peter * R/utils.R: - added for startup message 2008-09-03 15:11 brian * man/clean.boudt.Rd: - fix LaTeX error 2008-09-03 14:03 peter * man/Return.clean.Rd: - wrapper doc 2008-09-03 13:51 peter * man/chart.TimeSeries.Rd: - fixed encoding issues 2008-09-02 23:01 peter * man/chart.SnailTrail.Rd: - updated for codoc changes 2008-09-02 23:01 peter * man/chart.TimeSeries.Rd: - updated for codoc problems 2008-08-18 22:32 peter * man/chart.SnailTrail.Rd: - fixed line folding for ylab 2008-08-18 22:27 peter * R/chart.BarVaR.R: - fixed legend formatting issues 2008-08-18 22:25 peter * man/chart.RollingRegression.Rd: - fixed spelling 2008-08-18 22:24 peter * man/: charts.PerformanceSummary.Rd, VaR.CornishFisher.Rd: - fixed documentation issues 2008-08-18 22:23 peter * man/: chart.BarVaR.Rd, chart.SnailTrail.Rd, chart.VaRSensitivity.Rd: - fixed codoc issues 2008-08-16 07:52 peter * man/chart.BarVaR.Rd: - fixed T to TRUE in examples 2008-08-15 22:42 peter * R/chart.TimeSeries.R: - added yaxis.right parameter 2008-08-15 22:41 peter * R/table.AnnualizedReturns.R: - fixed rounding in column name label 2008-08-15 22:40 peter * R/chart.SnailTrail.R: - added default colorset 2008-08-15 22:39 peter * R/chart.RiskReturnScatter.R: - fixed point label adjustment 2008-08-15 22:38 peter * R/charts.PerformanceSummary.R: - changed chart.BarVaR call from 'method' to 'methods' 2008-08-15 22:11 peter * man/chart.BarVaR.Rd: - fixed example 2008-08-15 16:53 peter * man/chart.BarVaR.Rd: - fixed codoc differences to new function additions 2008-08-15 16:42 peter * R/VaR.CornishFisher.R: - fixed warnings from 'clean' parameter comparison 2008-08-15 16:40 peter * man/chart.BarVaR.Rd: - added new examples 2008-08-15 16:27 peter * man/chart.VaRSensitivity.Rd: - first draft of function documentation and example 2008-08-15 16:04 peter * man/VaR.CornishFisher.Rd: - added "clean" parameter 2008-08-14 11:28 peter * R/chart.VaRSensitivity.R: - fixed columnnames for title 2008-08-14 11:22 peter * R/chart.VaRSensitivity.R: - filled in chart elements from single specification 2008-08-14 11:18 peter * R/chart.VaRSensitivity.R: - first draft of sensitivity chart 2008-08-13 13:05 brian * R/Return.clean.R: - add copyright, licence, and CVS log 2008-08-12 22:35 peter * R/chart.BarVaR.R: - calls 'clean' parameter in risk calculation to get rolling cleaned data - handles multiple columns OR multiple methods 2008-08-12 22:32 peter * R/Return.read.R: - sets rownames for the resulting 'zoo' object 2008-08-12 22:31 peter * R/VaR.CornishFisher.R: - added 'clean' parameter for calling a data cleaning method prior to calculation 2008-08-12 17:56 brian * DESCRIPTION: - add suggests for robustbase 2008-08-12 17:56 brian * R/Return.clean.R: - add library check for package robustbase 2008-08-12 17:52 brian * R/MultivariateMoments.R: - change mean.MM to multivariate_mean fn call to eliminate contention with R core mean fn 2008-08-11 15:16 brian * R/multivariate_moments.R: - duplicate of MultivariateMoments.R 2008-08-11 09:06 peter * R/chart.BarVaR.R: - added parameter 'clean' to specify data cleaning method for risk estimation - added parameter 'show.clean' to show cleaned returns overlaid on original data - added parameter 'show.horizontal' to show exceedences to most recent risk value 2008-08-11 08:58 peter * R/Return.clean.R: - moved prior functionality into 'clean.boudt' - made Return.clean a wrapper focused on data handling, multiple methods 2008-08-08 23:16 peter * R/Return.clean.R: - separated out the cleaning function and added column handling 2008-08-07 16:39 brian * R/Return.clean.R, man/clean.boudt.Rd: - initial revision of robust data cleaning function and documentation 2008-08-03 18:50 brian * man/: CoMoments.Rd, MultivariateMoments.Rd, MultivariateRisk.MM.Rd, SharpeRatio.modified.Rd, centeredmoments.Rd: - initial revision of new files for multivariate moments - update existing documentation to reference the new files 2008-08-03 17:30 brian * R/moment.fourth.R, R/moment.third.R, man/moment.fourth.Rd, man/moment.third.Rd: - removed old mathematical moment files, replaced by MultivariateMoment files 2008-07-22 07:58 peter * R/style.fit.R: - fixed to return adjusted R-squared 2008-07-22 07:43 peter * R/style.fit.R: - correctly removed intercept values from regression fits - added adjusted R-squared back 2008-07-18 16:07 brian * man/: Style.Rd, chart.Scatter.Rd, chart.SnailTrail.Rd, chart.StackedBar.Rd: - fix \item and \usage to pass R CMD check 2008-07-18 15:59 peter * man/chart.StackedBar.Rd: - changed F to FALSE 2008-07-18 15:54 peter * man/chart.StackedBar.Rd: - changed T to TRUE 2008-07-18 15:47 peter * R/style.QPfit.R: - changed T to TRUE 2008-07-18 15:37 peter * man/Style.Rd: - fixed [quadprog] links 2008-07-18 15:32 peter * man/Style.Rd: - changed F to FALSE 2008-07-18 15:27 brian * man/Style.Rd: - fix \code{\link{}} again 2008-07-18 15:24 brian * man/chart.StackedBar.Rd: - fix \code{\link{}} 2008-07-18 15:23 brian * man/chart.RollingStyle.Rd: - removing, replaced by Style.Rd 2008-07-18 15:22 brian * man/chart.RollingStyle.Rd: - syntax updates 2008-07-18 15:17 peter * man/Style.Rd: - fixed code link order issues 2008-07-18 15:08 brian * man/Style.Rd: - fix incorrect \code{\link{}} ordering 2008-07-18 15:01 brian * man/: chart.RollingStyle.Rd, weights.Rd: - fix links - fix equations 2008-07-18 14:57 brian * man/: BetaCoMoments.Rd, CoMoments.Rd, PerformanceAnalytics-package.Rd, Style.Rd, kurtosis.Rd, skewness.Rd: - fix missing/incorrect links - update equations to conform to Rd standard 2008-07-18 14:53 peter * man/chart.RollingRegression.Rd: - removed link to charts.RegressionDiagnostics 2008-07-11 10:41 peter * man/weights.Rd: - weights data documentation 2008-07-11 10:36 peter * man/managers.Rd: - changed title 2008-07-11 10:33 peter * data/weights.rda: - random weights file used for examples in chart.StackedBar 2008-07-11 10:27 peter * man/Style.Rd: - added examples for other functions covered 2008-07-11 10:24 peter * R/: style.fit.R, style.QPfit.R: - removed Adjusted R.squared calculation as unnecessary 2008-07-11 10:15 peter * man/Style.Rd: - consolidated style function documentation to this file - added details about the use of solve.QP 2008-07-10 22:24 peter * R/chart.Style.R: - fixed error with alignment of results 2008-07-10 22:23 peter * R/style.fit.R: - deleted unnecessary comments 2008-07-10 22:22 peter * R/chart.RollingStyle.R: - removed unnecessary function attributes 2008-07-10 22:21 peter * man/chart.RollingStyle.Rd: - first draft of documentation 2008-07-10 21:42 peter * man/chart.StackedBar.Rd: - added cex.axis 2008-07-10 21:42 peter * R/chart.StackedBar.R: - adjustments to margins again - added cex.axis for sizing axis text 2008-07-10 21:35 peter * man/Style.Rd: - minor additions 2008-07-10 21:16 peter * man/Style.Rd: - first draft of function documentation 2008-07-10 10:24 peter * R/chart.StackedBar.R: - adjusted bottom margin 2008-07-10 10:03 peter * R/chart.StackedBar.R: - added legend border color 2008-07-10 09:56 peter * R/chart.StackedBar.R: - fixed orientation of data issue - switched to brute force solution for plotting negative values using barplot 2008-07-09 23:12 peter * R/chart.StackedBar.R: - fixed to now use barplot to plot negative values correctly (origin = 0) 2008-07-08 21:04 peter * man/chart.StackedBar.Rd: - fixed references 2008-07-08 20:47 peter * man/chart.StackedBar.Rd: - first draft of documentation 2008-07-08 20:47 peter * R/chart.StackedBar.R: - eliminated unnecessary attributes - adjusted margins again - added element.color to axis 2008-07-07 22:56 peter * R/chart.StackedBar.R: - switched the orientation of w to better fit typical data structures - improved? the calculation for label margins 2008-06-30 22:19 peter * man/chart.RiskReturnScatter.Rd: - added cex.main 2008-06-30 22:14 peter * man/chart.RelativePerformance.Rd: - fixed usage line 2008-06-30 22:13 peter * man/chart.Scatter.Rd: - added cex.main 2008-06-30 21:52 peter * man/chart.TimeSeries.Rd: - fixed default cex.label to match code 2008-06-30 21:51 peter * man/chart.Scatter.Rd: - added cex.axis, cex.legend 2008-06-30 21:49 peter * man/chart.RiskReturnScatter.Rd: - fixed codoc errors 2008-06-30 21:47 peter * R/chart.RiskReturnScatter.R: - added cex.legend 2008-06-30 16:52 peter * R/chart.Histogram.R: - changed 'method' to 'methods' in test 2008-06-30 16:42 peter * R/TrackingError.R: - fixed bad encoding 2008-06-29 23:22 peter * R/TrackingError.R: - altered calculation to be consistent with Grinold formulation. - thanks to Arthur P.Steinmetz (OppenheimerFunds Inc.) 2008-06-29 22:24 peter * man/chart.Histogram.Rd: - modified 'show.outliers' description 2008-06-29 22:13 peter * man/chart.Histogram.Rd: - cleaned up example 2008-06-29 22:10 peter * R/chart.Histogram.R: - VaR not calculated without 'add.risk' method - x-axis correctly adjusted with 'add.risk' method - chart reset correctly after 'qq.plot' method 2008-06-28 08:59 peter * man/KellyRatio.Rd: - fixed example 2008-06-28 08:56 peter * man/: chart.Histogram.Rd, chart.RelativePerformance.Rd, chart.RiskReturnScatter.Rd, chart.RollingPerformance.Rd, chart.Scatter.Rd, chart.TimeSeries.Rd: - fixed codoc problems 2008-06-28 08:55 peter * R/chart.TimeSeries.R: - added cex.labels attribute 2008-06-25 22:00 peter * man/chart.SnailTrail.Rd: - added keywords 2008-06-25 21:07 peter * R/chart.RollingMean.R: - changed 'stdev' to 'sd' 2008-06-25 21:05 peter * man/chart.QQPlot.Rd: - loaded fBasics in example 2008-06-25 21:03 peter * man/chart.QQPlot.Rd: - added reference to 'MASS' package in example 2008-06-25 21:00 peter * R/chart.Histogram.R: - changed 'stdev' to 'sd' 2008-06-25 20:46 peter * R/chart.SnailTrail.R, man/chart.SnailTrail.Rd: - removed 'first' attribute 2008-06-25 20:42 peter * DESCRIPTION: - added 'fPortfolio' to 'Suggests' 2008-06-25 20:42 peter * R/VaR.Marginal.R: - added package test for 'fPortfolio' 2008-06-25 18:07 brian * R/: kurtosis.R, skewness.R: - update functions to deal with multi-column zoo/xts data 2008-06-25 16:56 brian * man/: edhec.Rd, managers.Rd: - add note about updating the data periodically 2008-06-25 08:50 brian * R/kurtosis.R, R/skewness.R, man/kurtosis.Rd, man/skewness.Rd: - initial commit of skewness and kurtosis functions and documentation ported from RMetrics package fUtilities 2008-06-24 22:51 peter * DESCRIPTION: - moved Hmisc to 'Suggests' 2008-06-24 22:50 peter * R/Omega.R: - added package test for Hmisc 2008-06-24 22:48 peter * R/chart.ECDF.R: - added copyright and CVS log 2008-06-24 22:35 peter * R/: download.RiskFree.R, download.SP500PriceReturns.R: - added package test for 'tseries' 2008-06-24 22:34 peter * DESCRIPTION: - moved rarely used packages from Depends to Suggests 2008-06-24 22:33 peter * R/chart.QQPlot.R: - changed package test to load MASS quietly 2008-06-24 22:31 peter * R/chart.Histogram.R: - changed package test to load quietly 2008-06-24 21:07 peter * DESCRIPTION: - moved packages to suggests - added 'sn' 2008-06-24 16:55 brian * R/VaR.CornishFisher.R: - remove excess parenthesis in Zcf - report and patch credit to Enrique Bengoechea Bartolome - fix sign for left tail assymetry - credit Kris Boudt 2008-06-23 22:22 peter * man/chart.SnailTrail.Rd: - cleaned up example 2008-06-23 22:18 peter * man/chart.QQPlot.Rd: - fixed example 2008-06-23 21:31 peter * man/chart.RiskReturnScatter.Rd: - fixed description of 'method' 2008-06-23 21:26 peter * R/chart.SnailTrail.R: - changed 'add.labels' to 'add.names' to be consistent with chart.RiskReturnScatter 2008-06-23 21:02 peter * man/chart.SnailTrail.Rd: - created stub documentation 2008-06-23 20:56 peter * man/BetaCoMoments.Rd: - fixed notation 2008-06-23 20:54 peter * man/CAPM.beta.Rd: - added aliases 2008-06-23 20:52 peter * man/SmoothingIndex.Rd: - added neg.thetas = FALSE to usage 2008-06-23 20:50 peter * man/TreynorRatio.Rd: - fixed example 2008-06-23 20:08 peter * man/BetaCoMoments.Rd: - added aliases 2008-06-23 20:05 peter * man/SmoothingIndex.Rd: - improved descriptive text and cleaned up encoding, special chars 2008-06-23 19:48 peter * man/BetaCoMoments.Rd: - fixed file encoding problems 2008-06-23 19:41 peter * R/CoMoments.R: - changed 'warn' to 'warning' 2008-06-23 19:39 peter * man/CAPM.beta.Rd: - fixed syntax error 2008-06-23 19:37 peter * R/chart.SnailTrail.R: - added code for tracking changing risk and return through time on scatter 2008-06-22 21:41 peter * R/chart.RollingPerformance.R: - added ylimit to include zero 2008-06-22 21:35 peter * R/chart.Histogram.R: - added note line text size attribute - added check for 'sn' library 2008-06-22 21:32 peter * R/CoMoments.R: - renamed inputs to be consistent with package 2008-06-22 21:05 peter * man/BetaCoMoments.Rd: - addition of documentation for beta co-moment calculations 2008-06-22 21:04 peter * man/CoMoments.Rd: - revision of the higher co-moment documentation 2008-06-19 21:04 peter * man/CoMoments.Rd: - removed special chars 2008-06-19 07:51 peter * man/CoMoments.Rd: - added documentation and detail on comoments 2008-06-18 22:54 peter * R/CoMoments.R: - added data check and NA removal to comoment calcs 2008-06-18 22:15 peter * man/SmoothingIndex.Rd: - added detail to documentation 2008-06-18 22:00 peter * man/CAPM.beta.Rd: - added conditional betas and timing ratio to documentation - expanded examples - added