| valuation.randportBurSt {PortfolioProbe} | R Documentation |
Returns the value or weights of the positions or portfolios.
valuation.randportBurSt(x, prices, weight = FALSE, collapse = FALSE,
type = "gross", cash = NULL)
x |
required. An object of class "randportBurSt" (generally
the result of a call to random.portfolio).
|
prices |
required. A named vector or a matrix of asset prices that includes at least the assets in the object being evaluated. if a matrix, then the column names need to be names of the assets; rows will presumably represent dates and may or may not be named. |
weight |
logical value; if TRUE, then the result will contain
weights rather than monetary value.
|
collapse |
logical value; if TRUE, then the result will be a vector
or matrix containing results for the portfolios rather than individual
assets.
|
type |
a character string that (partially) matches one of:
"gross", "net", "long", "short",
"nav".
This is only used when collapse is TRUE.
When this has value "nav", then the result is the net value
plus cash.
When this has value "short", the result is non-negative numbers.
|
cash |
this is only used when type="nav".
A single number, a numeric vector with as many elements as there are rows in prices, or NULL.
If this is NULL, then the amount of cash is the gross
value at the first time point for each portfolio.
|
a list, vector or matrix containing valuation information.
If collapse is FALSE, then the result is a list
of the same length as the input x where each component
holds the asset valuations or weights.
If collapse is TRUE, then the result is a vector
if prices is a vector, and a matrix if prices is a matrix.
The numbers are the valuation (or weights) for the portfolio
(at each point in time if prices is a matrix).
The (extra) attributes are:
timestamp |
character string giving the date and time of the evaluation. |
call |
the call that created the object. |
This is a method for the generic function valuation for
class randportBurSt.
If the portfolios are long-short and the valuations are going to be used
to calculate returns, then you should set type="nav" and set
cash properly for the situation that you have.
This help was last revised 2010 January 02.
random.portfolio, deport.randportBurSt,
valuation.portfolBurSt.
randport1 <- random.portfolio(100, prices, varian, long.only=TRUE,
bench.constr=c(spx=.04^2/252), lin.constraints=cntrysect.conmat,
lin.bounds=cntrysect.bounds, gross.value=1e6)
randval1 <- valuation(randport1, prices)
randval1n <- valuation(randport1, new.prices)