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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# FUNCTION: DESCRIPTION:
# assetsStarsPlot Draws segment/star diagrams of asset sets
# FUNCTION: DESCRIPTION:
# assetsBasicStatsPlot Displays a segment plot of basic return stats
# assetsMomentsPlot Displays a segment plot of distribution moments
# assetsBoxStatsPlot Displays a segment plot of box plot statistics
# assetsNIGFitPlot Displays a segment plot NIG parameter estimates
################################################################################
assetsStarsPlot <-
function(x, method = c("segments", "stars"), locOffset = c(0, 0),
keyOffset = c(0, 0), ...)
{
# A function implemented by Diethelm Wuertz
# Description:
# Draws segment or star diagrams of a multivariate data set.
# Arguments
# x - a numeric feature matrix of assets. Each column represents
# an individual asset.
# Example:
# x = as.timeSeries(data(LPP2005REC))
# X = basicStats(x)[-(1:2), 1:6]
# assetsStarsPlot(X, main = "Basic Statistics", keyOffset = -0.5)
# FUNCTION:
# Settings:
method = match.arg(method)
if (method == "segments") draw.segments = TRUE else draw.segments = FALSE
# Compute Locations:
xCol = ncol(x)
yCol = nrow(x)
NY = NX = ceiling(sqrt(xCol))
if (NX*NY == xCol) NY = NY + 1
loc = NULL
for (nx in 1:NY)
for (ny in 1:NX)
loc = rbind(loc, c(nx, ny))
loc = loc[1:xCol, ]
loc[, 2] = NY + 1 - loc[, 2]
loc[, 1] = loc[, 1] - locOffset[1]
loc[, 2] = loc[, 2] - locOffset[2]
# Stars:
palette(rainbow(12, s = 0.6, v = 0.75))
ans = stars(t(x), mar = c(0,0,0,0), #mar = c(4, 2.8, 2.8, 4),
locations = loc,
len = 0.4,
xlim = c(1, NX+0.5),
ylim = c(0, NY+1),
key.loc = c(NX + 1, 1) + keyOffset,
draw.segments = draw.segments, ... )
# box()
# Return Value:
invisible(ans)
}
# ------------------------------------------------------------------------------
assetsBasicStatsPlot <-
function(x, par = TRUE, oma = c(0,0,0,0), mar = c(4, 4, 4, 4),
keyOffset = c(-0.65, -0.50), main = "Assets Statistics",
title = "Assets", titlePosition = c(3, 3.65),
description = "Basic Returns Statistics", descriptionPosition = c(3, 3.50),
...)
{
# A function Implemented by Diethelm Wuertz
# Description:
# Displays a segment plot of basic return statistics
# Note:
# The Default Settings are made for a portfolio with
# 7 to 9 assets.
# FUNCTION:
# Plot:
if (par) par(mfrow = c(1, 1), oma = oma, mar = mar)
X = basicStats(x)[-(1:2), ]
assetsStarsPlot(X, keyOffset = keyOffset, ...)
text(titlePosition[1], titlePosition[2], adj = 0,
title, cex = 1.25)
text(descriptionPosition[1], descriptionPosition[2], adj = 0,
description, cex = 1.1)
title(main = main)
# Return Value:
invisible()
}
# ------------------------------------------------------------------------------
assetsMomentsPlot <-
function(x, par = TRUE, oma = c(0,0,0,0), mar = c(4, 4, 4, 4),
keyOffset = c(-0.65, -0.50), main = "Assets Statistics",
title = "Assets", titlePosition = c(3, 3.65),
description = "Moments Statistics", descriptionPosition = c(3, 3.50),
...)
{
# A function Implemented by Diethelm Wuertz
# Description:
# Displays a segment plot of distribution moments
# Note:
# The Default Settings are made for a portfolio with
# 7 to 9 assets.
# FUNCTION:
# Plot:
if(par) par(mfrow = c(1, 1), oma = oma, mar = mar)
param = NULL
for (i in 1:dim(x)[2]) {
X = as.vector(series(x[, i]))
fit = c(mean = mean(X), stdev = sd(X),
skewness = skewness(X), kurtosis = kurtosis(X))
param = cbind(param, fit)
}
colnames(param) = colnames(x)
assetsStarsPlot(param, keyOffset = keyOffset, ...)
text(titlePosition[1], titlePosition[2], adj = 0,
title, cex = 1.25)
text(descriptionPosition[1], descriptionPosition[2], adj = 0,
description, cex = 1.1)
title(main = main)
# Return Value:
invisible()
}
# ------------------------------------------------------------------------------
assetsBoxStatsPlot <-
function(x, par = TRUE, oma = c(0,0,0,0), mar = c(4, 4, 4, 4),
keyOffset = c(-0.65, -0.50), main = "Assets Statistics",
title = "Assets", titlePosition = c(3, 3.65),
description = "Box Plot Statistics", descriptionPosition = c(3, 3.50),
...)
{
# A function Implemented by Diethelm Wuertz
# Description:
# Displays a segment plot of box plot statistics
# Note:
# The Default Settings are made for a portfolio with
# 7 to 9 assets.
# FUNCTION:
# Plot:
if(par) par(mfrow = c(1, 1), oma = oma, mar = mar)
bp = assetsBoxPlot(x, plot = FALSE)
ans = assetsStarsPlot(abs(bp$stats), keyOffset = keyOffset, ...)
text(titlePosition[1], titlePosition[2], adj = 0,
title, cex = 1.25)
text(descriptionPosition[1], descriptionPosition[2], adj = 0,
description, cex = 1.1)
title(main = main)
# Return Value:
invisible(ans)
}
# ------------------------------------------------------------------------------
assetsNIGFitPlot <-
function(x, par = TRUE, oma = c(0,0,0,0), mar = c(4, 4, 4, 4),
keyOffset = c(-0.65, -0.50), main = "Assets Statistics",
title = "Assets", titlePosition = c(3, 3.65),
description = "NIG Parameters", descriptionPosition = c(3, 3.50), ...)
{
# A function Implemented by Diethelm Wuertz
# Description:
# Displays a segment plot NIG parameter estimates
# Note:
# The Default Settings are made for a portfolio with
# 7 to 9 assets.
# FUNCTION:
# Plot:
param = NULL
for (i in 1:dim(x)[2]) {
fit = nigFit(x[, i], doplot = FALSE, trace = FALSE)
param = cbind(param, fit@fit$estimate)
}
if(par) par(mfrow = c(1, 1), oma = oma, mar = mar)
colnames(param) = colnames(x)
rownames(param) = c("alpha", "beta", "delta", "mu")
assetsStarsPlot(param, keyOffset = keyOffset)
text(titlePosition[1], titlePosition[2], adj = 0,
title, cex = 1.25)
text(descriptionPosition[1], descriptionPosition[2], adj = 0,
description, cex = 1.1)
title(main = main)
# Return Value:
invisible()
}
################################################################################
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