tawny.types (version 1.0.2)

create.TawnyPortfolio: Create a TawnyPortfolio object

Description

Represents a portfolio. Contains information about the portfolio composition, returns, window, etc.

Usage

## S3 method for class 'TawnyPortfolio':
create(...)
## S3 method for class 'TawnyPortfolio':
start(x, ...)
## S3 method for class 'TawnyPortfolio':
end(x, ...)
## S3 method for class 'TawnyPortfolio':
rollapply(x, fun, ...)
window_at(...)

Arguments

x

A TawnyPortfolio

fun

A function to apply against the TawnyPortfolio

...

Arguments to the constructor. See below for details

Value

• The type constructor returns a TawnyPortfolio.

  The 'start' and 'end' functions return dates.

  'window_at' returns a modified TawnyPortfolio that only contains returns for the given window. All other data is the same, and the original object is unchanged.

Details

This type is governed by futile.paradigm. Below are the supported function variants.

create.TawnyPortfolio(T, returns, window = 90)

create.TawnyPortfolio(T, symbols, window = 90, obs = 150)

Creates a benchmark portfolio to compare with the actual portfolio. create.BenchmarkPortfolio(T, symbol, window = 90, obs = 150, end = Sys.Date(), ...)

Calculates portfolio returns based on the weights calculated. create.PortfolioReturns(T, p, weights), p is a TawnyPortfolio

create.PortfolioReturns(T, h, weights), h is an AssetReturns object or zoo

'start' and 'end' operate on a TawnyPortfolio to return the start and end dates, respectively, of the portfolio.

'rollapply' is the implementation of the zoo function for a TawnyPortfolio. The 'window_at' function supports this by providing a window of the portfolio for the given index.

Examples

# This is run automatically in the package
  tawny.types:::.init()

  p <- create(TawnyPortfolio, c('BAC','JPM','C','GS','MS'))

  start(p)
  end(p)

  window_at(p, 2)
  rollapply(p, function(x) colSums(x$returns))