version 0.2-0

cran · Jan 1, 2006 · dbe6aef · dbe6aef
1 parent ead0eda
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diff --git a/DESCRIPTION b/DESCRIPTION
@@ -1,10 +1,11 @@
 Package: portfolio
 Title: Analysing equity portfolios
-Version: 0.1-0
-Date: 2005-11-16
+Version: 0.2-0
+Date: 2006-01-01
 Author: Jeff Enos <jeff@kanecap.com> and David Kane <dave@kanecap.com>
 Description: Classes for analysing and implementing portfolios.
 Maintainer: Jeff Enos <jeff@kanecap.com>
-Depends: R (>= 2.0.0), methods
+Depends: R (>= 2.0.0), methods, graphics, grid, lattice
+Suggests: MatchIt
 License: GPL version 2 or later.
-Packaged: Thu Nov 17 10:34:00 2005; enos
+Packaged: Sun Jan  1 17:51:33 2006; enos
diff --git a/NAMESPACE b/NAMESPACE
@@ -1,7 +1,11 @@
-export(weight
+importFrom("graphics", plot)
+
+export(
+       "weight"
        )
 
-exportClasses("portfolioBasic",
+exportClasses(
+              "portfolioBasic",
               "portfolio",
               "objectHistory",
               "exposure",
@@ -14,24 +18,31 @@ exportClasses("portfolioBasic",
               )
 
 exportMethods(
-              show,
-              summary,
-              mean,
-
-              initialize,
-              create,
-              calcWeights,
-              calcShares,
-              scaleWeights,
-
-              balance,
-              exposure,
-              performance,
-              contribution,
-
-              add,
+              "show",
+              "summary",
+              "mean",
+              "plot",
+
+
+              "initialize",
+              "create",
+              "calcWeights",
+              "calcShares",
+              "scaleWeights",
+
+              "balance",
+              "exposure",
+              "performance",
+              "contribution",
+
+              "add",
+
+              "portfolioDiff",
+              "securityInfo",
+
+              "matching",
+
+              "+"
 
-              portfolioDiff,
-              securityInfo
               )
 
diff --git a/R/AllClasses.R b/R/AllClasses.R
@@ -41,6 +41,7 @@ setClass("portfolioBasic",
 
                         type          = "character",
                         size          = "characterOrNumeric",
+                        weight.range  = "numeric",
                         sides         = "character",
 
                         ## Weights storage.  Contains data frame with
@@ -67,6 +68,7 @@ setClass("portfolioBasic",
 
            type          = "equal",
            size          = "quintile",
+           weight.range  = c(0, Inf),
            sides         = c("long","short"),
 
            weights       = data.frame()

diff --git a/R/AllGenerics.R b/R/AllGenerics.R
@@ -44,6 +44,9 @@ if(!isGeneric("mvLong"))
 if(!isGeneric("mvShort"))
   setGeneric("mvShort", function(object) standardGeneric("mvShort"))
 
+if(!isGeneric("matching"))
+  setGeneric("matching", function(object, covariates, ...) standardGeneric("matching"))
+
 ## Class portfolioHistory
 
 if(!isGeneric("add"))

diff --git a/R/contribution.R b/R/contribution.R
@@ -9,7 +9,6 @@
 setMethod("show",
           signature(object = "contribution"),
           function(object){
-            cat(paste("An object of class \"", class(object), "\"\n", sep = ""))
             for(v in names(object@data)){
               cat(v, "\n")
               show(object@data[[v]])
@@ -21,11 +20,22 @@ setMethod("show",
 setMethod("summary",
           signature(object = "contribution"),
           function(object){
-            for(v in names(object@data)){
-              cat(v, "\n")
-              show(object@data[[v]])
-              cat("\n")
-            }
+            show(object)
           }
           )
 
