2012-03-25 braverock * DESCRIPTION: - remove Suggests for SparseM * inst/doc/textplotPresentation-CRUG-2011.pdf: - 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, R/decomposeMVaR.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 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: - 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, sandbox/fPerformance/DESCRIPTION, sandbox/fPerformance/R, sandbox/fPerformance/R/perf-Data.R, sandbox/fPerformance/R/perf-DownsideRisk.R, sandbox/fPerformance/R/perf-Drawdown.R, sandbox/fPerformance/R/perf-RegressionAnalysis.R, sandbox/fPerformance/R/perf-RelativeRisk.R, sandbox/fPerformance/R/perf-ReturnDisributions.R, sandbox/fPerformance/R/perf-Returns.R, sandbox/fPerformance/R/perf-Risk.R, sandbox/fPerformance/R/perf-RiskAdjusted.R, sandbox/fPerformance/R/perf-Tables.R, sandbox/fPerformance/R/perf-ValueAtRisk.R, sandbox/fPerformance/man, sandbox/fPerformance/man/perfAdjustedMeasures.Rd, sandbox/fPerformance/man/perfDistributionMeasures.Rd, sandbox/fPerformance/man/perfDownsideMeasures.Rd, sandbox/fPerformance/man/perfDrawdownMeasures.Rd, sandbox/fPerformance/man/perfRegressionMeasures.Rd, sandbox/fPerformance/man/perfRelativeMeasures.Rd, sandbox/fPerformance/man/perfVaRMeasures.Rd, sandbox/fPerformance/man/returns.Rd, sandbox/fPerformance/man/tables.Rd: - 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: - 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, 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: - adding function 2010-05-29 peter_carl * R/maxDrawdown.R: - added AverageDrawdown function - added DrawdownDeviation function 2010-05-27 peter_carl * R/PainIndex.R: - first commit of function * R/UlcerIndex.R: - fixed for NAs * R/UlcerIndex.R: - 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, 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 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: - keep the old CVS ChangeLog for posterity * .Rbuildignore, ChangeLog, generatechangelog.sh: - 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 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 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, sandbox: - 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 * .: - create directory for PerformanceAnalytics