[R-SIG-Finance] PerformanceAnalytics package: modern econometrics for performance and risk (implemented)

[David Kane]

Brian G. Peterson writes:
 > We are soliciting feedback on the PerformanceAnalytics package on
 > R-SIG-Finance in preparation for releasing this package to CRAN and
 > submission to one of the implementation journals. 

This looks like great stuff. The more open source finance tools that
are available in R, the better. Comments (I have cc'd the entire list
to encourage more discussion):

1) It would be nice to see better integration between the different R
packages focussed on empirical finance. Do we really need another
calculation of the Sharpe ratio? To that end, we would welcome
collaboration on our portfolio/portfolioSim packages. If not with us,
then why not add these functions to Rmetrics?

2) At first glance, the code is not robust enough for production
work. I would like to see a namespace. S4, rather than S3,  classes
would be better. Are there really no test cases? I do not trust code
without test cases.

3) Much of the coding does not seem consistent with standard R
usage. For example, the initial argument for many functions is "R". It
is hard to imagine a worse convention. "x" or "data" would be more
consistent with standard practice.

Again, I don't want this to seem too critical. We need more
contributions, not fewer! I look forward to other comments from the
community.

Dave Kane