# Commands that helped generate the results of Section 2.2 of
# "The Portfolio Probe User's Manual"
#
# These commands demonstrate cacheing variance matrices
# and then using them -- this is a useful idiom
#
# This depends on functions listed in 'pprobe_functions01.R'
# The data are created in 'pprobe_R_data01.txt'

# the 'save' function is specifically R and is not available
# in at least some versions of S-PLUS.
# If you have S-PLUS, you will probably need to modify this




# things to CHANGE, possibly

PP_LOC <- ".." 





# initial setup

if(!exists("us.pricemat")) attach(paste(PP_LOC, "us.pricemat.rda", sep="/"))
require(BurStFin)


# create return matrix
us.retmat <- diff(log(us.pricemat))

# cache the variances
for(i in 250:700) {
	JJd <- rownames(us.retmat)[i]
	JJn <- paste("varshr", JJd, sep=".")
	assign(JJn, var.shrink.eqcor(us.retmat[seq(to=i, length=250),]))
	save(list=JJn, file=paste(PP_LOC, "/Varshr/", JJn, ".rda", sep=""))
	rm(list=JJn)
	cat("done with", JJd, "\n")
}

# you can see how this is used in functions like 'pp.date.meanvarutil'
# that you can see in action in 'pprobe_R_bounds.txt'