+setMethod("plot",
+          signature(x = "contribution", y = "missing"),
+          function(x, ...){
+
+            tlist <- list()
+            for(var in names(x@data)){
+              title <- paste("roic by", var)
+              data <- x@data[[var]]
+              data$variable <- factor(data$variable, levels = rev(unique(data$variable)))
+              tlist[[var]] <- barchart(variable ~ roic, data = data, origin = 0, main = title)
+            }
+
+            portfolio:::.trellis.multiplot(tlist)
+          }
+          )
diff --git a/R/contributionHistory.R b/R/contributionHistory.R
@@ -17,20 +17,16 @@ setMethod("show",
                                                    names(x@data)
                                                  }))), collapse = " "),
                       "\n"))
-
-
-            ## Don't show data for now.
-
-            ## cat("Data:\n\n")
-
-            ## for(v in names(object@data)){
-            ##  cat(v, "\n")
-            ##  show(object@data[[v]])
-            ##  cat("\n")
-            ## }
           }
           )
 
+setMethod("summary",
+          signature(object = "contributionHistory"),
+          function(object){
+            cat("Mean contribution:\n")
+            show(mean(object))
+          }
+          )
 
 setMethod("mean",
           signature(x = "contributionHistory"),
@@ -57,3 +53,26 @@ setMethod("mean",
             }
           }
           )
+
+setMethod("plot",
+          signature(x = "contributionHistory", y = "missing"),
+          function(x){
+
+            tlist <- list()
+            for(var in unique(unlist(lapply(x@data, function(x){ names(x@data) })))){
+              title <- paste("roic by", var)
+              data <- do.call(rbind, lapply(x@data, function(x){ x@data[[var]] }))
+
+              if("rank" %in% names(data)){
+                data$variable <- data$rank
+              }
+
+              ## Display by variable value alphabetically.
+
+              data$variable <- factor(data$variable, levels = rev(sort(unique(as.character(data$variable)))))
+              tlist[[var]] <- bwplot(variable ~ roic, data = data, main = title)
+            }
+
+            portfolio:::.trellis.multiplot(tlist)
+          }
+          )
diff --git a/R/exposure.R b/R/exposure.R
@@ -9,8 +9,6 @@
 setMethod("show",
           signature(object = "exposure"),
           function(object){
-            cat(paste("An object of class \"", class(object), "\"\n", sep = ""))
-
             for(v in names(object@data)){
               cat(v, "\n")
               show(object@data[[v]])
@@ -23,10 +21,23 @@ setMethod("show",
 setMethod("summary",
           signature(object = "exposure"),
           function(object){
-            for(v in names(object@data)){
-              cat(v, "\n")
-              show(object@data[[v]])
-              cat("\n")
+            show(object)
+          }
+          )
+
+setMethod("plot",
+          signature(x = "exposure", y = "missing"),
+          function(x, ...){
+
+            tlist <- list()
+            for(var in names(x@data)){
+              title <- paste(var, "exposure")
+              data <- x@data[[var]]
+              data$variable <- factor(data$variable, levels = rev(unique(data$variable)))
+              tlist[[var]] <- barchart(variable ~ exposure, data = data, origin = 0, main = title)
             }
+
+            portfolio:::.trellis.multiplot(tlist)
           }
+
           )
diff --git a/R/exposureHistory.R b/R/exposureHistory.R
@@ -18,15 +18,14 @@ setMethod("show",
                                                  }))), collapse = " "),
                       "\n"))
 
-            ## Don't show data for now.
-
-            ## cat("Data:\n\n")
+          }
+          )
 
-            ## for(v in names(object@data)){
-            ##  cat(v, "\n")
-            ##  show(object@data[[v]])
-            ##  cat("\n")
-            ## }
+setMethod("summary",
+          signature(object = "exposureHistory"),
+          function(object){
+            cat("Mean exposure:\n")
+            show(mean(object))
           }
           )
 
