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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
# Copyrights (C)
# for this R-port:
# 1999 - 2006, Diethelm Wuertz, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: DESCRIPTION:
# acfPlot Displays autocorrelations function plot
# pacfPlot Displays partial autocorrelation function plot
# ccfPlot Cross correlation function plot
# teffectPlot Estimates and plots the Taylor effect
# lmacfPlot Estimates and plots the long memory ACF
# lacfPlot Plots lagged autocorrelations
# logpdfPlot Returns a pdf plot on logarithmic scale(s)
# qqgaussPlot Returns a Gaussian quantile-quantile plot
# scalinglawPlot Evaluates and plots scaling law behavior
################################################################################
test.helpFile =
function()
{
# Help File:
helpFile = function() {
example(StylizedFacts); return() }
checkIdentical(
target = class(try(helpFile())),
current = "NULL")
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.plotLabels =
function()
{
# MSFT Opening Prices:
URL = "http://www.itp.phys.ethz.ch/econophysics/R/data/textbooks/"
SRC = "ZivotWang/data/msft.dat.csv"
DATA = paste(URL, SRC, sep = "")
download.file(DATA, destfile = "msft.dat.csv")
msft.dat = readSeries("msft.dat.csv")
msft = msft.dat[, 1]
checkSum = 15349.9344
checkEqualsNumeric(sum(msft@Data), checkSum)
# MSFT Volume in Million Units:
msft.vol = msft.dat[ , 5]/10^6
checkSum = 10742.7319
checkEqualsNumeric(sum(msft.vol@Data), checkSum)
# MSFT Opening Returns:
msft.ret = returnSeries(msft)
checkSum = -0.2359905
checkEqualsNumeric(sum(msft.ret@Data), checkSum)
# LABELS = TRUE
par(mfrow = c(4, 3), cex = 0.7)
# acfPlot -
acfPlot(x = msft.ret)
# pacfPlot -
pacfPlot(x = msft.ret)
# ccfPlot -
ccfPlot(x = msft.ret, y = msft.vol)
# teffectPlot -
teffectPlot(x = msft.ret)
# lmacfPlot -
lmacfPlot(x = abs(msft.ret), type = "acf")
lmacfPlot(x = abs(msft.ret), type = "hurst")
# ... CHECK ACF OF RETURNS
# lmacfPlot -
lacfPlot(x = msft, n = 4)
# logpdfPlot -
logpdfPlot(x = msft.ret, labels = FALSE)
logpdfPlot(x = msft.ret, type = "log-log")
# ... CHECK WARNINGS
# ... CHECK COLORS
# qqgaussPlot -
qqgaussPlot(x = msft.ret)
# scalinglawPlot -
scalinglawPlot(x = msft.ret, span = 4)
# ... CHECK COLORS
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.plotNoLabels =
function()
{
# MSFT Opening Prices:
# URL = "http://www.itp.phys.ethz.ch/econophysics/R/data/textbooks/"
# SRC = "ZivotWang/data/msft.dat.csv"
# DATA = paste(URL, SRC, sep = "")
# download.file(DATA, destfile = "msft.dat.csv")
# msft.dat = readSeries("msft.dat.csv")
# ... or load it from Package fEcofin
data(msft.dat)
msft.dat = as.timeSeries(msft.dat)
msft = msft.dat[, 1]
checkSum = 15349.9344
checkEqualsNumeric(sum(msft@Data), checkSum)
# MSFT Volume in Million Units:
msft.vol = msft.dat[ , 5]/10^6
checkSum = 10742.7319
checkEqualsNumeric(sum(msft.vol@Data), checkSum)
# MSFT Opening Returns:
msft.ret = returnSeries(msft)
checkSum = -0.2359905
checkEqualsNumeric(sum(msft.ret@Data), checkSum)
# LABELS = FALSE
par(mfrow = c(4, 3), cex = 0.7)
# acfPlot -
acfPlot(x = msft.ret, labels = FALSE)
# pacfPlot -
pacfPlot(x = msft.ret, labels = FALSE)
# ccfPlot -
ccfPlot(x = msft.ret, y = msft.vol, labels = FALSE)
# teffectPlot -
teffectPlot(x = msft.ret, labels = FALSE)
# lmacfPlot -
lmacfPlot(x = abs(msft.ret), type = "acf", labels = FALSE)
lmacfPlot(x = abs(msft.ret), type = "hurst", labels = FALSE)
# ... CHECK ACF OF RETURNS
# lmacfPlot -
lacfPlot(x = msft, n = 4, labels = FALSE)
# logpdfPlot -
logpdfPlot(x = msft.ret, labels = FALSE)
logpdfPlot(x = msft.ret, type = "log-log", labels = FALSE)
# ... CHECK WARNINGS
# ... CHECK COLORS
# qqgaussPlot -
qqgaussPlot(x = msft.ret, labels = FALSE)
# scalinglawPlot -
scalinglawPlot(x = msft.ret, span = 4, labels = FALSE)
# ... CHECK COLORS
# Return Value:
return()
}
# ------------------------------------------------------------------------------
if (FALSE) {
require(RUnits)
testResult <- runTestFile("C:/Rmetrics/SVN/trunk/fBasics/test/runit3B.R")
printTextProtocol(testResult)
}
################################################################################
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