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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:
# boxPlot Produces a side-by-side standard box plot
# boxPercentilePlot Produces a side-by-side box-percentile plot
################################################################################
boxPlot <-
function(x, col = "steelblue", title = TRUE, ...)
{
# A function Implemented by Diethelm Wuertz
# Description:
# Produces a standard box plot
# Arguments:
# x - an uni- or multivariate return series of class 'timeSeries'
# or any other object which can be transformed by the function
# 'as.matrix()' into an object of class 'matrix'.
# Optional Arguments:
# las, oma - allows to change style of X labels and creates
# required space below plot.
# Try: e.g. las = 3, and oma = c(9, 0, 0, 0)
# FUNCTION:
# Settings:
x = as.matrix(x)
assetNames = colnames(x)
# Plot:
ans = boxplot(as.data.frame(x), col = col, ...)
abline(h = 0 , lty = 3)
# Add Title:
if (title) {
title(main = "Box Plot", ylab = "Value")
}
# Result:
colnames(ans$stats) = ans$names
rownames(ans$stats) = c("lower whisker", "lower hinge", "median",
"upper hinge", "upper whisker")
# Return Value:
invisible(ans)
}
# ------------------------------------------------------------------------------
boxPercentilePlot <-
function(x, col = "steelblue", title = TRUE, ...)
{
# A modified copy from Hmisc
# Description:
# Produces a side-by-side box-percentile plot
# Details:
# Box-percentile plots are similiar to boxplots, except box-percentile
# plots supply more information about the univariate distributions. At
# any height the width of the irregular "box" is proportional to the
# percentile of that height, up to the 50th percentile, and above the
# 50th percentile the width is proportional to 100 minus the percentile.
# Thus, the width at any given height is proportional to the percent of
# observations that are more extreme in that direction. As in boxplots,
# the median, 25th and 75th percentiles are marked with line segments
# across the box. [Source: Hmisc]
# Arguments:
# x - an uni- or multivariate return series of class 'timeSeries'
# or any other object which can be transformed by the function
# 'as.matrix()' into an object of class 'matrix'.
# FUNCTION:
# Settings:
x = as.matrix(x)
assetNames = colnames(x)
n = ncol(x)
all.x = list()
for (i in 1:n) all.x[[i]] = as.vector(x[, i])
centers = seq(from = 0, by = 1.2, length = n)
ymax = max(sapply(all.x, max, na.rm = TRUE))
ymin = min(sapply(all.x, min, na.rm = TRUE))
xmax = max(centers) + 0.5
xmin = -0.5
# Plot:
if (length(col) == 1) col = rep(col, times = n)
plot(c(xmin, xmax), c(ymin, ymax), type = "n",
xlab = "", ylab = "", xaxt = "n", ...)
xpos = NULL
for (i in 1:n) {
# plot.values = .bpxAssetsPlot(all.x[[i]], centers[i])
y = all.x[[i]]
offset = centers[i]
y = y[!is.na(y)]
n = length(y)
delta = 1/(n + 1)
prob = seq(delta, 1 - delta, delta)
quan = sort(y)
med = median(y)
q1 = median(y[y < med])
q3 = median(y[y > med])
first.half.p = prob[quan <= med]
second.half.p = 1 - prob[quan > med]
plotx = c(first.half.p, second.half.p)
options(warn = -1)
qx = approx(quan, plotx, xout = q1)$y
q1.x = c(-qx, qx) + offset
qx = approx(quan, plotx, xout = q3)$y
options(warn = 0)
q3.x = c(-qx, qx) + offset
q1.y = c(q1, q1)
q3.y = c(q3, q3)
med.x = c(-max(first.half.p), max(first.half.p)) + offset
med.y = c(med, med)
plot.values = list(x1 = (-plotx) + offset, y1 = quan, x2 = plotx +
offset, y2 = quan, q1.y = q1.y, q1.x = q1.x, q3.y = q3.y,
q3.x = q3.x, med.y = med.y, med.x = med.x)
# Continue:
xpos = c(xpos, mean(plot.values$med.x))
x.p = c(plot.values$x1, plot.values$x2)
y.p = c(plot.values$y1, plot.values$y2)
polygon(x.p, y.p, col = col[i], border = "grey", ...)
lines(plot.values$x1, plot.values$y1)
lines(plot.values$x2, plot.values$y2)
lines(plot.values$q1.x, plot.values$q1.y)
lines(plot.values$q3.x, plot.values$q3.y)
lines(plot.values$med.x, plot.values$med.y)
}
axis(side = 1, at = xpos, labels = assetNames, ...)
abline(h = 0, lty = 3, col = "black")
# Add Title:
if (title) {
title(main = "Box Percentiles", ylab = "Value")
}
# Return Value:
invisible()
}
################################################################################
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