[R-SIG-Finance] Fiscal year version of table.CalendarReturns from PerformanceAnalytics

[matt at considine.net]

I needed to corroborate some fiscal year return numbers and turned to  
PerformanceAnalytics to see what was available.  table.CalendarReturns  
had the output I needed, but is set up for - predictably - calendar  
year returns.

Below is what I hacked up to output fiscal year returns.  The idea was  
to try to change the base code as little as possible and found I could  
accomplish that by playing with the date indexes and month labels.

Obviously, this is a kludge.  If anyone has more elegant ways or ideas  
of dealing with non-December fiscal years, I'd be interested in  
hearing about them.  In the meantime, I hope what's below helps  
someone (my changes are identified by "MattC").  If there are errors  
anyone sees, I'd appreciate hearing about them.
Rgds,
Matt

#e.g. table.FiscalReturns(total.ret,digits=2,FYendmonth=6)
#  to show table of returns to two digits for FYrs ending June using a
#  dataset named "total.ret"
table.FiscalReturns <- function(R, digits=1,
                                 as.perc=TRUE,
                                 geometric=TRUE,
                                 FYendmonth=6)  ##MattC
{
   ri = checkData(R, method = "zoo")
   columns = ncol(ri)
   columnnames = colnames(ri)
   rownames = rownames(ri)
   firstyear =  
as.numeric(format(strptime(as.POSIXct(time(ri)[1]),"%Y-%m-%d"), "%Y"))
   lastyear =  
as.numeric(format(strptime(as.POSIXct(time(ri)[length(ri[,1])]),  
"%Y-%m-%d"), "%Y"))
   #start MattC
   if (FYendmonth != 12) {
     firstyrmo =  
as.numeric(format(strptime(as.POSIXct(time(ri)[1]),"%Y-%m-%d"), "%m"))
     lastyrmo =  
as.numeric(format(strptime(as.POSIXct(time(ri)[length(ri[,1])]),  
"%Y-%m-%d"), "%m"))
     if (firstyrmo>FYendmonth) firstyear <- firstyear+1
     if (lastyrmo>FYendmonth) lastyear <- lastyear+1
     newdates<-as.Date(as.yearmon(index(ri))+(firstyrmo-FYendmonth)/12,frac=1)
     index(ri)<-newdates
   }
   #end MattC
   year = format(strptime(as.POSIXct(time(ri)), "%Y-%m-%d"),"%Y")
   month = format(strptime(as.POSIXct(time(ri)), "%Y-%m-%d"),"%b")
   monthlabels =  
strftime(seq.Date(as.Date(paste("2000-01-01",sep="")), length.out = 12,
                                 by = "months"), format = "%b")
   rowlabels = (firstyear:lastyear)
   for (column in 1:columns) {
     target.df = as.data.frame(matrix(data = as.numeric(NA),
                 length(rowlabels), length(monthlabels), dimnames =  
list(rowlabels, monthlabels)))
     for (i in 1:length(ri[, 1])) {
       if (!is.na(ri[i, column])) {
         target.df[year[i], month[i]] = ri[i, column]
       }
     }
     yearcol = as.data.frame(matrix(data = as.numeric(NA),
             length(rowlabels), 1, dimnames = list(rowlabels,  
columnnames[column])))
     for (i in 1:length(yearcol[, 1])) {
       if (geometric)
         yearcol[i, columnnames[column]] = prod(1 +  
na.omit(as.numeric(target.df[i,]))) - 1
       else yearcol[i, columnnames[column]] =  
sum(as.numeric(target.df[i,]), na.rm = TRUE)
       if (yearcol[i, columnnames[column]] == 0)
         yearcol[i, columnnames[column]] = NA
     }
     target.df = cbind(target.df, yearcol)
     if (as.perc)
       multiplier = 100
     else multiplier = 1
     target.df = target.df * multiplier
     target.df = base::round(target.df, digits)
     if (column == 1)
       result.df = target.df
     else {
       result.df = cbind(result.df, target.df[, 13])
     }
   }
   #start MattC
   if (FYendmonth != 12) {
     monthlabels =  
strftime(seq.Date(as.Date(paste("2000-",FYendmonth+1,"-01",sep="")),  
length.out = 12,  by = "months"), format = "%b")
   }
   #end MattC
   colnames(result.df) = c(monthlabels, columnnames)
   result.df
}