@@ -58,3 +57,22 @@ setMethod("mean",
 
           }
           )
+
+setMethod("plot",
+          signature(x = "exposureHistory", y = "missing"),
+          function(x){
+
+            tlist <- list()
+            for(var in unique(unlist(lapply(x@data, function(x){ names(x@data) })))){
+              title <- paste(var, "exposure")
+              data <- do.call(rbind, lapply(x@data, function(x){ x@data[[var]] }))
+
+              ## Display by variable value alphabetically.
+
+              data$variable <- factor(data$variable, levels = rev(sort(unique(as.character(data$variable)))))
+              tlist[[var]] <- bwplot(variable ~ exposure, data = data, main = title)
+            }
+
+            portfolio:::.trellis.multiplot(tlist)
+          }
+          )
diff --git a/R/performance.R b/R/performance.R
@@ -9,18 +9,6 @@
 setMethod("show",
           signature(object = "performance"),
           function(object){
-            cat(paste("An object of class \"", class(object), "\"\n", sep = ""))
-            if(length(object@ret) > 0)
-              cat(paste("ret: ", round(object@ret, 4), "\n"))
-            cat("ret.detail (at most 10 records):\n")
-            show(object@ret.detail[1:min(10, nrow(object@ret.detail)),])
-          }
-          )
-
-setMethod("summary",
-          signature(object = "performance"),
-          function(object){
-            cat("Performance summary:\n\n")
             if(length(object@ret) > 0){
 
               ret <- object@ret
@@ -44,7 +32,40 @@ setMethod("summary",
               }
             }
             else{
-              cat("No data.\n")
+              cat("Object of class performance with no return data.\n")
+            }
+          }
+          )
+
+setMethod("summary",
+          signature(object = "performance"),
+          function(object){
+            show(object)
+          }
+          )
+
+setMethod("plot",
+          signature(x = "performance", y = "missing"),
+          function(x){
+            ret <- x@ret
+            ret.tag  <- ifelse(abs(ret) > 0.01, "%", "bps")
+            ret <- ifelse(ret.tag == "%", ret * 100, ret * 100 * 100)
+            ret <- round(ret, digits = 2)
+
+            if(nrow(x@ret.detail) > 0){
+              y <- x@ret.detail
+              y <- y[order(y$contrib, na.last = NA),]
+              y$id <- factor(y$id, levels = unique(y$id))
+              if(nrow(y) > 10){
+                y <- rbind(head(y, n = 5),
+                           tail(y, n = 5))
+              }
+
+              print(barchart(id ~ contrib, data = y, origin = 0, main = paste("Performance: ", ret, ret.tag, sep = "")))
+
+            }
+            else{
+              stop("Nothing to plot")
             }
           }
           )
diff --git a/R/performanceHistory.R b/R/performanceHistory.R
@@ -59,3 +59,32 @@ setMethod("summary",
             cat("\n")
           }
           )
+
+setMethod("plot",
+          signature(x = "performanceHistory", y = "missing"),
+          function(x){
+            p.ret <- data.frame(date = as.Date(names(x@data)),
+                                ret  = unlist(lapply(x@data, function(x) { x@ret })))
+            p.ret <- p.ret[order(p.ret$date),]
+
+            p.ret$date <- as.POSIXct(as.character(p.ret$date))
+
+            p.ret$nav  <- cumprod(1 + p.ret$ret)
+            p.ret$tret <- p.ret$nav - 1
+
+            p.ret$ret  <- p.ret$ret  * 100
+            p.ret$tret <- p.ret$tret * 100
+
+            date.fmt.axis  <- "%y-%m-%d"
+
+            main <- paste("Performance:",
+                          paste(range(as.POSIXct(names(x@data))), collapse = " -- "))
+
+            ## For now, plot all data points.
+
+            print(xyplot(tret ~ date, data = p.ret, type = "l",
+                         scales = list(cex = 0.8, x = list(at = p.ret$date)),
+                         main   = main))
+
+          }
+          )