Hi Henry, I think you have an issue with xts (you didn't include your info). The version from R-forge (xts) works fine, but the CRAN version of xts seems to cause an issue.
I'll figure out what minimal version of xts you need for PA, and make sure that is available on CRAN (as well as have Brian/Peter update the requirements for PA) Best, Jeff On Tue, Feb 22, 2011 at 10:17 AM, Henry Ward <[email protected]> wrote: > Hi everyone (& Brian), > > I have been using the excellent package PerformanceAnalytics with success. > Yesterday I tried computing component and marginal VaR with the package on > my data and I get an error with marginal VaR. Component VaR is fine but > marginal VaR fails with either the default even-weights or when I pass in a > weight vector. Below is a simple recreation of the error with EDHEC > dataset. > > Can somebody help with the marginal VaR calculation? Thanks! > > Henry > > > > data(edhec) > > VaR(edhec) > Convertible Arbitrage CTA Global Distressed Securities Emerging Markets > Equity Market Neutral Event Driven > VaR -0.03247395 -0.03380228 -0.02749240 > -0.06363081 -0.01134637 -0.02812515 > Fixed Income Arbitrage Global Macro Long/Short Equity Merger Arbitrage > Relative Value Short Selling > VaR -0.0246791 -0.01548247 -0.03037494 -0.01486869 > -0.01926435 -0.07431463 > Funds of Funds > VaR -0.02502852 > > VaR(edhec, portfolio_method='component') > no weights passed in, assuming equal weighted portfolio > $MVaR > [,1] > [1,] 0.01459739 > > $contribution > Convertible Arbitrage CTA Global Distressed Securities > Emerging Markets > 2.167008e-03 -9.876816e-05 1.720857e-03 > 3.691141e-03 > Equity Market Neutral Event Driven Fixed Income Arbitrage > Global Macro > 4.935426e-04 1.780578e-03 1.486652e-03 > 9.209540e-04 > Long/Short Equity Merger Arbitrage Relative Value > Short Selling > 1.784986e-03 6.778369e-04 1.324299e-03 > -3.150584e-03 > Funds of Funds > 1.798890e-03 > > $pct_contrib_MVaR > Convertible Arbitrage CTA Global Distressed Securities > Emerging Markets > 0.148451703 -0.006766151 0.117887954 > 0.252863009 > Equity Market Neutral Event Driven Fixed Income Arbitrage > Global Macro > 0.033810326 0.121979204 0.101843703 > 0.063090308 > Long/Short Equity Merger Arbitrage Relative Value > Short Selling > 0.122281163 0.046435481 0.090721618 > -0.215831957 > Funds of Funds > 0.123233638 > > > VaR(edhec, portfolio_method='marginal') > no weights passed in, assuming equal weighted portfolio > Error in `[.xts`(R, , names(weights)) : 'i' or 'j' out of range > > > > > > [[alternative HTML version deleted]] > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > -- Jeffrey Ryan [email protected] www.lemnica.com [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