reference 2008-06-18 17:24 brian * man/CAPM.beta.Rd: - add \alian and \usage for CAPM.beta.bear and CAPM.beta.bull functions 2008-06-18 17:18 brian * man/BetaCoMoments.Rd: - initial commit of documentation stubs for beta co-moments functions 2008-06-18 17:12 brian * man/CoMoments.Rd: - initial commit of co-moments documentation 2008-06-18 09:51 peter * R/SmoothingIndex.R: - added a switch for removing negative autocorrelation 2008-06-18 09:47 peter * man/TreynorRatio.Rd: - cleaned up example 2008-06-18 09:46 peter * man/SmoothingIndex.Rd: - fixed bug in example 2008-06-02 11:05 brian * R/: ActivePremium.R, CAPM.alpha.R, CAPM.beta.R, CAPM.utils.R, CalmarRatio.R, CoMoments.R, DownsideDeviation.R, Drawdowns.R, InformationRatio.R, KellyRatio.R, Omega.R, Return.Geltner.R, Return.annualized.R, Return.calculate.R, Return.cumulative.R, Return.excess.R, Return.read.R, SemiDeviation.R, SharpeRatio.R, SharpeRatio.annualized.R, SharpeRatio.modified.R, SortinoRatio.R, StdDev.annualized.R, TrackingError.R, TreynorRatio.R, UpDownRatios.R, UpsidePotentialRatio.R, VaR.Beyond.R, VaR.CornishFisher.R, VaR.Marginal.R, apply.fromstart.R, apply.rolling.R, chart.Bar.R, chart.BarVaR.R, chart.Boxplot.R, chart.Correlation.R, chart.Correlation.color.R, chart.CumReturns.R, chart.Drawdown.R, chart.Histogram.R, chart.QQPlot.R, chart.Regression.R, chart.RelativePerformance.R, chart.RiskReturnScatter.R, chart.RollingCorrelation.R, chart.RollingMean.R, chart.RollingPerformance.R, chart.RollingRegression.R, chart.Scatter.R, chart.TimeSeries.R, charts.PerformanceSummary.R, charts.RollingPerformance.R, charts.RollingRegression.R, checkData.R, cummax.column.R, cumprod.column.R, download.RiskFree.R, download.SP500PriceReturns.R, findDrawdowns.R, legend.R, maxDrawdown.R, mean.utils.R, moment.fourth.R, moment.third.R, rollingRegression.R, rollingStat.R, sortDrawdowns.R, table.AnnualizedReturns.R, table.Arbitrary.R, table.Autocorrelation.R, table.CAPM.R, table.CalendarReturns.R, table.Correlation.R, table.DownsideRisk.R, table.Drawdowns.R, table.HigherMoments.R, table.MonthlyReturns.R, table.RollingPeriods.R: - update copyright to 2004-2008 2008-06-02 10:25 peter * R/apply.fromstart.R: - fixed multicolumn support 2008-05-13 21:38 peter * man/chart.Regression.Rd: - updated fit documentation 2008-05-13 21:34 peter * man/chart.Regression.Rd: - added missing attributes 2008-05-13 21:31 peter * man/chart.Regression.Rd: - cleaned up example 2008-05-13 21:21 peter * man/chart.Correlation.Rd: - removed 'y' arguement from documentation 2008-05-13 20:59 peter * man/PerformanceAnalytics-internal.Rd: - added missing attributes for box.lty, box.lwd 2008-05-07 17:54 brian * R/CoMoments.R: - add parens to denominator in centeredcomoment fn 2008-05-07 17:05 brian * R/CoMoments.R: - replace with centeredmoment function that is multi-column aware via apply 2008-05-07 16:41 brian * man/: BetaCoKurtosis.Rd, BetaCoSkewness.Rd, BetaCoVariance.Rd, CoKurtosis.Rd, CoSkewness.Rd: - remove old (broken) univatiate function, replaced by functions in CoMoments.R 2008-05-07 16:40 brian * R/: BetaCoKurtosis.R, BetaCoSkewness.R, BetaCoVariance.R, CoKurtosis.R, CoSkewness.R: - remove old (broken) CoMoment functions, replaced with CoMoments.R 2008-05-07 16:38 brian * R/MultivariateMoments.R: - update header, footer, and licencing to reflect moving into PerformanceAnalytics 2008-05-07 16:30 peter * R/CoMoments.R: - repair to centeredcomoment normalization suggested by Kris in 2008-01-23 email 2008-04-17 22:59 peter * R/chart.RollingStyle.R: - added na.omit to avoid problems with missing data 2008-04-17 22:58 peter * R/chart.Style.R: - reduced to a wrapper to chart.StackedBar 2008-04-17 22:56 peter * R/chart.StackedBar.R: - added a legend at the bottom - added smarts for displaying single column or stacked - made bottom margin sensitive to length of label names 2008-04-17 22:52 peter * R/: charts.RollingPerformance.R, charts.RollingRegression.R: - added par to reset layout to default 2008-04-17 22:51 peter * R/charts.PerformanceSummary.R: - added par to reset graphics layout to default 2008-04-17 22:51 peter * R/chart.Scatter.R: - added cex attributes 2008-04-17 22:47 peter * R/chart.RollingPerformance.R: - added cex attributes for formatting 2008-04-17 22:41 peter * R/chart.RiskReturnScatter.R: - added cex attributes for passing in formatting changes 2008-04-17 22:38 peter * R/chart.Regression.R: - fixed x-axis - added method for conditional beta lines - added notes for extending fct to gauging market timing 2008-04-17 22:33 peter * R/chart.ACFplus.R: - added par to reset graphics back to default layout 2008-04-17 22:27 peter * R/CAPM.beta.R: - converted checkData to use zoo - added functions for conditional beta calcs: beta.bear, beta.bull, and timingRatio 2008-02-26 22:05 peter * R/chart.Style.R: - added 'leverage' tag to eliminate sum to one constraint - added cex.names for controlling size of xaxis labels 2008-02-26 22:04 peter * R/style.fit.R: - added 'leverage' attribute to remove sum to one constraint 2008-02-26 22:02 peter * R/style.QPfit.R: - added 'leverage' tag for ignoring sum to one constraint 2008-02-26 22:01 peter * R/chart.StackedBar.R: - added cex.names for sizing xaxis tags 2008-02-25 22:56 peter * R/chart.StackedBar.R: - fixed label calculation to handle correct dimension 2008-02-25 22:49 peter * R/chart.Style.R: - handles single column fits better 2008-02-25 22:39 peter * R/chart.Style.R: - moved legend and margin control into chart.StackedBar - handles multiple columns 2008-02-25 22:38 peter * R/chart.StackedBar.R: - now handles multiple columns for fund - legend "under" draws correctly - bottom margin fits to text with cex=1 2008-02-22 23:55 peter * R/chart.RollingStyle.R: - chart demonstrating fund exposures through time 2008-02-22 23:54 peter * R/chart.StackedBar.R: - primitive for weight displays and other charts 2008-02-22 23:35 peter * R/chart.Style.R: - set ylim more sensibly depending on method 2008-02-22 23:32 peter * R/chart.Style.R: - simple bar chart of a fund's exposures to a set of factors, as determined by style.fit 2008-02-22 21:45 peter * R/style.QPfit.R: - fixed output labels 2008-02-22 21:29 peter * R/style.fit.R: - first commit of a function that handles looping for multiple funds - calculates weights and fit for three methods: constrained, unconstrained and normalized 2008-02-22 16:07 peter * R/style.QPfit.R: - added R-squared and adjusted R-squared calcs 2008-02-21 21:47 peter * R/style.QPfit.R: - added example to comments 2008-02-21 21:41 peter * R/style.QPfit.R: - first draft of a function for style fitting with constrained weights 2008-02-14 22:22 peter * R/chart.RelativePerformance.R: - added lty parameters to plot and legend 2008-02-14 22:21 peter * R/chart.TimeSeries.R: - added parameters for legend management 2008-02-14 22:20 peter * R/legend.R: - parameterized box color separately from background elements 2008-01-23 04:17 kris * R/CoMoments.R: Make a clear separation between function applicable to univariate and multivariate series 2008-01-20 06:07 kris * R/: MultivariateMoments.R, multivariate_moments.R: Changed function definitions in optim_functions.R and updated the function calls in optimizer.R to these functions 2008-01-20 00:30 brian * R/: MultivariateMoments.R, multivariate_moments.R: - Initial Revision 2008-01-17 22:05 peter * R/chart.Correlation.R: - fixed missing values in density - removed y as unnecessary parameter 2008-01-15 15:06 peter * R/chart.Histogram.R: - fixed ylim for probability T or F 2008-01-15 14:22 peter * R/chart.Histogram.R: - fixed ylim setting calculation 2008-01-03 07:53 brian * man/chart.RegressionDiagnostics.Rd: - renamed function charts.RegressionDiagnostics because it is a multipanel plot 2007-12-29 15:18 brian * ChangeLog: - Initial Revision of ChangeLog for PerformanceAnalytics package 0.9.6 2007-12-29 15:17 brian * inst/doc/: PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw, PerformanceAnalyticsPresentation-UseR-2007.Rnw: - add drop=F in tableCAPM to pass R CMD build 2007-12-29 14:33 tag v0_9_6-2007-12-29 2007-12-29 14:33 brian * DESCRIPTION, man/PerformanceAnalytics-package.Rd: - bump version to 0.9.6 2007-12-29 14:32 brian * man/chart.QQPlot.Rd: - fix LaTeX error for R CMD check 2007-12-29 13:58 brian * man/chart.QQPlot.Rd: - minor update to reference wording 2007-12-29 13:54 peter * man/chart.QQPlot.Rd: - referenced car package and filled in documentation 2007-12-29 13:34 brian * man/chart.ECDF.Rd: - minor change in escape char to pass R CMD check 2007-12-29 13:33 peter * man/chart.RollingPerformance.Rd: - documented missing parameters 2007-12-29 13:25 peter * man/chart.TimeSeries.Rd: - added documentation for missing attributes 2007-12-29 13:25 brian * R/: VaR.CornishFisher.R, chart.Histogram.R: - minor changes to pass R CMD check 2007-12-29 13:24 brian * man/: chart.ECDF.Rd, chart.Histogram.Rd, table.Autocorrelation.Rd: - minor updates to pass R CMD check 2007-12-29 09:46 peter * man/chart.ECDF.Rd: - fixed latex issue 2007-12-29 09:44 peter * man/SmoothingIndex.Rd: - fixed encoding issue 2007-12-29 09:38 peter * R/chart.Regression.R: - fixed switch statement 2007-12-29 08:53 peter * man/chart.Boxplot.Rd: - minor edits to text 2007-12-29 08:50 peter * man/: chart.ECDF.Rd, SmoothingIndex.Rd: - first draft of function documentation 2007-12-29 08:46 peter * man/table.Autocorrelation.Rd: - first draft of documentation 2007-12-29 08:43 peter * man/chart.Regression.Rd: - first draft of documentation for the function 2007-12-29 08:32 brian * man/chart.Boxplot.Rd: - minor text updates 2007-12-29 08:30 brian * man/chart.Boxplot.Rd: - update \item descriptions with common parameters - add description and references 2007-12-29 08:01 brian * man/table.Autocorrelation.Rd: - update \item descriptions with common parameters - add description and references 2007-12-29 07:56 brian * man/chart.ECDF.Rd: - update \item descriptions with common parameters - add description and references 2007-12-29 07:43 brian * man/chart.Regression.Rd: - update \item descriptions with common parameters 2007-12-28 13:59 brian * man/: Return.read.Rd, chart.ECDF.Rd, chart.Histogram.Rd, chart.QQPlot.Rd, chart.Regression.Rd, chart.RelativePerformance.Rd, chart.RollingRegression.Rd, chart.TimeSeries.Rd, charts.RollingPerformance.Rd, cum.utils.Rd, mean.utils.Rd, table.Autocorrelation.Rd: - update \usage \item and \keyword to pass R CMD CHECK 2007-12-28 11:51 brian * man/: PerformanceAnalytics-package.Rd, Return.read.Rd, chart.Boxplot.Rd, chart.Histogram.Rd, chart.RollingRegression.Rd, chart.TimeSeries.Rd: - usage and item changes to pass R CMD CHECK 2007-12-27 16:25 peter * man/chart.ACF.Rd: - added title - fixed utf8 character 2007-12-27 16:19 peter * man/Return.read.Rd: - fixed closing brace 2007-12-27 16:17 peter * man/Return.read.Rd: - first draft of function documentation 2007-12-27 16:14 brian * man/: charts.RollingPerformance.Rd, checkData.Rd: - fix usage to match current function 2007-12-27 16:10 brian * man/: chart.RollingRegression.Rd, chart.TimeSeries.Rd: - fix usage to match current function 2007-12-27 16:07 brian * man/: chart.QQPlot.Rd, chart.RelativePerformance.Rd: - fix usage to match current function 2007-12-27 16:03 brian * man/chart.Correlation.color.Rd: - add usage and item for 'use' parameter 2007-12-27 15:59 brian * man/chart.Boxplot.Rd: - update item and usage to match current function 2007-12-27 15:58 brian * R/SmoothingIndex.R: - chnage ra to Ra to match usage in the rest of the package 2007-12-27 15:53 peter * R/rollingCorrelation.R, R/rollingFunction.R, man/rollingCorrelation.Rd, man/rollingFunction.Rd: - deprecated, use rollapply instead 2007-12-27 15:50 peter * R/: rollingFunction.R, rollingCorrelation.R: - replaced 'n' with 'width' 2007-12-27 15:46 brian * man/Return.read.Rd: - fix usage for R CMD check 2007-12-27 15:43 brian * man/Return.annualized.Rd: - fix deqn LaTeX error 2007-12-27 15:26 brian * man/table.Arbitrary.Rd: - update documentation to reflect inability to pass different parameters to same function 2007-12-27 15:20 peter * man/chart.ACF.Rd: - completed first draft of function documentation 2007-12-27 15:12 brian * man/table.Arbitrary.Rd: - update usage and alias to reflect function name change from statsTable to table.Arbitrary 2007-12-27 15:05 brian * man/chart.ACFplus.Rd: - removed, added alias to this function in chart.ACF.Rd 2007-12-27 15:04 brian * man/chart.ACF.Rd: - add alias for chart.ACFplus and document standard items 2007-12-27 14:59 peter * R/table.Arbitrary.R: - cleaned out commented lines 2007-12-27 14:55 brian * man/: chart.ACF.Rd, chart.ACFplus.Rd, chart.ECDF.Rd, chart.Regression.Rd, table.Autocorrelation.Rd: - initial commit of documentation stubs created with prompt() command 2007-12-27 14:54 peter * R/table.Arbitrary.R: - renamed function from statsTable - added wrapper 2007-12-27 14:46 peter * R/table.Arbitrary.R: - fixed bug to calculate number of columns 2007-12-27 14:41 brian * R/chart.Regression.R: - fix switch syntax error 2007-12-27 14:36 brian * R/chart.Regression.R: - change fit to use a list and a switch 2007-12-27 14:19 brian * R/chart.Correlation.color.R, man/chart.Correlation.color.Rd: - remove unused parameter 'new' 2007-12-27 14:13 peter * R/table.Autocorrelation.R: - fixed F for FALSE 2007-12-27 14:11 peter * R/chart.Histogram.R: - fixed F for FALSE in function call 2007-12-27 13:51 brian * man/SmoothingIndex.Rd: - initial commit of adaptation to Getmansky smotting index 2007-12-27 13:03 brian * R/chart.Regression.R: - change function name from chart.MultiScatter to chart.Regression in prep for public release 2007-12-27 12:45 peter * R/chart.Correlation.color.R: - added parameter for passing to cor 2007-12-27 12:44 peter * R/chart.Correlation.R: - added option for passing parameters to cor, including "pairwise.complete.obs" 2007-12-27 12:43 peter * R/chart.RelativePerformance.R: - added solid reference line 2007-12-27 12:42 peter * R/chart.Histogram.R: - shrank text labels for event lines 2007-12-27 12:40 peter * R/SmoothingIndex.R: - fixed theta calculations 2007-12-06 15:39 peter * R/chart.Histogram.R: - added stable fit using fBasics functions 2007-12-06 15:38 peter * R/chart.QQPlot.R: - replaced core code with John Fox's qq.plot internals - makes error bands available - allows multiple distribution fitting 2007-11-26 16:49 brian * man/VaR.CornishFisher.Rd: - update Zangari reference - update equations to match other notation 2007-11-22 22:28 peter * R/chart.Histogram.R: - added margin to histogram bars for ylim 2007-11-21 23:32 peter * R/chart.Histogram.R: - fixed ylim to show height of histogram bars 2007-11-21 23:18 peter * R/chart.Histogram.R: - added 'elementcolor' parameter 2007-11-21 23:16 peter * R/chart.Histogram.R: - added log-normal fit, although requires positive numbers only 2007-11-21 22:55 peter * R/chart.Histogram.R: - fixed xlab for add.cauchy 2007-11-21 22:52 peter * R/chart.Histogram.R: - added fit for skew t - fixed ylim for cauchy - unified fit across x axis 2007-11-20 23:32 peter * R/chart.QQPlot.R: - fixed title 2007-11-20 23:31 peter * R/chart.QQPlot.R: - added fitting for norm, lnorm, cauchy, and sst distributions 2007-11-20 17:13 brian * R/VaR.CornishFisher.R: - fix warnings for unreasonable results - use negative mean to calculate for tail risk 2007-11-20 15:19 peter * R/chart.Histogram.R: - added p attribute for passing in risk calculation parameter 2007-11-19 15:06 peter * R/chart.ECDF.R: - plots a fitted ECDF line to the sorted data 2007-11-18 21:43 peter * R/charts.RollingRegression.R: - removed event.labels from lower charts 2007-11-18 21:42 peter * R/chart.TimeSeries.R: - title will no longer be set to default text, will use column name instead 2007-11-18 21:40 peter * R/chart.Histogram.R: - smoothed out the density line for smaller data sets - added parameter for showing all data points rather than center 2007-11-18 21:38 peter * R/chart.Regression.R: - allow cex to be passed through correctly 2007-11-18 08:28 peter * R/chart.Bar.R: - squared off the bar ends 2007-11-07 23:04 peter * R/chart.TimeSeries.R: - added support for other time formats 2007-10-18 08:56 peter * R/checkData.R: - fixed error labeling data without columnnames 2007-10-10 22:56 peter * R/chart.RollingCorrelation.R: - fixed so that it will handle zoo objects with yearmon dates 2007-10-10 22:53 peter * R/chart.RollingRegression.R: - fixed bug for handling yearmon class dates in zoo object 2007-10-10 22:33 peter * inst/doc/PA-charts.Rnw: - added drop=FALSE to Rf for table.CAPM 2007-10-10 22:22 peter * R/DownsideDeviation.R: - fixed "subset" to use r instead of R 2007-10-10 22:21 peter * R/SemiDeviation.R: - fixed return so that method was being passed to DownsideDeviation 2007-10-09 20:58 peter * R/chart.ACF.R: - adding similar chart to chart.ACFplus, with stripped down ACF chart 2007-10-04 22:24 peter * R/table.Autocorrelation.R: - first commit of lag-6 autocorrelation coefficient with Q-stat p-value table 2007-10-02 21:46 peter * R/chart.RiskReturnScatter.R: - colors and symbol sets now stretched to match the number of columns - name text colors prints backwards to match the order of the dots 2007-10-02 21:44 peter * R/: charts.RollingRegression.R, charts.RollingPerformance.R: - legend will be hidden by default - legend location can be passed in through legend.loc parameter 2007-10-02 21:43 peter * R/checkData.R: - single column zoo objects will have the time class and order preserved - yearmon class should be ordered correctly as a result 2007-09-26 22:03 peter * R/chart.ACFplus.R: - first commit of ACF and PACF paired chart 2007-09-25 22:33 peter * R/chart.Histogram.R: - no longer clobbers xlim when passed in from function 2007-09-25 22:13 peter * R/chart.Regression.R: - added a spline fit - switched the order of the lowess fit variables 2007-09-25 21:59 peter * R/chart.QQPlot.R: - changed chart elements to be consistent with other chart 2007-09-25 21:56 peter * R/chart.Boxplot.R: - changed zero line to solid - removed subtitles 2007-09-25 21:54 peter * R/Return.excess.R: - fixed labeling problem in multi-column asset results 2007-09-24 23:29 peter * R/checkData.R: - added data.frame as method 2007-09-24 23:28 peter * R/chart.Boxplot.R: - added overplot of mean - sort.by for mean, median, variance - as.Tufte for cleaner charts - set color by bar - cleaned up labeling 2007-09-23 21:50 peter * R/charts.PerformanceSummary.R: - cleaned up spacing in title 2007-09-23 21:49 peter * R/chart.RiskReturnScatter.R: - chart elements now consistent with time series charts - prints columns backwards so that earlier columns printed on top of later - return axis now unbounded below zero, although it will show zero - zero return line drawn if min is not zero 2007-09-23 21:35 peter * R/chart.Histogram.R: - chart elements now set to similar defaults as time series charts - xlim settings now conditioned on methods 2007-09-23 21:32 peter * R/Return.read.R: - added check.names as a parameter - set default so that names are not checked - spaces will not be replaced by dots in column names by default 2007-09-20 07:20 brian * R/HerfindahlIndex.R: - removed because of faulty work by EDHEC 2007-09-17 23:05 peter * man/HerfindahlIndex.Rd: - removed because measure is of marginal utility 2007-09-17 22:33 peter * man/chart.Histogram.Rd: - added "none" to methods list 2007-09-17 22:33 peter * man/charts.PerformanceSummary.Rd: - fixed typo 2007-09-17 22:27 peter * man/chart.Histogram.Rd: - changed function list to include NULL default 2007-09-17 22:26 peter * man/charts.PerformanceSummary.Rd: - added new parameters to documentation 2007-09-17 22:26 peter * man/StdDev.annualized.Rd: - changed default for rm.na to TRUE to match function 2007-09-17 22:25 peter * man/Return.calculate.Rd: - fixed example 2007-09-17 22:24 peter * man/InformationRatio.Rd: - fixed example to use managers 2007-09-17 22:24 peter * R/chart.Histogram.R: - default for methods is now NULL 2007-09-13 21:04 peter * R/chart.Histogram.R: - commented need for adding MASS as a dependency 2007-09-13 21:03 peter * R/CAPM.beta.R: - altered error message to correct syntax matching in editor 2007-09-13 21:01 peter * data/edhec.rda: - transformed to a zoo object 2007-09-13 20:58 peter * man/: ActivePremium.Rd, CAPM.alpha.Rd, CAPM.beta.Rd, InformationRatio.Rd, SharpeRatio.annualized.Rd, VaR.Marginal.Rd, chart.TimeSeries.Rd: - fixed example 2007-09-10 22:03 peter * R/Return.Geltner.R: - fixed na.omit for column zoo object 2007-09-10 21:52 peter * R/Return.Geltner.R: - removed the clever bits and calculate the hard way - row and column names work 2007-09-05 17:37 peter * R/SmoothingIndex.R: - first draft of the so-called Herfindahl index based on an MA(2) fit 2007-09-03 23:35 peter * man/HerfindahlIndex.Rd: - added commentary about interpretation - added notes about appropriate reference 2007-09-03 21:12 brian * R/VaR.CornishFisher.R: - add eval to if statement for Sweave pickiness 2007-09-01 20:51 peter * R/table.CalendarReturns.R: - puts NAs where data is missing, rather than zeros 2007-09-01 14:43 brian * man/Return.Geltner.Rd: - replace \psi with \rho to match common time series notation 2007-09-01 14:05 brian * man/Return.Geltner.Rd: - initial revision of Geltner Returns documentation 2007-09-01 11:29 brian * R/Return.Geltner.R: - initial revision of Geltner Returns function - seems to only work on rectangular multicolumn inputs - may lose rownames 2007-08-31 23:05 brian * R/HerfindahlIndex.R: - remove squred returns, that was just a test nothing to see here, move along 2007-08-31 22:06 brian * R/HerfindahlIndex.R: - change F to FALSE for R CMD check 2007-08-31 17:42 brian * man/HerfindahlIndex.Rd: - initial revision of documentation for Herfindahl Autocorrelation Index 2007-08-31 17:12 brian * R/HerfindahlIndex.R: - initial revision of Herfindahl autocorrelation index 2007-08-30 07:19 brian * R/CAPM.beta.R: - change quoting to clean up syntax 2007-08-30 07:18 brian * R/TreynorRatio.R: - add passing of dots 2007-08-28 22:17 peter * R/table.DownsideRisk.R: - fixed NA removal problems - fixed rounding issue with Rf labels in table 2007-08-28 09:56 peter * R/VaR.Beyond.R: - added na.omit to column processing - added rowname when multiple columns are returned 2007-08-27 09:30 peter * data/managers.rda: - converted to zoo object with yearmon formatted time slot 2007-08-27 06:59 brian * man/SharpeRatio.modified.Rd: - add note on scaling 2007-08-26 05:01 brian * R/StdDev.annualized.R: - code comment and indentation cleanup, no functional change 2007-08-26 04:54 brian * R/StdDev.annualized.R: - simplify recursion to eliminate possibility of endless loop 2007-08-25 17:55 brian * R/StdDev.annualized.R: - modify to mimic class behavior of sd function should handle both single and multicolumn data smoothly now 2007-08-23 23:02 peter * R/chart.Histogram.R: - labels now work for note.lines 2007-08-23 22:54 peter * R/chart.Histogram.R: - added arbitrary lines and labels - labeling doesn't work yet 2007-08-23 22:18 peter * R/chart.Histogram.R: - added cauchy fit 2007-08-23 20:43 peter * R/chart.Histogram.R: - beautified format of vertical lines for add.risk 2007-08-22 21:12 peter * R/charts.PerformanceSummary.R: - added legend.loc as parameter so that legend can be shut off or moved in top chart 2007-08-20 16:06 peter * R/chart.TimeSeries.R: - using range function's na.rm flag to get correct NA behavior 2007-08-20 16:04 peter * R/chart.BarVaR.R: - added as.Date because merge.zoo is not behaving as expected when date formats are not consistent 2007-08-20 16:03 peter * R/apply.fromstart.R: - moved as.Date transformations 2007-08-16 09:58 peter * man/chart.CumReturns.Rd: - fixed example by adding drop=FALSE 2007-08-16 09:48 peter * R/table.HigherMoments.R: - added checkData for rf 2007-08-16 09:47 peter * R/table.DownsideRisk.R: - added subset handling for when rf is a time series rather than a point est 2007-08-16 09:41 peter * R/table.AnnualizedReturns.R: - NA removal now handled in individual calcs - added checkData for rf 2007-08-16 09:29 peter * R/chart.RiskReturnScatter.R: - modified checkData to return Zoo object - added checkData to handle Rf as a time series rather than a point est 2007-08-16 09:27 peter * R/StdDev.annualized.R: - added NA removal default - modified checkData to return a vector 2007-08-16 09:12 peter * R/SharpeRatio.annualized.R: - added checkData for rf 2007-08-16 09:11 peter * R/Return.read.R: - clarified comments 2007-08-16 09:10 peter * R/Return.annualized.R: - updated checkData function 2007-08-16 09:09 peter * R/DownsideDeviation.R: - added checkData for MAR in case it is a vector of Rf 2007-08-16 09:07 peter * man/Return.calculate.Rd: - added commentary about using adjusted close prices - added better example 2007-08-16 07:58 peter * R/checkData.R: - fix quote format for sntax highlighting 2007-08-16 07:57 peter * R/checkData.R: - fix quote format for syntax highlighting 2007-08-15 15:18 brian * man/Return.read.Rd: - fix keywords for R CMD check 2007-08-15 15:15 brian * R/table.Returns.R: - remove deprecated table.Returns.R 2007-08-15 15:14 brian * R/table.CalendarReturns.R, man/table.CalendarReturns.Rd: - add notes on deprecated table.Returns, with wrapper to table.CalendarReturns 2007-08-15 15:10 brian * man/PerformanceAnalytics-package.Rd: - change references to deprecated table.Returns to table.CalendarReturns 2007-08-15 15:09 brian * R/checkData.R: - fix quote format for sntax highlighting 2007-08-15 15:08 brian * R/CAPM.utils.R: - fix warning for quote formatting 2007-08-15 15:05 brian * inst/doc/: PA-charts.Rnw, PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw, PerformanceAnalyticsPresentation-UseR-2007.Rnw: - change references to table.Returns to table.CalendarReturns 2007-08-15 14:42 brian * man/Return.read.Rd: - initial revision of Rd documentation created via prompt() fn 2007-08-14 22:37 peter * R/Return.read.R: - first entry in CVS - wrapper for read.zoo with a few case conditions for setting defaults 2007-08-14 19:04 peter * R/charts.PerformanceSummary.R: - aligns the three charts along the start date of the first column of data 2007-08-14 18:43 peter * R/chart.TimeSeries.R: - now uses zoo internally and handles yearmon and yearqtr formatting 2007-08-14 18:20 peter * R/Return.excess.R: - added conditional labeling to columns 2007-08-14 16:43 peter * R/table.CalendarReturns.R: - fixed the name of the function 2007-08-14 16:37 peter * R/Return.excess.R: - removed support for multiple columns in Rf - now works for numeric Rf 2007-08-14 16:30 peter * man/SharpeRatio.Rd: - modification to the Ra selected in the example 2007-08-14 