[R-SIG-Finance] PerformanceAnalytics: functions don't work afterupdating the package

[Gandhi, Puneet - RSCH AMRS]

Alex,
You have multiple options

1) Your previous installation is still working, you can keep using that
2) In your new installation of R, you don't need to update to latest
version of performance analytics - Just copy the performance analytics
folder from R 2.10 library folder to 2.11 library. This should resolve
your problems for term paper. I prefer to use this method for all
packages and then do packageStatus() and update.packages() . This asks
which packages to update and I avoid packages critical to my code until
I understand what changes have been made.

3) Figure out new version issue- I am unaware of these changes, so I
will let someone else respond to that.


Hope this helps.
Puneet  

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Alex
Pramov
Sent: Monday, August 30, 2010 5:16 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] PerformanceAnalytics: functions don't work
afterupdating the package


  Hi List,

I have the following problem with Performance Analytics:

In the last month I wrote code for a term paper, which used a lot of the

functions in the package. Back then I used R 2.10.1 and the previous 
version of Performance Analytics ( I guess it was the previous version, 
as I've installed it for the first time in July). Everything worked
fine.

Now I've updated my R and the package to the latest versions, and all 
the functions which need a benchmark won't work. I keep getting:

Fehler in Ra.excess[, column.a, drop = FALSE] :
   falsche Anzahl von Dimensionen

where falsche Anzahl von Dimensionen = wrong  number of dimensions.

I tried using timeSeries or zoo instead of xts but I keep getting the 
same problem. I changed the original data class from POSIXct to Date - 
that didn't work either. I tried with drop = FALSE, tried indexing the 
data as shown in this example from the package documentation:

table.HigherMoments(managers[,1:3],managers[,8,drop=FALSE])

but nothing helps.

Here is the structure of my data  and the function I'm trying to use:

 >  str(returns.xts)
An 'xts' object from 2009-11-18 to 2010-06-30 containing:
   Data: num [1:154, 1:6] -0.00182 -0.00293 -0.00147 0.00403 -0.00476
...
  - attr(*, "dimnames")=List of 2
   ..$ : NULL
   ..$ : chr [1:6] "QAI" "MCRO" "ALT" "GRES" ...
   Indexed by objects of class: [Date] TZ:
   Original class: 'double'
   xts Attributes:
  NULL
 >

An 'xts' object from 2009-11-18 to 2010-06-30 containing:
   Data: num [1:154, 1] -0.0009 -0.0141 -0.004 0.013 -0.0013 0.0058 
-0.0185 0.0039 0.014 0.0023 ...
  - attr(*, "dimnames")=List of 2
   ..$ : NULL
   ..$ : chr "Market.Return"
   Indexed by objects of class: [Date] TZ:
   Original class: 'data.frame'
   xts Attributes:
  NULL

------------------------------------------------------------------------
--------------
  table.HigherMoments(returns.xts,returns.market, Rf = 0)
------------------------------------------------------------------------
--------------

What puzzles me is that the code worked perfectly fine before. I've 
looked in the change log but didnt find anything which can help me. 
Also, functions which don't need a benchmark work perfectly fine - f.ex 
table.Autocorrelation(returns.xts) has no problems.

Best Regards,

Alex

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