[R-SIG-Finance] PerformanceAnalytics package

[R. Michael Weylandt]

I don't know if Josh/Brian/Jeff got you an answer on this, but on my
version of PerformanceAnalytics (1.0.3.2), these different VaR methods
seem to have been collapsed into VaR with different methods available.
Perhaps your reference is for an older version of the package in which
these have been deprecated.

I also don't see table.MonthlyReturns() only table.AnnualizedReturns()
available. I believe I read somewhere that the package is designed
with monthly data in mind (though most of the analytical techniques
are scale invariant) so it's perhaps not surprising that there's no
aggregation tool to monthly.

Michael

On Sun, Oct 23, 2011 at 3:56 PM, financial engineer
<fin_engr at hotmail.com> wrote:
>
> hi,
>
> As I continue working through the functions with my time series of daily returns(R.MCO), most of the functions have been working fine, except the following(so far):
>
> VaR.mean.MCO=VaR.mean(R.MCO,p=0.95)
> Error: could not find function "VaR.mean"
>> VaR.traditional.MCO=VaR.traditional(R.MCO,p=0.95)
> Error: could not find function "VaR.traditional"
>> modifiedVaR.MCO=modifiedVaR(R.MCO,p=0.99)
> Error: could not find function "modifiedVaR"
>> table.MonthlyReturns(R.MCO,ci=0.95,digits=4)
> Error: could not find function "table.MonthlyReturns"
>
> Can you please let me know how I can fix these errors, as I am keen to use these functions for computing the daily VaR and also generate tables of monthly returns.
>
> Thanks!
>
>> Date: Sat, 22 Oct 2011 17:20:04 -0500
>> From: brian at braverock.com
>> To: fin_engr at hotmail.com
>> CC: r-sig-finance at r-project.org
>> Subject: Re: [R-SIG-Finance] PerformanceAnalytics package
>>
>> This is most likely a conflict between xts/zoo and the various f* Rmetrics
>> packages
>> (or possibly the timeSeries package from Rmetrics).  You'll like see a
>> warning that function 'time' is being masked.
>>
>> the zoo/xts and Rmetrics teams are aware of the issue, and are trying to
>> sort out a modle that will avoid trhe conflict.
>>
>> For now, the most likely way for you to avoid this issue is to not load
>> the Rmetrics packages, or to load zoo/xts *after* you've loaded any
>> Rmetrics packages you need.
>>
>> On Sat, 22 Oct 2011 18:10:15 -0400, financial engineer
>> <fin_engr at hotmail.com> wrote:
>> > hi,
>> >
>> >
>> >
>> > I've been trying to familiarize myself with the PerformanceAnalytics
>> > package.
>> >
>> >
>> >
>> > As I go through the examples (in the attached file), I faced a hiccup.
>> >
>> > When I run the following code, it only prints the first chart
>> >
>> >
>> >
>> > charts.PerformanceSummary(managers[, c(manager.col,
>> >
>> > indexes.cols)],colorset = rich6equal, lwd = 2, ylog = TRUE)
>> >
>> >
>> >
>> > and gives me the following error:
>> >
>> >
>> > Error in UseMethod("time<-") :
>> >
>> >   no applicable method for 'time<-' applied to an object of class
>> >
>> > "c('xts', 'zoo')"
>> >
>> >
>> >
>> > Can you please let me know how I can fix it.
>> >
>> >
>> >
>> > Thanks!
>>
>> --
>> Brian G. Peterson
>> http://braverock.com/brian/
>> Ph: 773-459-4973
>> IM: bgpbraverock
>
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>
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