valuation.randportBurSt {PortfolioProbe}R Documentation

Monetary Value of Random Portfolios

Description

Returns one of various concepts of value for the portfolios.

Usage

valuation.randportBurSt(x, prices, weight = FALSE, collapse = FALSE,
        type = "gross", cash = NULL)

Arguments

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 times, 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 this is only used when collapse is TRUE.
A character string that (partially) matches one of: "gross", "net", "long", "short", "nav". 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" and collapse is TRUE.
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.

Value

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 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.

Details

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.

If out.trade is TRUE in the call for x, then the results are for the trades and not for the portfolios.

Revision

This help was last revised 2010 September 24.

See Also

random.portfolio, deport.randportBurSt, valuation.portfolBurSt.

Examples

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)

[Package PortfolioProbe version 1.03 Index]