16:17 peter * man/SharpeRatio.Rd: - fixed examples 2007-08-14 16:03 peter * R/CAPM.utils.R: - changed checkData to use zoo instead of vector 2007-08-14 15:53 peter * R/CAPM.utils.R: - changed rf to mean(rf) in CAPM.CML 2007-08-14 15:31 peter * man/CAPM.utils.Rd: - changed drop=F to drop=FALSE 2007-08-14 15:27 peter * man/CAPM.utils.Rd: - re-wrote examples to use managers data 2007-08-14 15:19 peter * man/CAPM.utils.Rd: - fixed examples 2007-08-13 20:19 peter * R/Return.excess.R: - function handles multiple columns for both R and Rf 2007-08-13 15:17 peter * man/Return.excess.Rd: - fixed the example 2007-08-11 11:57 peter * R/table.CalendarReturns.R: - replaces table.Returns.R 2007-08-11 11:56 peter * man/table.CalendarReturns.Rd: - replaced table.Returns.Rd 2007-08-11 11:55 peter * man/table.Returns.Rd: - removing from CVS in favor of table.CalendarReturns.Rd 2007-08-08 10:28 peter * inst/doc/PerformanceAnalyticsPresentation-UseR-2007.Rnw: - fixed typos 2007-08-07 23:59 peter * inst/doc/PerformanceAnalyticsPresentation-UseR-2007.Rnw: - aarrrgggghhhh - added returns slide, fixed some formatting 2007-08-07 07:32 brian * inst/doc/PerformanceAnalyticsPresentation-UseR-2007.Rnw: - Initial Revision of Presentation for UseR! 2007 Ames, Iowa 2007-08-04 10:15 brian * R/download.SP500PriceReturns.R: - use Return.calculate() fn instead of deprecated CalculateReturns() fn 2007-08-04 10:06 brian * R/Return.calculate.R, man/Return.calculate.Rd: - change primary function name to Return.calculate - provide alias to old fn name CalculateReturns - rename in CVS 2007-08-03 09:58 brian * R/: DownsideDeviation.R, SemiDeviation.R: - add use of length of full series or subset below MAR - set proper values for SemiVariance(subset), and SemiDeviation(full) - allow DownsideDeviation user to choose, default method="full" 2007-08-03 09:56 brian * man/: DownsideDeviation.Rd, SemiDeviation.Rd: - remove SemiDeviation.Rd, replace with expanded discussion in DownsideDeviation - add discussion of use of length of subset vs full return series 2007-07-30 14:06 brian * R/VaR.CornishFisher.R, man/VaR.CornishFisher.Rd: - fix typo in equation identified by Samantha Kumaran 2007-07-25 22:34 peter * R/findDrawdowns.R: - fixed error when first period is negative 2007-07-25 10:55 brian * man/PerformanceAnalytics-package.Rd: - add Khanh Nguyen to thanks for his testing and bug reports 2007-07-14 12:26 brian * R/Return.annualized.R: - add handling for geometric=FALSE (simple returns) 2007-07-14 12:25 brian * man/Return.annualized.Rd: add formula for simple return annualization to docs 2007-07-14 12:24 brian * R/: cummax.column.R, cumprod.column.R: - remove dots from apply to pass R CMD check 2007-07-12 16:54 brian * man/SharpeRatio.Rd: - update to use sigma of excess returns per Sharpe(1994) 2007-07-12 16:45 brian * R/SharpeRatio.R: -calculate stddev on excess return to account for a rf series, per Sharpe paper 2007-07-11 10:34 brian * inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw: - minor formatting updates - discussion of perturb/accuracy for data creation 2007-07-11 10:32 brian * man/SortinoRatio.Rd: - fix formatting of \overline 2007-07-11 10:23 brian * inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw: - add slides on Downside Deviation and VaR - correct other minor errors and formatting 2007-07-10 16:56 brian * man/SharpeRatio.modified.Rd: - improve formatting of overline 2007-07-10 16:46 brian * inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw: - fix size of busy ratios slide, using 'shrink', which beamer guide calls 'very evil' 2007-07-10 11:47 brian * inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw: - add slide on reward/risk ratios: too much text, it runs off the bottom 2007-07-10 11:20 brian * inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw: - add slide on complex measures included in table.CAPM 2007-07-10 04:13 brian * R/: cummax.column.R, cumprod.column.R: - comment out old na.rm handling to pass R CMD check 2007-07-10 04:06 brian * R/cummax.column.R, R/cumprod.column.R, man/cum.utils.Rd: - change parameters to x only, for reconciliation with R core 2007-07-09 08:42 brian * R/: cummax.column.R, cumprod.column.R: - update to pass R CMD check 2007-07-09 08:41 brian * man/: cum.utils.Rd, cummax.column.Rd, cumprod.column.Rd: - remove separate cum*.column files and replace with generic cum.utils documentation 2007-07-06 20:23 brian * inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw: - initial revision of noweb vignette for R/Rmetrics Meielisalp 2007 presentation 2007-07-06 09:12 brian * man/VaR.CornishFisher.Rd: - correct equation typo pointed out by Denis Musiyichuk 2007-07-06 08:40 brian * man/VaR.CornishFisher.Rd: - correct equation typo pointed out by Denis Musiyichuk 2007-06-29 12:55 tag v0_9_5-2007-06-29 2007-06-29 12:55 brian * DESCRIPTION, man/PerformanceAnalytics-package.Rd: - bump version to 0.9.5 2007-06-29 10:54 peter * R/charts.RollingRegression.R: - removed plot.new() because it was causing two page pdfs 2007-06-29 10:53 peter * R/charts.RollingPerformance.R: - removed plot.new() that was causing two page pdfs 2007-06-29 10:52 peter * R/charts.PerformanceSummary.R: - removed plot.new() that was causing two page pdf files 2007-06-29 07:23 brian * inst/doc/PA-charts.Rnw: - rearranged preamble so things load in correct order - fixed LaTeX errors to pass R CMD build - moved abstract to after title 2007-06-28 21:55 peter * inst/doc/PA-charts.Rnw: - changed data object name from manager.df to manager 2007-06-28 21:51 peter * data/managers.rda: - changed name of the R object from managers.df to managers 2007-06-28 21:27 brian * man/managers.Rd: -initial revision of documentation for managers data set 2007-06-28 19:21 brian * man/chart.BarVaR.Rd: - updates to clean up \usage for R CMD check 2007-06-27 16:30 brian * man/VaR.Marginal.Rd: -update for default NULL weightingvector 2007-06-27 14:32 brian * inst/doc/PA-charts.Rnw: - first cut at Sweave vignette comments and extra needed bits 2007-06-27 14:21 brian * R/VaR.Marginal.R: - add handling for NULL weightingvector (assume equal weight) 2007-06-27 11:10 peter * inst/doc/PA-charts.Rnw: - modified to use data(managers.df) command rather than read.csv 2007-06-26 22:55 peter * inst/doc/PA-charts.Rnw: - added table of contents 2007-06-24 23:18 peter * data/managers.csv: - CSV version of managers data 2007-06-24 23:18 peter * data/managers.rda: - jittered manager data 2007-06-24 23:15 peter * R/chart.BarVaR.R: - made gap default 12 (months) 2007-06-24 09:06 brian * man/: PerformanceAnalytics-package.Rd, Return.excess.Rd: - fix typos 2007-06-24 09:05 brian * R/VaR.Beyond.R, man/VaR.Beyond.Rd: - add parameter 'add' 2007-06-23 09:50 brian * man/DownsideDeviation.Rd: - add references - add discussion of using fitted distribution rather than observed returns 2007-06-23 07:33 brian * man/CalmarRatio.Rd: - add note on three year duration used in most cases 2007-06-23 07:09 brian * inst/doc/PerformanceAnalyticsVignette.lyx: - will be replaced by a noweb file 2007-06-23 07:06 brian * R/CalmarRatio.R, man/CalmarRatio.Rd: - initial revision of Calmar and Sterling Ratio functions and docs originally requested by Khanh Nguyen 2007-06-23 05:43 brian * man/StdDev.annualized.Rd: - minor text clarification 2007-06-23 05:42 brian * man/StdDev.annualized.Rd: - fix typos - add text about the inverse square law 2007-06-21 21:38 brian * man/PerformanceAnalytics-package.Rd: - add UpsidePotentialRatio references to package introduction 2007-06-21 21:31 brian * man/SortinoRatio.Rd: - fix quotes 2007-06-21 21:30 brian * man/UpsidePotentialRatio.Rd: - update equation LaTeX to pass R CMD check 2007-06-21 21:16 brian * R/UpsidePotentialRatio.R, man/UpsidePotentialRatio.Rd: - initial commit of functions and documentation for Sortino's Upside Potential Ratio 2007-06-21 20:01 brian * man/: DownsideDeviation.Rd, SortinoRatio.Rd: - add equations and additional text 2007-06-21 16:41 brian * man/DownsideDeviation.Rd: - add Platinga,van der Meer, Sortino 2001 reference 2007-06-21 16:36 brian * R/DownsideDeviation.R: - fixed to use length of entire series, per Platinga, van der Meer, Sortino 2001 2007-06-21 16:24 brian * R/DownsideDeviation.R: - update to use length rather than length-1 after reviewing several original Sortino papers 2007-06-20 23:34 peter * inst/doc/PA-charts.Rnw: - first complete draft of vignette in noweb format for easier editing within kile - supercedes lyx versions 2007-06-17 22:36 brian * man/: chart.BarVaR.Rd, chart.CumReturns.Rd, charts.PerformanceSummary.Rd: - update /usage and /item entries for clarity and to pass check 2007-06-17 22:35 brian * R/charts.PerformanceSummary.R: - make method argument a list 2007-06-17 22:34 brian * R/chart.CumReturns.R: - reverse default order of 'begin' argument to match charts.PerformanceSummary 2007-06-17 22:33 brian * R/chart.BarVaR.R: - use switch for method argument, more efficient 2007-06-17 16:42 brian * R/chart.Histogram.R, man/StdDev.annualized.Rd, man/chart.Histogram.Rd: - update /usage and /items to pass check 2007-06-07 18:45 brian * DESCRIPTION: - add URL 2007-06-07 18:45 brian * man/VaR.CornishFisher.Rd: - add reference to quantile 2007-06-07 18:44 brian * man/: StdDev.annualized.Rd, mean.utils.Rd: - fix broken \link's 2007-06-07 18:43 brian * man/PerformanceAnalytics-internal.Rd: - remove defunct \links 2007-06-07 18:42 brian * man/PerformanceAnalytics-package.Rd: - format urls 2007-06-07 18:42 brian * R/chart.Histogram.R: - add comments 2007-06-07 18:02 brian * R/StdDev.annualized.R: - update passing of ... into functions - fix scale/periods cut and paste error 2007-06-05 08:10 peter * R/maxDrawdown.R: - fixed calculation for negative value in first month 2007-06-04 09:32 peter * R/StdDev.annualized.R: - fixed x and Ra replacement error 2007-05-15 15:02 brian * R/StdDev.annualized.R: - fix syntax error (extra paren) 2007-05-15 14:47 peter * R/Return.excess.R: - handles multiple column objects 2007-05-15 06:57 brian * R/StdDev.annualized.R, man/StdDev.annualized.Rd: - standardize usage to match common R usage - define sd.annualized and sd.multiperiod as generic extensions of R core sd fn - move StdDev and std wrappers to this file 2007-05-15 06:51 brian * man/StdDev.Rd, R/StdDev.R: - removed, no longer relevant 2007-05-01 07:56 peter * man/: chart.BarVaR.Rd, chart.CumReturns.Rd: - added missing attributes 2007-04-30 07:56 peter * R/charts.PerformanceSummary.R: - changed 'method' to 'begin' 2007-04-30 07:51 peter * R/chart.Histogram.R: - fixed F instead of FALSE error 2007-04-27 06:19 brian * man/PerformanceAnalytics-internal.Rd: - add \item descriptions from R SVN repository copy of legend.Rd at https://svn.r-project.org/R/trunk/src/library/graphics/man/legend.Rd 2007-04-27 05:46 brian * man/chart.Histogram.Rd: - add examples 2007-04-26 22:25 peter * R/chart.Histogram.R: - added risk lines 2007-04-26 22:08 peter * R/chart.Histogram.R: - added switch - added qqchart - added rug 2007-04-26 08:22 brian * man/: PerformanceAnalytics-package.Rd, chart.CumReturns.Rd, chart.Drawdown.Rd, chart.QQPlot.Rd, chart.TimeSeries.Rd, charts.PerformanceSummary.Rd, cummax.column.Rd, cumprod.column.Rd, download.RiskFree.Rd, edhec.Rd, findDrawdowns.Rd, maxDrawdown.Rd, mean.utils.Rd, rollingRegression.Rd, sortDrawdowns.Rd, table.AnnualizedReturns.Rd, table.CAPM.Rd, table.DownsideRisk.Rd, table.Drawdowns.Rd: - update links - fix typos 2007-04-25 22:00 brian * man/: VaR.Beyond.Rd, apply.rolling.Rd, chart.Bar.Rd, chart.BarVaR.Rd, chart.Boxplot.Rd, chart.Correlation.Rd, chart.Correlation.color.Rd: - update links 2007-04-25 21:12 brian * man/: SharpeRatio.annualized.Rd, SharpeRatio.modified.Rd, SortinoRatio.Rd: - update links - fix typos 2007-04-25 21:09 brian * man/: InformationRatio.Rd, SharpeRatio.Rd: - update links 2007-04-25 21:06 brian * man/SemiDeviation.Rd: - fix typo 2007-04-25 15:07 peter * R/chart.Scatter.R: - added x-y axes 2007-04-25 15:06 peter * R/chart.CumReturns.R: - changed the 'method' tag to 'begin' 2007-04-23 09:35 peter * R/chart.Regression.R: - scatterplot to handle multiple columns of data 2007-04-22 07:54 brian * man/PerformanceAnalytics-package.Rd: - minor grammatical fixes - spell check 2007-04-21 09:07 peter * R/chart.BarVaR.R: - added 'all' flag: when F only draws first column 2007-04-20 20:06 peter * R/chart.BarVaR.R: - creates risk lines for each column of data 2007-04-20 08:47 peter * R/chart.CumReturns.R: - added attribute 'method' with values of 'axis' and 'first' to indicate where to attach shorter data lengths for comparison 2007-04-15 21:25 tag v0_9_4-2007-04-15 2007-04-15 21:25 brian * man/PerformanceAnalytics-internal.Rd: - Initial revision of Rd file for internal objects 2007-04-15 20:59 brian * R/mean.utils.R, man/mean.utils.Rd: - add dots parameter to pass R CMD check 2007-04-15 11:14 brian * man/apply.rolling.Rd: - Initial Revision of documentation for apply.rolling function 2007-04-15 11:01 brian * man/checkData.Rd: - fix title 2007-04-15 10:47 brian * man/chart.RollingPerformance.Rd: - add stubs for undocumented parameters 2007-04-15 10:46 brian * DESCRIPTION: - update date before release 2007-04-15 09:45 brian * R/table.Correlation.R, man/table.Correlation.Rd: - remove unused parameter n 2007-04-15 08:55 brian * man/chart.RollingPerformance.Rd: - add