[R-sig-finance] How and when to USE ts and its objects?

[James.Callahan at CityofOrlando.net]

Creating specialized objects for use within a single R package was for me 
the easy part
(the previous question on this list). My questions are:

1. How portable is the object to other R packages? 
Which packages will accept the object as is? 
Will the object work in LM or other linear model packages?

2. If another R package won't accept the object as is, is there a function 
available to
coerce the object and/or the objects values to the appropriate type?

Is there documentation that deals with object compatibility within R?

As far as I can tell, Factors are accepted in almost every package in R, 
but times series objects
(ts or its) are restricted to a few specialized packages.

3. Can the time series objects be stored in and retrieved from a 
relational database (perhaps via RODBC)?

Before I can recommend R to my coworkers, I will have to build either a 
compelling demo or a GUI,
that performs useful work. Before I can even begin to DESIGN the demo or 
GUI I need to know
which parts of R are compatible. If I build a GUI that creates time series 
objects, will it crash and
burn if I try to incorporate parts of John Fox's RCommander GUI?
http://socserv.socsci.mcmaster.ca/jfox/Misc/Rcmdr/

If different parts of a GUI require different objects, can I make the 
transition transparent to the user of the GUI?

The upcoming RMetrics modules particularly fBonds and fPorfolios look 
useful:
http://www.itp.phys.ethz.ch/econophysics/R/pdf/DocFactsheet.pdf

Does RMetrics use ITS objects or does it have its own time series objects 
(timeDate / timeSeries Classes)?

It might be neat to combine an RMetrics backend with EPRI's new RPad GUI 
fontend:
http://tolstoy.newcastle.edu.au/R/packages/04/0051.html
http://www.rpad.org/Rpad/

Look at the RPad screenshot and imagine Yield Curves and Efficiency 
Frontiers.

Even without RMetrics, Patrick Burns (Burns Statistics) seems to be making 
some progress in this area.
http://www.burns-stat.com/

The City I work for has a variety portfolios ranging from long term 
defined benefit pension plans 
to short term cash funds each with its own investment policy and benchmark 
portfolios.

Do our investment policies achieve their intended purposes? Do they 
overconstrain the portfolio?
Do they provide a false sense of confidence in meeting risk management 
objectives?

These are not just theoretical concerns, as a Budget Analyst, I am 
painfully aware of the fact
that when our defined benefit pension funds fall short of their 
actuarially defined investment targets 
-- the City's General Fund has to make up the difference.  It could be 
worse,  absent vigilance, 
we could have an LA-style (Orange County, CA) derivative meltdown.

Orange County (November 1994): Orange County, California has an investment 
pool 
that supports various pension liabilities. The pool lost USD 1700 MM from 
structured notes 
and leveraged repo positions.
http://www.riskglossary.com/articles/risk_management.htm

A quick check of Yahoo shows that the Dow Jones Industrial Average is 
almost exactly where it was 5 years ago.
http://finance.yahoo.com/q/bc?s=^DJI&t=5y
Interest rates are near zero and oil is nearly $50 a barrel.

So my real concern is, in a tight budget environment, can the City of 
Orlando use open source software 
to assist its development and monitoring of investment policies? or would 
the City get bogged down in 
issues of times series object compatibility?

In my own area, Budget, assuming I can get the data out of our financial 
system into a convenient relational data base, 
and into R via RODBC -- what sort of time series objects should I build 
for time series and econometric modeling? 
-- or should I just use GRETL? or MS Excel? or RGnumeric?
http://gretl.sourceforge.net/
http://www.omegahat.org/RGnumeric/

Jim Callahan, MBA
Budget Analyst
Management, Budget & Accounting
City of Orlando
(407) 246-3039 office
(407) 234-3744 cell phone
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