portfolio (version 0.2-2)

portfolioHistory-class: Class "portfolioHistory"

Description

Perform exposure, performance, and contribution analysis on all of the portfolioBasic objects that have been added to this object with the add method.

Objects from the Class

Objects can be created by calls of the form new("portfolioHistory", ...).

Examples

data(global.2004)

portfolios <- lapply(split(global.2004, global.2004$date),
                     function(x){
                       new("portfolioBasic",
                           name    = "test",
                           date    = as.Date(unique(x$date)),
                           id.var  = "symbol",
                           in.var  = "cap.bil",
                           ret.var = "ret.0.1.m",
                           type    = "sigmoid",
                           size    = "quintile",
                           sides   = c("long", "short"),
                           data    = x)

                     })

h    <- new("portfolioHistory",
            freq        = 12,
            exp.var     = c("currency", "sector", "liq.w", "cap.bil"),
            contrib.var = c("currency", "sector", "liq.w"))


for(i in 1:length(portfolios)) h <- add(h, portfolios[[i]])

exposure(h)
performance(h)
contribution(h)