documentation for many of the undocumented parameters to get closer to passing R CMD check 2007-04-15 07:56 brian * man/chart.Histogram.Rd: - add details for undocumented parameters 2007-04-15 07:56 brian * R/chart.Histogram.R: - add breaks as an explicit parameter 2007-04-15 07:12 brian * man/apply.fromstart.Rd: - typo 2007-04-15 07:07 brian * man/apply.fromstart.Rd: - Initial Revision of documentation for apply.fromstart function 2007-04-15 06:08 brian * man/download.SP500PriceReturns.Rd: - remove unused sections 2007-04-15 06:07 brian * man/VaR.CornishFisher.Rd: - minor text revision 2007-04-15 06:07 brian * man/Return.excess.Rd: - additional text and examples to demonstrate excess return over a benchmark 2007-04-15 06:04 brian * man/findDrawdowns.Rd: - fix LaTeX errors in the unordered list in \value section 2007-04-15 05:59 brian * man/PerformanceAnalytics-package.Rd: - add additional text to discuss new functions apply.fromstart, apply.rolling, and Return.excess - add reference to 'portfolio' package for tracking historical portfolios 2007-04-14 19:51 brian * R/rollingCorrelation.R, R/rollingFunction.R, man/rollingCorrelation.Rd, man/rollingFunction.Rd: - standardize return and width parameters 2007-04-14 18:55 brian * man/Return.excess.Rd: - fix LaTeX syntax errors 2007-04-14 17:42 brian * man/findDrawdowns.Rd: - fix case of link 2007-04-14 17:38 brian * man/findDrawdowns.Rd: - fix case of link 2007-04-14 17:32 brian * man/VaR.CornishFisher.Rd: - add alias for vanila VaR function 2007-04-14 17:27 brian * man/Return.excess.Rd: - initial Revision of documentation and examples for Return.excess function 2007-04-14 15:57 brian * man/findDrawdowns.Rd: - add \alias for similar function Drawdowns 2007-04-14 14:12 brian * R/Return.calculate.R: -lowercase first parameter prices 2007-04-14 14:12 brian * man/: Return.calculate.Rd, VaR.Beyond.Rd: - adjust \usage to match code - add \items for additional parameters 2007-04-14 11:25 brian * man/: chart.BarVaR.Rd, chart.RollingMean.Rd, chart.RollingPerformance.Rd: - match \usage and parameter documentation to code 2007-04-14 10:48 brian * man/: chart.RollingCorrelation.Rd, chart.RollingMean.Rd, chart.RollingPerformance.Rd, chart.RollingRegression.Rd, chart.Scatter.Rd: - match \usage and parameter documentation to code 2007-04-14 10:42 brian * R/chart.RollingCorrelation.R: - standardize Ra as first argument for asset returns 2007-04-14 10:04 brian * man/chart.RollingRegression.Rd: - standardize Ra as first argument for asset returns - add more detail about how the 'attribute' arguments are computed 2007-04-14 10:01 brian * R/: chart.RollingRegression.R, charts.RollingRegression.R: - standardize Ra as first argument for asset returns 2007-04-14 10:00 brian * R/chart.RollingRegression.R: - make 'attribute' an enumerated argument 2007-04-14 09:12 brian * man/charts.PerformanceSummary.Rd: - add documentation for width rolling window parameter 2007-04-14 08:59 brian * man/chart.TimeSeries.Rd: - adjust \usage to match code 2007-04-14 08:57 brian * man/download.SP500PriceReturns.Rd: - make description for compounding method match code 2007-04-14 08:55 brian * R/: download.RiskFree.R, download.SP500PriceReturns.R: - standardize enumerated arguments, - assign default value to a string string if no value passed in to avoid warnings 2007-04-14 08:26 brian * man/: chart.RelativePerformance.Rd, chart.Scatter.Rd, chart.TimeSeries.Rd, charts.PerformanceSummary.Rd: - add/fix \item for ylog 2007-04-14 08:26 brian * man/table.RollingPeriods.Rd: - fix usage to match code 2007-04-14 08:24 brian * R/chart.RelativePerformance.R: - standardize on Ra for returns of asset 2007-04-14 08:09 brian * R/rollingFunction.R: - remove excess comments that no longer apply 2007-04-14 08:08 brian * R/rollingFunction.R: - remove deprecated firstcolumn argument 2007-04-14 07:59 brian * man/table.HigherMoments.Rd: - fix x/y Ra/Rb consusion and update \usade and \item definitions to match 2007-04-14 07:47 brian * man/table.RollingPeriods.Rd: - add \dots argument \item 2007-04-14 07:46 brian * man/table.RollingPeriods.Rd: - add scale argument \item 2007-04-14 07:44 brian * man/table.RollingPeriods.Rd: - remove deprecated firstcolumn and column arguments from \item and \usage 2007-04-14 07:38 brian * man/: rollingFunction.Rd, table.AnnualizedReturns.Rd, table.DownsideRisk.Rd, table.Returns.Rd, table.RollingPeriods.Rd: - remove deprecated firstcolumn and column arguments from \item and \usage 2007-04-14 07:27 brian * man/checkData.Rd: - add \item{method} documentation - standardize on "x" as first parameter 2007-04-14 07:23 brian * man/mean.utils.Rd: add \dots to parameter documentation 2007-04-14 07:22 brian * man/VaR.CornishFisher.Rd: - remove unused cloumn argument from \usage 2007-04-13 20:02 peter * data/managers.rda: - fixed date formats 2007-04-13 17:45 peter * R/chart.BarVaR.R: - changed how na.omit is applied 2007-04-11 09:12 peter * inst/doc/PerformanceAnalyticsVignette.lyx: - added to CVS 2007-04-09 20:45 peter * DESCRIPTION: - incremented date and version number 2007-04-09 20:43 peter * R/table.DownsideRisk.R: - cleanup to prevent warning about names from checkData 2007-04-09 19:39 peter * R/VaR.Beyond.R: - fixed to provide numeric when single column is passed in 2007-04-09 10:23 peter * man/table.Correlation.Rd: - fixed example 2007-04-09 10:09 peter * man/table.CAPM.Rd: - fixed example 2007-04-09 08:30 brian * man/: VaR.Beyond.Rd, cummax.column.Rd, cumprod.column.Rd, mean.utils.Rd: - clean up documentation 2007-04-09 07:59 brian * man/KellyRatio.Rd: - fix syntaxt error in R CMD check example 2007-04-09 07:54 brian * man/: KellyRatio.Rd, Omega.Rd: - add column names to the example so it will make more sense 2007-04-09 07:31 brian * R/VaR.Marginal.R, R/chart.RiskReturnScatter.R, R/charts.PerformanceSummary.R, R/checkData.R, R/mean.utils.R, man/PerformanceAnalytics-package.Rd, man/StdDev.annualized.Rd, man/UpDownRatios.Rd, man/VaR.Marginal.Rd, man/checkData.Rd: - syntax and usage changes to pass R CMD check 2007-04-09 06:11 brian * man/VaR.Marginal.Rd: - add examples 2007-04-08 22:45 peter * R/SharpeRatio.R: - uses checkData - uses Return.excess 2007-04-08 22:31 peter * R/SortinoRatio.R: - uses checkData 2007-04-08 22:31 peter * R/: TreynorRatio.R, SharpeRatio.annualized.R: - uses checkData - uses Return.excess 2007-04-08 22:18 peter * R/checkData.R: - forces column name in single column object 2007-04-08 22:16 peter * man/: Return.cumulative.Rd, Return.annualized.Rd, DownsideDeviation.Rd: - added example 2007-04-08 22:13 peter * man/: TrackingError.Rd, StdDev.annualized.Rd, SortinoRatio.Rd, SharpeRatio.modified.Rd, SharpeRatio.annualized.Rd, SharpeRatio.Rd, SemiDeviation.Rd: - added example 2007-04-08 22:09 peter * man/: download.SP500PriceReturns.Rd, download.RiskFree.Rd, checkData.Rd, chart.RollingPerformance.Rd, chart.RiskReturnScatter.Rd, UpDownRatios.Rd, TreynorRatio.Rd: - added example 2007-04-03 22:14 peter * data/managers.rda: - added Hypothetical Asset Manager 1 performance data 2007-04-03 21:46 peter * R/charts.PerformanceSummary.R: - added gap parameter for chart.BarVaR 2007-04-03 21:45 peter * R/apply.rolling.R: - added some backflips to name the single column zoo object 2007-04-03 19:23 brian * man/table.CAPM.Rd: - change to preformatted example text 2007-04-03 19:23 brian * R/: ActivePremium.R, BetaCoKurtosis.R, CoKurtosis.R, CoSkewness.R, InformationRatio.R, TrackingError.R, VaR.CornishFisher.R, table.Drawdowns.R: - typos and minor comment updates 2007-04-02 16:58 peter * R/chart.Scatter.R: - changed colorset default - changed to use checkData 2007-04-02 16:57 peter * R/UpDownRatios.R: - modified to use checkData functions - uses zoo to align dates - changed calculations to sum returns 2007-04-02 16:55 peter * R/table.Returns.R: - removed column parameter 2007-04-02 16:54 peter * R/SharpeRatio.modified.R: - modified to use CheckData - modified to use Return.excess 2007-04-02 16:53 peter * R/chart.RiskReturnScatter.R: - changed to checkData function 2007-04-02 16:52 peter * R/chart.BarVaR.R: - added removal of NA's 2007-04-02 16:49 peter * R/VaR.CornishFisher.R: - minor modification 2007-03-30 09:31 peter * R/VaR.CornishFisher.R: - when a single column is submitted, result is now a "numeric" rather than a "list" object 2007-03-25 15:18 brian * man/rollingFunction.Rd: - add some additional details 2007-03-25 09:23 brian * man/table.Drawdowns.Rd: - Initial Revision of documentation and examples for Drawdowns table 2007-03-24 08:45 brian * R/VaR.Beyond.R: - add default confidence of p=.95 2007-03-24 08:30 brian * R/checkData.R: - remove spurious parentheses added by editor 2007-03-24 08:28 brian * R/checkData.R: - fix cut and paste error in checkDataZoo wrapper 2007-03-24 08:24 brian * R/checkData.R: - add wrappers for deprecated checkDataMatrix checkDataVector checkDataZoo - replaces files checkDataMatrix.R checkDataVector.R checkDataZoo.R 2007-03-24 08:23 brian * R/: checkDataMatrix.R, checkDataVector.R, checkDataZoo.R: - remove original implementations of individual checkData* functions, deprecated - replaced by wrappers in checkData.R 2007-03-24 08:21 brian * man/checkData.Rd: - initial revision of consolidated checkData documentation 2007-03-24 08:03 brian * man/: checkDataMatrix.Rd, checkDataVector.Rd: - made obsolete by the addition of checkData 2007-03-22 16:53 peter * R/table.RollingPeriods.R: - added checkData - using zoo for window() calcs in period lengths 2007-03-22 09:44 peter * R/table.AnnualizedReturns.R: - uses checkData - eliminated firstcolumn 2007-03-22 09:39 peter * R/table.DownsideRisk.R: - uses checkData 2007-03-22 09:24 peter * R/VaR.CornishFisher.R: - removed column attribute 2007-03-22 09:03 peter * R/table.Returns.R: - uses checkData 2007-03-22 08:49 peter * R/table.HigherMoments.R: - cleaned up comments 2007-03-22 08:48 peter * R/table.CAPM.R: - removed and edited comments 2007-03-22 08:48 peter * R/charts.PerformanceSummary.R: - removed yaxis label in favor of default 2007-03-22 08:46 peter * R/chart.RollingMean.R: - uses checkData 2007-03-22 08:22 brian * man/VaR.CornishFisher.Rd: - add better description of distribution of losses mu 2007-03-22 07:38 peter * R/table.Correlation.R: - handles multiple assets and benchmarks - uses checkData - manages unequal time periods 2007-03-22 07:16 brian * man/: VaR.Beyond.Rd, VaR.CornishFisher.Rd: - add VaR examples 2007-03-22 07:15 brian * R/VaR.CornishFisher.R: - remove VaR.multicolumn, obsolete 2007-03-22 06:54 brian * R/VaR.CornishFisher.R: - added handlnig for multicolumn data 2007-03-22 06:52 brian * R/VaR.Beyond.R: - allow use of modified VaR calculation as an option 2007-03-22 06:48 brian * R/VaR.Beyond.R: - change to use CheckData - remove obsolete separate handling for single-column data 2007-03-22 06:47 peter * R/chart.RollingRegression.R: - changed legend label separator to "to" 2007-03-22 06:40 peter * R/table.HigherMoments.R: - handles multiple assets and benchmarks - uses checkData 2007-03-22 06:34 peter * R/table.CAPM.R: - changed the colname label connector from "vs" to "to" 2007-03-21 20:24 peter * R/table.CAPM.R: - shortened col labels 2007-03-21 20:03 peter * R/table.CAPM.R: - handles uneven periods of data - handles matrixes of assets and benchmarks - uses checkData 2007-03-21 16:46 peter * R/charts.PerformanceSummary.R: - passing in wealth.index to top chart 2007-03-21 16:44 peter * R/charts.PerformanceSummary.R: - fixed conditional test 2007-03-21 16:40 peter * R/charts.PerformanceSummary.R: - added error handling for ylog passing in top chart 2007-03-21 15:49 peter * R/chart.BarVaR.R: - fixed issue with ylim when passed a matrix-like object 2007-03-21 11:34 peter * R/findDrawdowns.R: - fixed period calculations 2007-03-21 09:09 peter * R/Drawdowns.R: - separated function from the chart.Drawdowns.R 2007-03-21 09:08 peter * R/sortDrawdowns.R: - added sorts on new attributes in findDrawdowns.R 2007-03-21 09:07 peter * R/findDrawdowns.R: - added trough date, periods to trough, periods to recovery - changed to use dataCheck 2007-03-21 09:07 peter * R/table.Drawdowns.R: - added trough date, periods to trough, and periods to recovery 2007-03-20 23:20 peter * R/table.Drawdowns.R: - added error trap where top exceeds # drawdowns 2007-03-20 23:13 peter * R/table.Drawdowns.R: - initial addition of function to cvs 2007-03-20 09:34 brian * R/Return.calculate.R: - restored CVS revision log data 2007-03-20 09:31 brian * R/download.SP500PriceReturns.R: - restored CVS revision log data 2007-03-20 08:48 peter * R/charts.PerformanceSummary.R: - changed "n" attribute to "width" in chart.BarVaR call 2007-03-20 08:47 peter * R/table.MonthlyReturns.R: - changed to checkData - cleaned up alignment 2007-03-20 06:27 brian * R/download.RiskFree.R: - add copyright, license, and CVS Log 2007-03-20 05:48 brian * R/apply.fromstart.R: - add copyright, license, and CVS Log 2007-03-20 05:44 brian * R/: apply.fromstart.R, chart.BarVaR.R, chart.RelativePerformance.R: - change F to FALSE to pass R CMD check 2007-03-19 22:29 peter * R/checkData.R: - shut off rowname and columnname warnings when method == "vector" 2007-03-19 22:28 peter * R/apply.fromstart.R: - uses zoo functions to apply functions to expanding windows 2007-03-19 22:28 peter * R/apply.rolling.R: - uses zoo functions to apply functions to rolling