R: Find the Monetary Values of a Portfolio or Trade

valuation.portfolBurSt {PortfolioProbe}

R Documentation

Find the Monetary Values of a Portfolio or Trade

Description

Returns various concepts of value.

Usage

## S3 method for class 'portfolBurSt'
valuation(x, prices = x$prices, trade = FALSE, 
	weight = is.logical(collapse) && !collapse, 
	collapse = is.array(prices), type = "gross", cash = NULL, 
	all.assets = FALSE, returns = NULL, cumulative = FALSE, 
	drop.factor = FALSE)
## Default S3 method:
valuation(x, prices, 
	weight = is.logical(collapse) && !collapse, 
	collapse = is.array(prices), type = "gross", cash = NULL,
	all.assets = FALSE, returns = NULL, cumulative = FALSE, 
	drop.factor = FALSE)

Arguments

`x`	required. An object of class `"portfolBurSt"` created by `trade.optimizer` (for the `"portfolBurSt"` method). Or a named vector (for the default method).
`prices`	a named vector of asset prices that includes at least the assets in the object being evaluated; or a matrix with column names for the assets (rows are for times); or a three-dimensional array with rows corresponding to times, columns to assets, and slices to different scenarios. This is a required argument for the default method.
`trade`	logical value. If `TRUE`, then the results are for the trade. If `FALSE`, then the results are for the optimal portfolio.
`weight`	logical value; if `TRUE` and `collapse` is `FALSE`, then the result includes a component named `weight` which contains the weights of the assets (that is, position values divided by the gross value). If `weight` is `TRUE` and `collapse` represents categories, then the results are weights within the categories (or category combinations).
`collapse`	logical value, or an object representing categories. If `TRUE`, then the result will be a number (or a vector if `prices` was a three-dimensional array) containing results for the portfolio rather than individual assets. Categories can be represented by a named character vector or factor, or a list of these (for combinations of categories). The list can be in the form of a data frame where the row names are the asset identifiers.
`type`	this is only used when `collapse` is not `FALSE`. A character string that (partially) matches one of: `"gross"`, `"net"`, `"long"`, `"short"`, `"nav"`, `"cash"`. 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. The `"cash"` type lets you see the value of cash that is computed.
`cash`	this is only used when `type="nav"` and `collapse` is `TRUE` (which includes return calculations). 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 such that the initial value of the portfolio is equal to the gross value minus the net value at the first time point.
`all.assets`	a logical value. If `TRUE`, then the `weight` and `individual` components will have the same assets (in the same order) as `prices`.
`returns`	either `NULL` or a single character string that is (an abbreviation of) `"log"`, `"simple"`, `"geometric"`, or `"arithmetic"`. This fails if `prices` is not a matrix or array. This is two types of returns with two names each.
`cumulative`	a logical value. If `TRUE`, then the returns are cumulative – that is, relative to the prices at the first time point. If `FALSE`, then the return at each time point is relative to the immediately previous time point. This is ignored if returns are not produced.
`drop.factor`	a logical value. If `TRUE`, then (combinations of) categories in `collapse` that do not occur are not represented in the result.

Value

if collapse is TRUE, then an object with dimension one less than prices. The order of the dimensions is: time (if any), and scenarios (if any).

If collapse represents categories, then an object with the same number of dimensions as prices (and currently prices is not allowed to be three-dimensional in this case). The order of dimensions is: time (if any) and categories.

The above include the attributes timestamp and call like the descriptions given below.

If collapse is FALSE, a list with the following components:

`individual`	the amount of money in individual assets.
`total`	length 4 vector containing the gross value, the net value, the long value and the short value.
`weight`	only present if the `weight` argument was `TRUE`. A numeric vector containing the weights of the assets.
`timestamp`	character string giving the time and date of the evaluation.
`call`	the call that created the object.

Details

These are methods for the generic function valuation.

Revision

This help was last revised 2013 April 17.

Examples

op1 <- trade.optimizer(eq.prices, varian, long.only=TRUE, 
	gross.value=1e6)
valuation(op1)

valuation(op1, new.prices) # valuation with new prices

valuation(op1, rbind(eq.prices, new.prices)) # two gross values

valuation(op1, trade=TRUE) # valuation for the trade
valuation(op1$trade, eq.prices) # same thing

# get weight vector corresponding to full universe of assets
valuation(op1, pricevec, all.assets=TRUE)$weight  

# log returns over some time period
valuation(op1, price.matrix, returns="log")

[Package PortfolioProbe version 1.06 Index]