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# This library is free software; you can redistribute it and/or
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# modify it under the terms of the GNU Library General Public
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# License as published by the Free Software Foundation; either
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# version 2 of the License, or (at your option) any later version.
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# This library is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR Description. See the
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# GNU Library General Public License for more details.
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# You should have received a copy of the GNU Library General
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# Public License along with this library; if not, write to the
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# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
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################################################################################
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# FUNCTION: PRINT AND PLOT METHODS:
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# plot.fPORTFOLIO S3 Plot method for 'fPORTFOLIO' objects
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################################################################################
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function(x, which = "ask", control = list(), ...)
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# A function implemented by Rmetrics
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# Plot method for an object of class 'fPORTFOLIO'
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# This method can also be used for plotting graphs fitted by
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# the function 'garch' from the contributed R package 'tseries'.
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Statistics = getStatistics(x)
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# Use default, if xlim and ylim is not specified ...
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Sigma = Statistics$Sigma
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yLim = range(mu) + 0.25*c(-diff(range(mu)), diff(range(mu)))
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# First, take care that all assets appear on the plot ...
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# sqrtSig = sqrt(diag(Sigma))
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# max(sqrtSig))+ c(-0.4*diff(range(sqrtSig)), 0.1*diff(range(sqrtSig)))
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xRange = range(frontierPoints(x)[, 1])
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xLimAssets = c(xRange[1] - 2.5*xDiff/10, xRange[2] + xDiff/10)
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# ... second take care that the whole frontier appears on the plot:
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fullFrontier = frontierPoints(x)
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xLimFrontier = range(fullFrontier[, 1])
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xLim = range(c(xLimAssets, xLimFrontier))
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# YC: merge with user control list
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con <- c(control, frontierPlotControl())
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# YC: remove double entries and keep user args
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con <- con[unique(names(con))]
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attr(x, "control") <- con
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"Plot Efficient Frontier",
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"Add Minimum Risk Portfolio",
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"Add Tangency Portfolio",
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"Add Risk/Return of Single Assets",
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"Add Equal Weights Portfolio",
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"Add Two Asset Frontiers [LongOnly Only]",
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"Add Monte Carlo Portfolios",
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"Add Sharpe Ratio [Markowitz PF Only]"),
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".fportfolio.plot.1", ".fportfolio.plot.2", ".fportfolio.plot.3",
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".fportfolio.plot.4", ".fportfolio.plot.5", ".fportfolio.plot.6",
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".fportfolio.plot.7", ".fportfolio.plot.8"),
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# ------------------------------------------------------------------------------
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# Plot Efficient Frontier
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con = attr(x, "control")
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xLab = "Mean-Var Target Risk"
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} else if (Type == "CVaR") {
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xLab = "-CVaR Target Risk"
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object = x, xlim = con$xlim, ylim = con$ylim,
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pch = 19, cex = 0.75, title = FALSE,
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las = ifelse(is.null(con$las), 0, con$las))
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main = ifelse(is.null(con$main), "Efficient Frontier", con$main),
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xlab = ifelse(is.null(con$xlab), xLab, con$xlab),
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ylab = ifelse(is.null(con$ylab), "Target Return", con$ylab))
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# ------------------------------------------------------------------------------
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.fportfolio.plot.2 <-
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# Add Minimum Risk Portfolio
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con = attr(x, "control")
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col = con$minvariance.col,
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cex = con$minvariance.cex,
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# ------------------------------------------------------------------------------
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.fportfolio.plot.3 <-
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# Add Tangency Portfolio
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con = attr(x, "control")
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col = con$tangency.col,
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cex = con$tangency.cex,
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col = con$tangency.col,
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cex = con$tangency.cex)
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# ------------------------------------------------------------------------------
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.fportfolio.plot.4 <-
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# Add Risk/Return of Single Assets
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con = attr(x, "control")
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Palette = match.fun(con$singleAsset.col)
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col = Palette(getNAssets(x))
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cex = con$singleAsset.cex,
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# ------------------------------------------------------------------------------
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.fportfolio.plot.5 <-
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# Add Equal Weights Portfolio
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con = attr(x, "control")
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col = con$equalWeights.col,
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cex = con$equalWeights.cex,
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# ------------------------------------------------------------------------------
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.fportfolio.plot.6 <-
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# Add Two Asset Frontiers [0-1 PF Only]
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con = attr(x, "control")
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lines(frontierPoints(object = x), col = "grey")
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twoAssetsLines(object = x, col = con$twoAssets.col)
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Palette = match.fun(con$singleAsset.col)
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col = Palette(getNAssets(x))
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cex = con$singleAsset.cex,
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# ------------------------------------------------------------------------------
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.fportfolio.plot.7 <-
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# Add Monte Carlo Portfolios
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con = attr(x, "control")
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col = con$monteCarlo.col,
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cex = con$monteCarlo.cex,
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mcSteps = con$mcSteps)
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# ------------------------------------------------------------------------------
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.fportfolio.plot.8 <-
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# Add Sharpe Ratio [MV PF Only]
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con = attr(x, "control")
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col = con$sharpeRatio.col,
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cex = con$sharpeRatio.cex,
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################################################################################
added
removed
R/methods-plot.R