windows 2007-03-19 22:27 peter * R/chart.BarVaR.R: - uses apply.rolling and apply.fromstart to calculate risk lines 2007-03-19 22:26 peter * R/VaR.CornishFisher.R: - removed firstcolumn 2007-03-19 16:55 peter * R/VaR.CornishFisher.R: - replaced data checking with checkData function 2007-03-17 15:56 brian * man/VaR.CornishFisher.Rd: - correct typos 2007-03-16 20:24 brian * R/chart.RelativePerformance.R: - drop=FALSE to pass R CMD check 2007-03-16 20:16 brian * R/charts.RollingRegression.R: - restored CVS revision log data 2007-03-16 19:42 brian * R/charts.RollingRegression.R: - correct use of F instead of FALSE to pass R CMD check 2007-03-16 19:42 brian * man/: ActivePremium.Rd, BetaCoKurtosis.Rd, CAPM.alpha.Rd, CAPM.beta.Rd, chart.RelativePerformance.Rd, chart.RollingCorrelation.Rd, chart.RollingRegression.Rd: - correct LaTeX and example errors of the format="\%b \%Y" by escaping % 2007-03-16 19:25 peter * R/chart.RelativePerformance.R: - uses checkData - corrected calculation 2007-03-16 10:27 peter * man/ActivePremium.Rd: - fixed example 2007-03-16 09:22 peter * R/download.RiskFree.R: - now delivers a zoo object instead of a data.frame 2007-03-16 09:03 peter * R/download.SP500PriceReturns.R: - added cvs footer 2007-03-16 08:59 peter * R/: Return.excess.R, charts.RollingRegression.R, Return.calculate.R: - added cvs footer 2007-03-16 08:47 peter * R/Return.calculate.R: - returns a zoo object rather than a data frame - uses zoo functions to simplify calculations 2007-03-15 22:59 peter * man/ActivePremium.Rd: - fixed example 2007-03-15 22:56 peter * man/: CAPM.alpha.Rd, CAPM.beta.Rd: - fixed example 2007-03-15 22:53 peter * man/chart.RollingMean.Rd: - added example 2007-03-15 22:48 peter * man/: chart.RollingCorrelation.Rd, chart.RelativePerformance.Rd: - added example 2007-03-15 22:41 peter * man/chart.RollingRegression.Rd: - fixed the example 2007-03-15 22:22 peter * R/checkData.R: - doesn't re-zoo a zoo object, since that might change it's index format 2007-03-15 22:21 peter * R/charts.RollingRegression.R: - removed data checks 2007-03-15 22:20 peter * R/: chart.RollingRegression.R, Return.excess.R: - minor changes 2007-03-14 20:15 brian * R/: chart.RelativePerformance.R, chart.RollingCorrelation.R, chart.RollingPerformance.R, chart.RollingRegression.R: - replace drop=F with drop=FALSE for R CMD check compatibility 2007-03-14 19:45 peter * R/charts.RollingRegression.R: - made legend conditional on having more than one data series 2007-03-14 19:39 peter * R/Return.calculate.R: - made "compound" default method 2007-03-14 17:54 peter * R/chart.RollingRegression.R: - fixed rf calc 2007-03-14 17:53 peter * R/Return.excess.R: - submitted function to cvs 2007-03-14 00:02 peter * R/charts.RollingRegression.R: - switched order of top two charts - added legend to top chart - made inputs consistent with lower level functions 2007-03-13 23:53 peter * R/chart.RollingRegression.R: - uses checkData function - uses zoo rollapply function - takes multiple assets and multiple benchmarks - handles unequal lengths of timeseries data 2007-03-13 22:12 peter * R/chart.RollingCorrelation.R: - uses checkData function - handles uneven lengths of timeseries data - handles multiple assets and benchmarks for cross correlation - uses zoo rollapply function 2007-03-13 19:54 brian * man/: CAPM.alpha.Rd, CAPM.beta.Rd, CAPM.utils.Rd, DownsideDeviation.Rd, InformationRatio.Rd, KellyRatio.Rd, Omega.Rd, Return.annualized.Rd, Return.cumulative.Rd, SemiDeviation.Rd, SharpeRatio.Rd, SharpeRatio.annualized.Rd, SharpeRatio.modified.Rd, SortinoRatio.Rd, StdDev.Rd, StdDev.annualized.Rd, TrackingError.Rd, TreynorRatio.Rd, UpDownRatios.Rd, VaR.Beyond.Rd, VaR.CornishFisher.Rd, VaR.Marginal.Rd, chart.Bar.Rd, chart.BarVaR.Rd, chart.Boxplot.Rd, chart.Correlation.color.Rd, chart.CumReturns.Rd, chart.Drawdown.Rd, chart.Histogram.Rd, chart.QQPlot.Rd, chart.RegressionDiagnostics.Rd, chart.RelativePerformance.Rd, chart.RiskReturnScatter.Rd, chart.RollingCorrelation.Rd, chart.RollingMean.Rd, chart.RollingPerformance.Rd, chart.RollingRegression.Rd, chart.TimeSeries.Rd, charts.PerformanceSummary.Rd, charts.RollingPerformance.Rd, checkDataMatrix.Rd, checkDataVector.Rd, cummax.column.Rd, cumprod.column.Rd, findDrawdowns.Rd, maxDrawdown.Rd, rollingFunction.Rd, rollingStat.Rd, table.AnnualizedReturns.Rd, table.Arbitrary.Rd, table.DownsideRisk.Rd, table.MonthlyReturns.Rd, table.Returns.Rd, table.RollingPeriods.Rd: - updates to parameters, descriptions and text for standardization 2007-03-13 19:54 brian * R/: DownsideDeviation.R, KellyRatio.R, Return.annualized.R, SemiDeviation.R, SharpeRatio.annualized.R, SharpeRatio.modified.R, SortinoRatio.R, TreynorRatio.R, chart.RollingPerformance.R: - updates to parameters for standardization 2007-03-13 17:17 brian * DESCRIPTION: - add fPortfolio as dependency for pfolioReturn 2007-03-13 16:54 peter * R/chart.RelativePerformance.R: - multiple assets can be compared to multiple benchmarks - uses dataCheck function - allows uneven timeseries 2007-03-13 13:08 peter * R/chart.RollingPerformance.R: - now handles single column zoo objects when naming columns using drop=F 2007-03-13 12:58 peter * R/checkData.R: - simplified to use as.matrix for all data types entered 2007-03-12 23:23 peter * R/charts.RollingPerformance.R: - changed to checkData function - modified parameters to fit RollingPerformance changes - now takes unequal time periods 2007-03-12 23:21 peter * R/chart.RollingPerformance.R: - adjusted parameter inputs 2007-03-12 23:06 peter * R/chart.RollingPerformance.R: - modified to deal with unequal time periods - uses new checkData function - passes attributes to function rather than chart 2007-03-12 23:01 peter * R/chart.TimeSeries.R: - added new checkData function 2007-03-12 22:59 peter * R/chart.CumReturns.R: - uses new checkData function 2007-03-12 22:57 peter * R/chart.Drawdown.R: - uses checkData function 2007-03-12 22:56 peter * R/checkData.R: - added warning for vector 2007-03-12 22:44 peter * R/checkData.R: - added log 2007-03-12 22:41 peter * R/checkData.R: - combines checkData[Zoo,Matrix,Vector] functions into a single function 2007-03-12 20:13 peter * R/checkDataZoo.R: - added tests for column and row names 2007-03-12 10:45 brian * R/StdDev.R, R/StdDev.annualized.R, man/StdDev.Rd, man/StdDev.annualized.Rd: - add equations to documentation - standardize on Ra for Returns of asset 2007-03-12 10:34 brian * R/SharpeRatio.R, R/SharpeRatio.annualized.R, R/TreynorRatio.R, man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd, man/TreynorRatio.Rd: - add equations to documentation - standardize on Ra for Returns of asset 2007-03-12 08:56 brian * man/VaR.CornishFisher.Rd: - minor updates and grammatical corrections 2007-03-11 20:55 brian * man/VaR.CornishFisher.Rd: - added more seealso links 2007-03-11 20:46 brian * man/VaR.CornishFisher.Rd: - rearranged text on parametric maen-VaR to read more smoothly. 2007-03-11 20:30 brian * man/VaR.CornishFisher.Rd: - add equations and text for all VaR functions covered by this Rd - nonparmetric - parametric - Cornish-Fisher 2007-03-11 14:20 brian * man/: Return.annualized.Rd, Return.cumulative.Rd: - add equantions - add reference - minor text updates 2007-03-11 14:19 brian * man/PerformanceAnalytics-package.Rd: - add discussion of motive to Charts section - add Bacon reference - minor text updates 2007-03-11 14:18 brian * R/: Return.annualized.R, Return.cumulative.R: - standardize variable naming 2007-03-11 12:05 brian * R/: VaR.Beyond.R, VaR.Marginal.R: - change to use checkDataMatrix 2007-03-11 11:58 brian * R/: BetaCoKurtosis.R, BetaCoSkewness.R, BetaCoVariance.R, VaR.CornishFisher.R, moment.fourth.R, moment.third.R: - replace as.vector() with checkDataVector() 2007-03-11 11:53 brian * R/ActivePremium.R, R/BetaCoKurtosis.R, R/BetaCoSkewness.R, R/BetaCoVariance.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.utils.R, R/CoKurtosis.R, R/CoSkewness.R, R/InformationRatio.R, R/TrackingError.R, man/ActivePremium.Rd, man/BetaCoKurtosis.Rd, man/BetaCoSkewness.Rd, man/BetaCoVariance.Rd, man/CAPM.alpha.Rd, man/CAPM.beta.Rd, man/CAPM.utils.Rd, man/CoKurtosis.Rd, man/CoSkewness.Rd, man/InformationRatio.Rd, man/TrackingError.Rd: - add equations and text to documentation - standardize on Ra as the Return of the Asset - standardize on Ra as first argument where that wasn't previously true 2007-03-10 13:46 peter * R/chart.Drawdown.R: - handles unequal periods - correctly calculates when first period is negative 2007-03-09 23:08 peter * R/chart.CumReturns.R: - revised function to take zoo objects and plot unequal time periods 2007-03-09 16:45 peter * R/checkDataZoo.R: - fixed function name 2007-03-09 16:41 peter * R/checkDataZoo.R: - added coersion function to deliver zoo object 2007-03-08 21:08 peter * R/chart.TimeSeries.R: - fixed y-axis so that ylog could be passed in as a parameter 2007-03-07 16:15 brian * man/: CoKurtosis.Rd, CoSkewness.Rd: - bring equation in line with function params 2007-03-07 08:47 brian * man/PerformanceAnalytics-package.Rd: - minor updates to text 2007-03-06 11:08 brian * man/PerformanceAnalytics-package.Rd: - change attribution to Joe Wayne Byers, at his request 2007-03-05 10:49 brian * man/PerformanceAnalytics-package.Rd: - minor updates to improve PDF formatting 2007-03-05 09:34 brian * man/PerformanceAnalytics-package.Rd: - add acknowlegements 2007-03-05 09:14 tag PerformanceAnalytics-v0_9_3-2007-03-05 2007-03-05 09:14 brian * man/: PerformanceAnalytics-package.Rd, chart.RegressionDiagnostics.Rd, chart.RollingRegression.Rd: - remove references to charts.RegressionDiagnostics 2007-03-05 08:55 peter * man/chart.RollingRegression.Rd: - added charts.RollingRegression example 2007-03-05 08:54 peter * man/chart.RollingRegression.Rd: - added example 2007-03-05 06:31 brian * man/mean.utils.Rd: - minor text updates 2007-03-05 06:09 brian * man/mean.utils.Rd: minor text changes 2007-03-05 06:06 brian * man/CAPM.utils.Rd: - fix typos 2007-03-04 23:02 brian * man/mean.utils.Rd: - change first argument to the less-descriptive x rather than R for generic R method consistency 2007-03-04 22:53 brian * man/chart.RollingRegression.Rd: - add Rb parameter to example: still broken 2007-03-04 22:51 brian * R/mean.utils.R: - add copyright and CVS block 2007-03-04 22:48 brian * R/mean.utils.R, man/mean.utils.Rd: - change first parameter to x for R generic method consistency - fix capitalization errors in documentation 2007-03-04 22:45 brian * man/PerformanceAnalytics-package.Rd: - minor wording and LaTeX changes 2007-03-04 22:15 peter * man/chart.RollingRegression.Rd: -fixed typo 2007-03-04 22:08 peter * man/: PerformanceAnalytics-package.Rd, chart.RollingRegression.Rd: - minor changes to text 2007-03-04 22:04 peter * R/mean.utils.R: - fixed bug omitting length() 2007-03-04 21:51 peter * man/PerformanceAnalytics-package.Rd: - minor changes to text 2007-03-04 21:41 peter * man/mean.utils.Rd: - fixed typo 2007-03-04 21:29 peter * man/mean.utils.Rd: - added documentation 2007-03-04 21:25 peter * R/mean.utils.R: - added defaults for ci 2007-03-04 21:19 peter * R/table.MonthlyReturns.R: - removed firstcolumn as an attribute 2007-03-04 21:18 peter * man/table.MonthlyReturns.Rd: - removed firstcolumn attribute 2007-03-04 20:54 peter * R/mean.utils.R: - added set of minor utility functions 2007-03-04 15:00 brian * DESCRIPTION: - update dependencies to include tseries 2007-03-04 14:59 brian * R/Return.calculate.R, R/VaR.CornishFisher.R, R/checkDataMatrix.R, R/download.RiskFree.R, R/download.SP500PriceReturns.R, R/table.DownsideRisk.R, man/BetaCoKurtosis.Rd, man/Omega.Rd, man/PerformanceAnalytics-package.Rd, man/VaR.Beyond.Rd, man/VaR.CornishFisher.Rd, man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.CumReturns.Rd, man/chart.Drawdown.Rd, man/chart.Histogram.Rd, man/chart.TimeSeries.Rd, man/checkDataMatrix.Rd, man/download.RiskFree.Rd, man/download.SP500PriceReturns.Rd, man/rollingCorrelation.Rd, man/rollingFunction.Rd, man/table.DownsideRisk.Rd, man/table.HigherMoments.Rd: - minor changes to pass R CMD check 2007-03-04 12:41 brian * man/chart.RollingRegression.Rd: - update usage, title, description, aliases 2007-03-04 12:39 brian * man/chart.Drawdown.Rd: - add missing item definitions 2007-03-04 12:39 brian * man/Omega.Rd: - update example to comply with method enumeration 2007-03-04 12:38 brian * man/DownsideDeviation.Rd: - update usage to remove compile warning 2007-03-04 12:38 brian * R/: chart.RollingRegression.R, charts.RollingRegression.R: - update function definition to agree with usage using enumerated argument 2007-03-04 12:37 brian * R/Omega.R: - update to use switch on method, more efficient 2007-03-04 10:08 brian * DESCRIPTION: - increment version to 0.9.3 2007-03-04 10:06 brian * man/PerformanceAnalytics-package.Rd: - clean up summary paragraphs - remove paragraph on "questions" to be re-addressed in the vignette - properly use \R and \cite 2007-03-04 08:29 brian * man/edhec.Rd: - add examples 2007-03-04 08:04 brian * man/PerformanceAnalytics-package.Rd: - clean up section of basic performance statistics - minor edits 2007-03-04 08:03 brian * man/table.Returns.Rd: - re-insert sample table 2007-03-03 19:37 brian * man/PerformanceAnalytics-package.Rd: - esacape %'s in KellyRatio 2007-03-03 19:09 brian * man/PerformanceAnalytics-package.Rd: - add normal distribution discussion - add diversification discussion - add pointers on performance attribution - update fBasics links - minor updates 2007-03-03 19:06 brian * man/table.Returns.Rd: - minor updates 2007-03-03 19:06 brian * man/: BetaCoKurtosis.Rd, BetaCoSkewness.Rd, CoKurtosis.Rd, CoSkewness.Rd: - update references and links to fBasics 2007-03-03 19:05 brian * R/SharpeRatio.R: - simplify code because NA's are taken care of in checkDataVector 2007-03-03 14:32 brian * man/PerformanceAnalytics-package.Rd: - add first cut at discussion of relative performance ranking 2007-03-03 13:53 brian * man/PerformanceAnalytics-package.Rd: - minor grammatical change 2007-03-03 13:49 brian * man/PerformanceAnalytics-package.Rd: - spell check 2007-03-03 13:24 brian * man/PerformanceAnalytics-package.Rd: - change table listing to tabular format to fix latex error 2007-03-03 12:26 brian * man/PerformanceAnalytics-package.Rd: - add subsections on CAPM, MPT - describe ActivePremium, TrackingError, InformationRatio - add subsection headings on VaR measures - minor updates 2007-03-03 12:24 brian * man/: CAPM.alpha.Rd, CAPM.beta.Rd: - add references - add link to CAPM.utils 2007-03-03 12:10 brian * R/CAPM.utils.R, man/CAPM.utils.Rd: - Initial Revision of functions and documentation for CAPM utils on CML, SML, and RiskPremium 2007-03-02 23:10 brian * man/: chart.Boxplot.Rd, table.Returns.Rd: - fix examples 2007-03-02 16:59 peter * man/PerformanceAnalytics-package.Rd: - additions to returns section 2007-03-02 16:56 brian * man/PerformanceAnalytics-package.Rd: - add \cr in references 2007-03-02 16:52 brian * man/VaR.Marginal.Rd: - add more descriptive text and warning about nomenclature - add reference 2007-03-02 16:51 brian * man/PerformanceAnalytics-package.Rd: - add Component, Incremental, and Marginal VaR - clean up quotations and LaTeX errors 2007-03-02 11:41 brian * R/table.CAPM.R: - remove redundant comments 2007-03-02 10:00 brian * man/PerformanceAnalytics-package.Rd: - minor text updates 2007-03-02 09:03 brian * man/PerformanceAnalytics-package.Rd: - rearrange tables and charts section 2007-03-02 08:54 brian * man/PerformanceAnalytics-package.Rd: - remove examples section from the overview - move keyword to the end 2007-03-02 08:52 brian * man/VaR.CornishFisher.Rd: - add link and text to modifed Sharpe Ratio 2007-03-02 08:47 brian * man/PerformanceAnalytics-package.Rd: - add seealso entries 2007-03-02 08:38 brian * man/PerformanceAnalytics-package.Rd: - rearracge notes to separate diversification section 2007-03-02 08:28 brian * man/PerformanceAnalytics-package.Rd: - clean up LaTeX errors, especially around \itemize - minor text revisions 2007-03-02 07:55 brian * man/PerformanceAnalytics-package.Rd: - correct some LaTeX errors - add distribution analysis section 2007-03-02 07:39 peter * man/table.CAPM.Rd: - small modifications to text 2007-03-02 07:38 peter * man/: chart.Boxplot.Rd, chart.CumReturns.Rd, table.Correlation.Rd, table.DownsideRisk.Rd, table.MonthlyReturns.Rd, table.Returns.Rd: - added example 2007-03-02 07:00 brian * man/PerformanceAnalytics-package.Rd: - add reference for Murrel R Graphics 2007-03-02 06:57 brian * man/VaR.CornishFisher.Rd: - updated description to cover more detail on mean-VaR 2007-03-02 06:56 brian * man/PerformanceAnalytics-package.Rd: - add Cornish Fisher VaR - notes for further work - minor grammatical changes 2007-03-02 06:47 peter * man/PerformanceAnalytics-package.Rd: - first draft of graphics and tables complete 2007-03-01 22:49 peter * man/PerformanceAnalytics-package.Rd: - added performance analytics section 2007-03-01 22:43 brian * man/PerformanceAnalytics-package.Rd: - add drawdowns - add Omega - minor wording improvements and additions 2007-03-01 17:50 brian * man/PerformanceAnalytics-package.Rd: - additional text in Risk - additional introductory text - block out performance measures 2007-03-01 17:50 brian * man/Omega.Rd: -update references 2007-03-01 10:16 brian * man/PerformanceAnalytics-package.Rd: - updates to risk section - separate VaR, because it got huge - fix LaTeX errors 2007-03-01 10:15 brian * man/chart.RollingRegression.Rd: - fix broken link 2007-03-01 05:53 brian * man/PerformanceAnalytics-package.Rd: - update Risk section 2007-02-28 21:36 brian * man/: DownsideDeviation.Rd, SharpeRatio.modified.Rd, VaR.Beyond.Rd, VaR.CornishFisher.Rd: - add additional links, references, and clarifications on risk measures 2007-02-28 21:35 brian * man/PerformanceAnalytics-package.Rd: - add more risk measure text 2007-02-28 21:26 brian * R/SemiDeviation.R, man/SemiDeviation.Rd: - add function and documentation for DownsideDeviation wrapper SemiVariance 2007-02-28 21:26 brian * DESCRIPTION: -increment version to 0.9.2 2007-02-28 21:26 brian * man/PerformanceAnalytics-package.Rd: - add text about several wrapper and risk functions - increment version to 0.9.2 2007-02-28 15:33 brian * man/edhec.Rd: - add about_us link 2007-02-28 15:24 brian * man/edhec.Rd: - update with more descriptive text about EDHEC and explicit "used with permission" 2007-02-28 13:48 brian * man/VaR.Beyond.Rd: - update \item for periods 2007-02-28 13:42 brian * man/: DownsideDeviation.Rd, Omega.Rd, SharpeRatio.modified.Rd, chart.BarVaR.Rd, chart.Correlation.Rd, chart.Correlation.color.Rd, chart.QQPlot.Rd, chart.RegressionDiagnostics.Rd, chart.RelativePerformance.Rd, chart.RiskReturnScatter.Rd, chart.RollingPerformance.Rd, chart.RollingRegression.Rd, charts.PerformanceSummary.Rd, findDrawdowns.Rd, rollingFunction.Rd, table.DownsideRisk.Rd, table.RollingPeriods.Rd: - clean up additional template boilerplate text - add \seealso links where obviously appropriate 2007-02-28 10:47 brian * man/: BetaCoKurtosis.Rd, SortinoRatio.Rd, VaR.Beyond.Rd, chart.Histogram.Rd, chart.RiskReturnScatter.Rd, chart.RollingCorrelation.Rd, rollingStat.Rd: - update documentation to fix \value{} sections 2007-02-28 10:12 brian * R/Omega.R: - set plot=FALSE in Ecdf function 2007-02-28 10:10 brian * man/: BetaCoSkewness.Rd, PerformanceAnalytics-package.Rd, Return.annualized.Rd, Return.cumulative.Rd, table.Arbitrary.Rd: - clean up unset \author information 2007-02-28 09:09 brian * man/PerformanceAnalytics-package.Rd: - add some structure to documentation sections that need to be written 2007-02-28 09:05 brian * man/: download.RiskFree.Rd, download.SP500PriceReturns.Rd: - fix LaTeX errors in package check 2007-02-28 07:55 brian * R/Omega.R: - comment require for Hmisc, as it is included when the main PerformanceAnalytics package loads 2007-02-28 07:54 brian * DESCRIPTION: - update version requirement to R 2.4.x - add Hmisc as an explicit dependency, even though it is implicit in fExtremes 2007-02-28 07:48 brian * R/Omega.R: - change ecdf to Ecdf to cover the change in the name of the Hmisc function in R 2.4.x 2007-02-28 05:56 brian * man/Omega.Rd: - add item description for loss threshold 2007-02-27 22:49 peter * man/Omega.Rd: - another example typo 2007-02-27 22:46 peter * man/Omega.Rd: - fixed example 2007-02-27 22:42 peter * R/checkDataMatrix.R, man/CAPM.alpha.Rd, man/CAPM.beta.Rd: - minor changes 2007-02-27 22:41 peter * man/chart.BarVaR.Rd: - fixed conflict in example 2007-02-27 22:39 peter * man/Return.calculate.Rd: - added example 2007-02-27 22:37 peter * R/Return.calculate.R: - fixed row labeling problem 2007-02-27 22:12 peter * man/ActivePremium.Rd: - added example 2007-02-27 22:08 peter * man/table.DownsideRisk.Rd: - minor change to example 2007-02-27 22:05 peter * man/table.Correlation.Rd: - minor changes to documentation 2007-02-27 22:03 peter * man/table.Correlation.Rd: - added example 2007-02-27 21:59 peter * R/table.Correlation.R: - repaired broken data check 2007-02-27 21:53 peter * man/InformationRatio.Rd: - added examples 2007-02-27 21:49 peter * man/Omega.Rd: - added example 2007-02-27 21:47 peter * R/Omega.R: - added require("Hmisc") 2007-02-27 21:39 brian * man/rollingCorrelation.Rd: - fix links, references, author, and example documentation 2007-02-27 21:38 brian * R/download.SP500PriceReturns.R: - change compression param to an enumerated type 2007-02-27 21:38 brian * R/download.RiskFree.R: - change compression param to an enumerated default 2007-02-27 21:36 brian * man/VaR.CornishFisher.Rd: - clean up usage for LaTeX formatting - add missing \item 2007-02-27 21:35 peter * R/Omega.R: - fixed defaults to eliminate warnings 2007-02-27 21:27 peter * man/table.CAPM.Rd: - added exampl 2007-02-27 21:26 peter * R/CAPM.beta.R: - added checkDataVector for rf 2007-02-27 21:23 peter * R/CAPM.alpha.R: - added checkDataVector to rf 2007-02-27 21:22 peter * R/table.CAPM.R: - added checkDataVector function to rf 2007-02-27 20:47 peter * R/checkDataVector.R: - removed fourth test for scalars as unnecessary 2007-02-27 20:09 peter * R/checkDataVector.R: - added checkDataMatrix() at the beginning to ensure that whatever object is entered would be coerced into a matrix before the vector checking 2007-02-27 16:56 brian * man/: download.RiskFree.Rd, download.SP500PriceReturns.Rd: - updates to documentation for new functions 2007-02-27 16:44 peter * man/download.SP500PriceReturns.Rd: - minor changes to doc 2007-02-27 16:39 brian * man/: Return.calculate.Rd, download.SP500PriceReturns.Rd: - Initial Revision of documentation for new functions 2007-02-27 16:32 peter * R/: download.RiskFree.R, download.SP500PriceReturns.R: - added compression as attribute 2007-02-27 16:29 peter * R/download.RiskFree.R: - added function 2007-02-27 16:01 peter * R/Return.calculate.R: - added function to cvs 2007-02-27 16:01 peter * R/download.SP500PriceReturns.R: - modifications to return calculation function 2007-02-27 15:19 peter * R/download.SP500PriceReturns.R: - added function wrapper for downloading and calculating S&P500 price returns 2007-02-27 09:24 brian * man/edhec.Rd: - Initial Revision of doc for EDHEC data set 2007-02-27 07:10 brian * man/: BetaCoVariance.Rd, KellyRatio.Rd, PerformanceAnalytics-package.Rd, VaR.CornishFisher.Rd, chart.RollingPerformance.Rd, checkDataMatrix.Rd, checkDataVector.Rd, rollingCorrelation.Rd, table.Returns.Rd: - clean up LaTeX errors in ducumentation 2007-02-26 16:05 brian * man/: StdDev.Rd, chart.Bar.Rd, chart.BarVaR.Rd, chart.CumReturns.Rd, chart.Drawdown.Rd, chart.TimeSeries.Rd, checkDataMatrix.Rd, checkDataVector.Rd, findDrawdowns.Rd, maxDrawdown.Rd, sortDrawdowns.Rd, table.CAPM.Rd, table.Correlation.Rd: - changes in documentation and examples to pass "R CMD check" 2007-02-26 16:04 brian * R/: checkDataMatrix.R, checkDataVector.R, table.CAPM.R, table.Correlation.R, table.RollingPeriods.R: - changes in functions to pass "R CMD check" for package 2007-02-26 08:48 brian * man/: chart.BarVaR.Rd, chart.CumReturns.Rd, chart.Drawdown.Rd, chart.TimeSeries.Rd, findDrawdowns.Rd, maxDrawdown.Rd: - fix T/F -> TRUE/FALSE for "R CMD check" 2007-02-26 07:55 peter * man/chart.BarVaR.Rd: - fixed example 2007-02-26 07:50 brian * R/chart.Drawdown.R: - change cumMax.column to cummax.column to reflect change in function name to pass "R CMD check" 2007-02-26 07:32 brian * R/chart.BarVaR.R: - change method VaR to pass "R CMD check" 2007-02-26 07:12 brian * man/: BetaCoSkewness.Rd, CAPM.alpha.Rd, Return.annualized.Rd, Return.cumulative.Rd, chart.Boxplot.Rd, chart.RollingMean.Rd, moment.fourth.Rd: - clean up examples section to remove blockers to R CMD check 2007-02-26 06:30 brian * DESCRIPTION, man/PerformanceAnalytics-package.Rd: - increment version to 0.9.1 - increment date 2007-02-26 06:27 brian * man/: UpDownRatios.Rd, rollingStat.Rd: - additional cleanup on parameters, titles, descriptions 2007-02-26 06:15 brian * man/: rollingCorrelation.Rd, rollingFunction.Rd, rollingRegression.Rd, table.Arbitrary.Rd, table.HigherMoments.Rd, table.RollingPeriods.Rd: - further refinements of item, title, descriptions 2007-02-25 23:29 peter * man/: table.RollingPeriods.Rd, table.DownsideRisk.Rd: - added example 2007-02-25 23:24 peter * man/charts.PerformanceSummary.Rd: - added example 2007-02-25 23:09 peter * man/: chart.Scatter.Rd, chart.RollingPerformance.Rd: - added example 2007-02-25 22:51 peter * man/table.MonthlyReturns.Rd: - added example 2007-02-25 22:40 peter * man/PerformanceAnalytics-package.Rd: - minor edits 2007-02-25 22:30 peter * man/: table.AnnualizedReturns.Rd, table.DownsideRisk.Rd, table.MonthlyReturns.Rd: - fixed termination in arguements section 2007-02-25 22:28 peter * man/: chart.Drawdown.Rd, chart.TimeSeries.Rd: - fixed KEYWORDS 2007-02-25 19:17 brian * man/: KellyRatio.Rd, PerformanceAnalytics-package.Rd, chart.Correlation.Rd, chart.Histogram.Rd, chart.RiskReturnScatter.Rd, rollingRegression.Rd: - fix URL links 2007-02-25 18:56 brian * man/KellyRatio.Rd: - update description 2007-02-25 18:43 brian * man/table.Returns.Rd: - add basic documentation 2007-02-25 16:52 brian * man/: chart.Correlation.Rd, chart.RollingCorrelation.Rd, chart.RollingMean.Rd, chart.RollingPerformance.Rd, charts.RollingPerformance.Rd, rollingCorrelation.Rd, rollingFunction.Rd, rollingStat.Rd, table.Correlation.Rd: - add description of \item 'trim' 2007-02-25 16:13 brian * man/: chart.Correlation.color.Rd, chart.QQPlot.Rd, chart.RiskReturnScatter.Rd, chart.RollingCorrelation.Rd, chart.RollingPerformance.Rd, chart.Scatter.Rd, charts.RollingPerformance.Rd: - update title,descripotion,seealso 2007-02-25 15:19 brian * man/: