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#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program 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 General Public License for more details.
#
# A copy of the GNU General Public License is available at
# ../../COPYING
################################################################################
# FUNCTION: COLUMN CUMULATIVE SUMS:
# colCumsums Computes sample cumulated sums by column
# colCumsums,matrix S3 default method (for matrix objects)
# colCumsums,timeSeries S3 method for timeSeries objects
# FUNCTION: COLUMN CUMULATIVE MAXIMA:
# colCummaxs Computes cumulated maximum values
# colCummaxs,matrix S3 default method (for matrix objects)
# colCummaxs,timeSeries S3 method for timeSeries objects
# FUNCTION: COLUMN CUMULATIVE MAXIMA:
# colCummins Computes cumulated maximum values
# colCummins,matrix S3 default method (for matrix objects)
# colCummins,timeSeries S3 method for timeSeries objects
# FUNCTION: COLUMN CUMULATIVE MINIMA:
# colCumprods Computes cumulated product values
# colCumprods,matrix S3 default method (for matrix objects)
# colCumprods,timeSeries S3 method for timeSeries objects
# FUNCTION: COLUMN CUMULATIVE RETURNS:
# colCumreturns Computes cumulated product values
# colCumreturns,matrix S3 default method (for matrix objects)
# colCumreturns,timeSeries S3 method for timeSeries objects
################################################################################
# ------------------------------------------------------------------------------
setMethod("colCumsums", "matrix", function(x, na.rm = FALSE, ...)
{
if (na.rm)
x <- na.omit(x)
ans <- apply(x, 2, cumsum, ...)
# special treatment when x has one row because apply returns a vector
if (NROW(x) == 1)
ans <- matrix(ans, nrow = 1, dimnames = dimnames(x))
ans
})
# ------------------------------------------------------------------------------
setMethod("colCumsums", "timeSeries", function(x, na.rm = FALSE, ...)
setDataPart(x, callGeneric(getDataPart(x), na.rm = na.rm, ...)))
# ------------------------------------------------------------------------------
setMethod("colCummaxs", "matrix", function(x, na.rm = FALSE, ...)
{
if (na.rm)
x <- na.omit(x)
ans <- apply(x, 2, cummax, ...)
# special treatment when x has one row because apply returns a vector
if (NROW(x) == 1)
ans <- matrix(ans, nrow = 1, dimnames = dimnames(x))
ans
})
# ------------------------------------------------------------------------------
setMethod("colCummaxs", "timeSeries", function(x, na.rm = FALSE, ...)
setDataPart(x, callGeneric(getDataPart(x), na.rm = na.rm, ...)))
# ------------------------------------------------------------------------------
setMethod("colCummins", "matrix", function(x, na.rm = FALSE, ...)
{
if (na.rm)
x <- na.omit(x)
ans <- apply(x, 2, cummin, ...)
# special treatment when x has one row because apply returns a vector
if (NROW(x) == 1)
ans <- matrix(ans, nrow = 1, dimnames = dimnames(x))
ans
})
# ------------------------------------------------------------------------------
setMethod("colCummins", "timeSeries", function(x, na.rm = FALSE, ...)
setDataPart(x, callGeneric(getDataPart(x), na.rm = na.rm, ...)))
# ------------------------------------------------------------------------------
setMethod("colCumprods", "matrix", function(x, na.rm = FALSE, ...)
{
if (na.rm)
x <- na.omit(x)
ans <- apply(x, 2, cumprod, ...)
# special treatment when x has one row because apply returns a vector
if (NROW(x) == 1)
ans <- matrix(ans, nrow = 1, dimnames = dimnames(x))
ans
})
# ------------------------------------------------------------------------------
setMethod("colCumprods", "timeSeries", function(x, na.rm = FALSE, ...)
setDataPart(x, callGeneric(getDataPart(x), na.rm = na.rm, ...)))
# ------------------------------------------------------------------------------
setMethod("colCumreturns", "matrix",
function(x, method = c("geometric", "simple"), na.rm = FALSE, ...)
{
# A function implemented by Diethelm Wuertz and Yohan Chalabi
# Description:
# Cumulates Returns from a stream of returns
# Arguments:
# x : a matrix object
# method : generate geometric or simple returns,
# default "geometric".
# FUNCTION:
# Handle Missing Values:
if (na.rm) x <- na.omit(x, ...)
method <- match.arg(method)
# Return Value
switch(method,
"geometric" = colCumsums(x),
"simple" = colCumprods(1+x) - 1)
})
# ------------------------------------------------------------------------------
setMethod("colCumreturns", "timeSeries",
function(x, method = c("geometric", "simple"), na.rm = FALSE, ...)
{
# A function implemented by Diethelm Wuertz and Yohan Chalabi
# Description:
# Cumulates Returns from a stream of returns
# Arguments:
# x : a timeSeries object
# method : generate geometric or simple returns,
# default "geometric".
# FUNCTION:
# Handle Missing Values:
if (na.rm) x <- na.omit(x, ...)
method <- match.arg(method)
# Return Value
switch(method,
"geometric" = colCumsums(x),
"simple" = colCumprods(1+x) - 1)
})
################################################################################
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