[R-SIG-Finance] quantstrat::Return.rebalancing

[Bos, Roger]

I was trying to run some code and got an error on Return.rebalancing, so I tried running the example from the help page and that didn't work either.  I am using windows.

Question 1: what origin must I supply?
> data(edhec)
> data(weights)
> round(Return.rebalancing(edhec,weights),4)
Error in as.Date.numeric(index(last(R))) : 'origin' must be supplied

Once I figure out how to get that example working, what I really want to run is this:

Question 2: Should this code work on windows (from http://quantstrattrader.wordpress.com/category/asset-allocation/)?
library(quantstrat)

#long TMF 60% (leveraged 3x t-bond bull), long XIV 40%
getSymbols("XIV", from="1990-01-01")
getSymbols("TMF", from="1990-01-01")
tmfRets <- Return.calculate(Cl(TMF))
xivRets <- Return.calculate(Ad(XIV))
both <- merge(xivRets, tmfRets, join='inner')
colnames(both) <- c("xiv", "tmf")
portfRets <- Return.rebalancing(both, weights=c(.4, .6),
                               rebalance_on="weeks", geometric=FALSE)

The last line gives this error:

> portfRets <- Return.rebalancing(both, weights=c(.4, .6),
+                                rebalance_on="weeks", geometric=FALSE)
Error in Return.rebalancing(both, weights = c(0.4, 0.6), rebalance_on = "weeks",  :
  Use Return.portfolio for single weighting vector.  This function is for building portfolios over rebalancing periods.

Question 3: Does the weights parameter have to be a matrix, or could it be a vector?

A vector would make sense in this case where we want to rebalance to 40%/60% on a weekly basis, but the first thing the code does is make sure weights is not a vector:
    if (is.vector(weights)) {
        stop("Use Return.portfolio for single weighting vector.  This function is for building portfolios over rebalancing periods.")
    }

Thanks,

Roger



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