chart.Bar.Rd, chart.Boxplot.Rd, chart.Correlation.Rd, chart.Correlation.color.Rd, chart.Histogram.Rd, chart.QQPlot.Rd, chart.RegressionDiagnostics.Rd, chart.RelativePerformance.Rd: - update titles and descriptions 2007-02-25 14:45 brian * man/table.CAPM.Rd: - fix syntax errors in \code links 2007-02-25 14:41 brian * man/: rollingFunction.Rd, table.AnnualizedReturns.Rd, table.CAPM.Rd, table.Correlation.Rd, table.DownsideRisk.Rd, table.MonthlyReturns.Rd, table.RollingPeriods.Rd: - update \item descriptions, title, description 2007-02-25 14:12 brian * man/: BetaCoVariance.Rd, CAPM.beta.Rd, chart.Correlation.Rd, chart.Histogram.Rd, chart.QQPlot.Rd, chart.RelativePerformance.Rd, chart.RiskReturnScatter.Rd, chart.RollingCorrelation.Rd, chart.RollingMean.Rd, chart.RollingPerformance.Rd, chart.RollingRegression.Rd, chart.Scatter.Rd, chart.TimeSeries.Rd, charts.PerformanceSummary.Rd, charts.RollingPerformance.Rd, rollingCorrelation.Rd, table.CAPM.Rd, table.Correlation.Rd, table.HigherMoments.Rd: - standardize \item descriptions 2007-02-25 12:24 brian * man/: rollingFunction.Rd, table.AnnualizedReturns.Rd, table.CAPM.Rd, table.DownsideRisk.Rd, table.HigherMoments.Rd, table.MonthlyReturns.Rd, table.Returns.Rd, table.RollingPeriods.Rd: - define item for digits 2007-02-25 12:23 brian * R/: rollingFunction.R, table.AnnualizedReturns.R, table.CAPM.R, table.DownsideRisk.R, table.HigherMoments.R, table.MonthlyReturns.R, table.Returns.R, table.RollingPeriods.R: - change call to round() to call base::round() to fix conflict with newest fCalendar 2007-02-25 09:55 brian * man/: BetaCoVariance.Rd, CoKurtosis.Rd, CoSkewness.Rd, PerformanceAnalytics-package.Rd: - update equations and references 2007-02-23 17:36 brian * man/: InformationRatio.Rd, Omega.Rd, SemiDeviation.Rd, StdDev.Rd, StdDev.annualized.Rd: - updated documentation files 2007-02-22 16:14 brian * R/: table.AnnualizedReturns.R, table.MonthlyReturns.R, table.Returns.R: - standardize use of 'digits' as a parameter to round() 2007-02-22 15:50 brian * man/: InformationRatio.Rd, PerformanceAnalytics-package.Rd, SharpeRatio.annualized.Rd, SharpeRatio.modified.Rd: - update documentation files 2007-02-22 15:00 brian * man/: cummax.column.Rd, cumprod.column.Rd, findDrawdowns.Rd, maxDrawdown.Rd, moment.fourth.Rd, moment.third.Rd, sortDrawdowns.Rd: - update documentation files 2007-02-22 13:11 peter * R/charts.RollingRegression.R: - fixed parameter passing and title 2007-02-22 12:27 brian * man/chart.Bar.Rd: - fix syntax error in example 2007-02-22 12:26 brian * man/VaR.CornishFisher.Rd: - update aliases 2007-02-22 12:26 brian * R/cummax.column.R: - update function name for consistency 2007-02-22 12:25 brian * R/BetaCoVariance.R: - add comments about symbolic notation 2007-02-22 12:24 brian * R/KellyRatio.R: - fix syntaxt error in calc 2007-02-22 12:24 brian * DESCRIPTION: - set version 0.9 - add dependencies 2007-02-22 11:23 brian * man/: CoKurtosis.Rd, CoSkewness.Rd, TreynorRatio.Rd, VaR.Beyond.Rd, VaR.CornishFisher.Rd, VaR.Marginal.Rd: - revise template help files to contain information 2007-02-22 11:19 brian * man/legend.Rd: - remove documentation for legend wrapper 2007-02-22 10:53 brian * man/: checkDataMatrix.Rd, checkDataVector.Rd, cummax.column.Rd, cumprod.column.Rd: - revise template help to real documentation 2007-02-21 11:25 brian * R/KellyRatio.R, man/KellyRatio.Rd: - Initial Revision of Kelly Ratio calculation 2007-02-21 08:54 peter * man/chart.Drawdown.Rd: - added attribute documentation and example 2007-02-21 08:53 peter * man/: chart.CumReturns.Rd, chart.TimeSeries.Rd: - fixed documentation 2007-02-20 23:06 peter * man/chart.CumReturns.Rd: - added documentation and examples 2007-02-20 22:56 peter * man/chart.BarVaR.Rd: - added documentation and example 2007-02-20 22:55 peter * man/: chart.Bar.Rd, chart.TimeSeries.Rd: - fixed date format problem with latex comment character 2007-02-20 22:34 peter * man/chart.Bar.Rd: - added documentation for attributes and an example 2007-02-20 22:21 peter * man/chart.TimeSeries.Rd: - finished attribute documentation 2007-02-17 10:43 brian * data/edhec.R: - removed. incorrect first try at getting data to work 2007-02-16 20:01 peter * man/chart.TimeSeries.Rd: - added an example 2007-02-16 16:57 peter * data/edhec.rda: - added edhec data in data.frame format 2007-02-16 16:37 peter * data/edhec.R: - adding data.frame format 2007-02-16 16:36 peter * data/edhec.Rdata: - removing to replace with different file type and extension 2007-02-16 16:10 peter * data/edhec.Rdata: - tried df object 2007-02-16 15:39 peter * data/edhec.Rdata: - R binary file of EDHEC monthly returns 2007-02-16 15:35 peter * data/edhec.csv: - added reformatted EDHEC monthly data - bug 890 2007-02-16 15:12 peter * man/chart.TimeSeries.Rd: - moved comments from code, still needs example 2007-02-14 19:14 brian * R/: Return.annualized.R, StdDev.annualized.R: - standardize parameter variaable names 2007-02-10 15:04 brian * man/: BetaCoKurtosis.Rd, BetaCoSkewness.Rd, BetaCoVariance.Rd, CAPM.alpha.Rd, CAPM.beta.Rd, DownsideDeviation.Rd, Omega.Rd, PerformanceAnalytics-package.Rd, Return.annualized.Rd, Return.cumulative.Rd, SemiDeviation.Rd, SharpeRatio.Rd, SharpeRatio.modified.Rd, SortinoRatio.Rd, StdDev.Rd, VaR.CornishFisher.Rd, chart.Bar.Rd, chart.BarVaR.Rd, chart.RegressionDiagnostics.Rd, chart.RollingRegression.Rd, moment.fourth.Rd, moment.third.Rd, rollingRegression.Rd, sortDrawdowns.Rd, table.Arbitrary.Rd: - update documentation with more titles, details, authors, etc. 2007-02-10 11:17 brian * man/: ActivePremium.Rd, InformationRatio.Rd, SharpeRatio.Rd, SharpeRatio.annualized.Rd, TrackingError.Rd: - updated Sharpe related functions with author, citation, description, eqn 2007-02-08 15:43 brian * R/CAPM.alpha.R, R/CAPM.beta.R, man/CAPM.alpha.Rd, man/CAPM.beta.Rd: - standardize parameters to R and Rb for consistency with other functions 2007-02-08 15:38 brian * R/: BetaCoSkewness.R, CoKurtosis.R, CoSkewness.R, moment.fourth.R, moment.third.R: - correct pervasive calculation error in co-moments 2007-02-07 12:58 brian * R/rollingRegression.R, man/rollingRegression.Rd: - add rollingRegression fn and .Rd to package 2007-02-07 12:03 brian * man/: ActivePremium.Rd, BetaCoKurtosis.Rd, BetaCoSkewness.Rd, BetaCoVariance.Rd, CAPM.alpha.Rd, CAPM.beta.Rd, CoKurtosis.Rd, CoSkewness.Rd, DownsideDeviation.Rd, InformationRatio.Rd, Omega.Rd, Return.annualized.Rd, Return.cumulative.Rd, SemiDeviation.Rd, SharpeRatio.Rd, SharpeRatio.annualized.Rd, SharpeRatio.modified.Rd, SortinoRatio.Rd, StdDev.Rd, StdDev.annualized.Rd, TrackingError.Rd, TreynorRatio.Rd, UpDownRatios.Rd, VaR.Beyond.Rd, VaR.CornishFisher.Rd, VaR.Marginal.Rd, chart.Bar.Rd, chart.BarVaR.Rd, chart.Boxplot.Rd, chart.Correlation.Rd, chart.Correlation.color.Rd, chart.CumReturns.Rd, chart.Drawdown.Rd, chart.Histogram.Rd, chart.QQPlot.Rd, chart.RelativePerformance.Rd, chart.RiskReturnScatter.Rd, chart.RollingCorrelation.Rd, chart.RollingMean.Rd, chart.RollingPerformance.Rd, chart.RollingRegression.Rd, chart.Scatter.Rd, chart.TimeSeries.Rd, charts.PerformanceSummary.Rd, charts.RollingPerformance.Rd, checkDataMatrix.Rd, checkDataVector.Rd, cummax.column.Rd, cumprod.column.Rd, findDrawdowns.Rd, maxDrawdown.Rd, moment.fourth.Rd, moment.third.Rd, rollingCorrelation.Rd, rollingFunction.Rd, rollingStat.Rd, sortDrawdowns.Rd, table.AnnualizedReturns.Rd, table.Arbitrary.Rd, table.CAPM.Rd, table.Correlation.Rd, table.DownsideRisk.Rd, table.HigherMoments.Rd, table.MonthlyReturns.Rd, table.Returns.Rd, table.RollingPeriods.Rd: - first pass through .Rd files for /item commonality 2007-02-07 09:53 peter * R/charts.RollingRegression.R: - added function to the package 2007-02-07 09:45 peter * R/chart.RollingRegression.R: - repaired graphic parameter passing - rf needs a data check and testing 2007-02-07 08:58 peter * R/chart.RollingRegression.R: - added rf and calculation of excess returns 2007-02-07 07:24 brian * R/: ActivePremium.R, BetaCoKurtosis.R, BetaCoSkewness.R, BetaCoVariance.R, CAPM.alpha.R, CAPM.beta.R, CoKurtosis.R, CoSkewness.R, DownsideDeviation.R, InformationRatio.R, Omega.R, Return.annualized.R, Return.cumulative.R, SemiDeviation.R, SharpeRatio.R, SharpeRatio.annualized.R, SharpeRatio.modified.R, SortinoRatio.R, StdDev.R, StdDev.annualized.R, TrackingError.R, TreynorRatio.R, UpDownRatios.R, VaR.Beyond.R, VaR.CornishFisher.R, VaR.Marginal.R, chart.Bar.R, chart.BarVaR.R, chart.Boxplot.R, chart.Correlation.R, chart.Correlation.color.R, chart.CumReturns.R, chart.Drawdown.R, chart.Histogram.R, chart.QQPlot.R, chart.RelativePerformance.R, chart.RiskReturnScatter.R, chart.RollingCorrelation.R, chart.RollingMean.R, chart.RollingPerformance.R, chart.RollingRegression.R, chart.Scatter.R, chart.TimeSeries.R, charts.PerformanceSummary.R, charts.RollingPerformance.R, checkDataMatrix.R, checkDataVector.R, cummax.column.R, cumprod.column.R, findDrawdowns.R, legend.R, maxDrawdown.R, moment.fourth.R, moment.third.R, rollingCorrelation.R, rollingFunction.R, rollingStat.R, sortDrawdowns.R, table.AnnualizedReturns.R, table.Arbitrary.R, table.CAPM.R, table.Correlation.R, table.DownsideRisk.R, table.HigherMoments.R, table.MonthlyReturns.R, table.Returns.R, table.RollingPeriods.R: - fix pervasive comment typo 2007-02-07 07:20 brian * R/: ActivePremium.R, CAPM.alpha.R, CAPM.beta.R, InformationRatio.R, TrackingError.R, table.CAPM.R, table.HigherMoments.R: - change Ri to Rb for benchmark asset to standardize parameters - change indexReturns.vec to benchmarkReturns.vec for consistency 2007-02-07 06:32 brian * R/: moment.fourth.R, moment.third.R: - rename parameter Ri to R for consistency with other functions 2007-02-06 06:01 brian * DESCRIPTION, man/PerformanceAnalytics-package.Rd: - add long description 2007-02-06 05:58 brian * R/: findDrawdowns.R, sortDrawdowns.R: - standardize attribution for Drawdown runs 2007-02-05 13:08 brian * R/SharpeRatio.modified.R, man/SharpeRatio.modified.Rd: - add modSharpe wrapper function 2007-02-05 13:03 brian * R/StdDev.R, man/StdDev.Rd: - add std wrapper function 2007-02-05 07:57 brian * DESCRIPTION, man/PerformanceAnalytics-package.Rd: - change package name to PerformanceAnalytics 2007-02-02 13:06 brian * R/ActivePremium.R, R/BetaCoKurtosis.R, R/BetaCoSkewness.R, R/BetaCoVariance.R, R/CAPM.alpha.R, R/CAPM.beta.R, R/CoKurtosis.R, R/CoSkewness.R, R/DownsideDeviation.R, R/InformationRatio.R, R/Omega.R, R/Return.annualized.R, R/Return.cumulative.R, R/SemiDeviation.R, R/SharpeRatio.R, R/SharpeRatio.annualized.R, R/SharpeRatio.modified.R, R/SortinoRatio.R, R/StdDev.R, R/StdDev.annualized.R, R/TrackingError.R, R/TreynorRatio.R, R/UpDownRatios.R, R/VaR.Beyond.R, R/VaR.CornishFisher.R, R/VaR.Marginal.R, R/chart.Bar.R, R/chart.BarVaR.R, R/chart.Boxplot.R, R/chart.Correlation.R, R/chart.Correlation.color.R, R/chart.CumReturns.R, R/chart.Drawdown.R, R/chart.Histogram.R, R/chart.QQPlot.R, R/chart.RelativePerformance.R, R/chart.RiskReturnScatter.R, R/chart.RollingCorrelation.R, R/chart.RollingMean.R, R/chart.RollingPerformance.R, R/chart.RollingRegression.R, R/chart.Scatter.R, R/chart.TimeSeries.R, R/charts.PerformanceSummary.R, R/charts.RollingPerformance.R, R/checkDataMatrix.R, R/checkDataVector.R, R/cummax.column.R, R/cumprod.column.R, R/findDrawdowns.R, R/legend.R, R/maxDrawdown.R, R/moment.fourth.R, R/moment.third.R, R/rollingCorrelation.R, R/rollingFunction.R, R/rollingStat.R, R/sortDrawdowns.R, R/table.AnnualizedReturns.R, R/table.Arbitrary.R, R/table.CAPM.R, R/table.Correlation.R, R/table.DownsideRisk.R, R/table.HigherMoments.R, R/table.MonthlyReturns.R, R/table.Returns.R, R/table.RollingPeriods.R, man/ActivePremium.Rd, man/BetaCoKurtosis.Rd, man/BetaCoSkewness.Rd, man/BetaCoVariance.Rd, man/CAPM.alpha.Rd, man/CAPM.beta.Rd, man/CoKurtosis.Rd, man/CoSkewness.Rd, man/DownsideDeviation.Rd, man/InformationRatio.Rd, man/Omega.Rd, man/PerformanceAnalytics-package.Rd, man/Return.annualized.Rd, man/Return.cumulative.Rd, man/SemiDeviation.Rd, man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd, man/SharpeRatio.modified.Rd, man/SortinoRatio.Rd, man/StdDev.Rd, man/StdDev.annualized.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd, man/UpDownRatios.Rd, man/VaR.Beyond.Rd, man/VaR.CornishFisher.Rd, man/VaR.Marginal.Rd, man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd, man/chart.Correlation.Rd, man/chart.Correlation.color.Rd, man/chart.CumReturns.Rd, man/chart.Drawdown.Rd, man/chart.Histogram.Rd, man/chart.QQPlot.Rd, man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd, man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd, man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd, man/chart.Scatter.Rd, man/chart.TimeSeries.Rd, man/charts.PerformanceSummary.Rd, man/charts.RollingPerformance.Rd, man/checkDataMatrix.Rd, man/checkDataVector.Rd, man/cummax.column.Rd, man/cumprod.column.Rd, man/findDrawdowns.Rd, man/legend.Rd, man/maxDrawdown.Rd, man/moment.fourth.Rd, man/moment.third.Rd, man/rollingCorrelation.Rd, man/rollingFunction.Rd, man/rollingStat.Rd, man/sortDrawdowns.Rd, man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd, man/table.CAPM.Rd, man/table.Correlation.Rd, man/table.DownsideRisk.Rd, man/table.HigherMoments.Rd, man/table.MonthlyReturns.Rd, man/table.Returns.Rd, man/table.RollingPeriods.Rd, DESCRIPTION: - Initial Revision of packaged foles to version control Bug 890