I don't use the mac binaries - as building from source on mac is very similar to *nix, and it is infinitely easier to maintain the specific releases of packages you need (without having to rely on CRAN binaries).
Read the [R] install guides on how to get up and running with the proper build chain if you are interested in freeing yourself of what is essentially a dependency that is often unresolvable (binary pkg version - R version). The above said, I've sent xts-0.8-0 to CRAN, and hopefully we'll see it on the mirrors over the next few days. If you set type='source' and have the dev tools already you can try and install from source on R-forge of course and be done with the issue. Best, Jeff On Tue, Feb 22, 2011 at 11:13 AM, Henry Ward <[email protected]> wrote: > Hi Jeff, > Thank you for your assistance. Below is my configuration before updating > from R-Forge. After updating xts from R-Forge with > > > install.packages("xts", repos="http://R-Forge.R-project.org";) > > I restart R and it tells me that xts was built under R 2.12.2 which I don't > have. I've updated to the latest 2.12.1 but can't seem to find an xts > repository between the cutting edge R-Forge and the older CRAN. > > Thank you for posting the update on CRAN. If you could shoot me a quick > email letting me know when you might be able to do it I'd appreciate. My > project requires the marginal VaR calculation. Thanks. > > > Henry > > > > sessionInfo() > R version 2.12.0 (2010-10-15) > Platform: i386-apple-darwin9.8.0/i386 (32-bit) > > locale: > [1] en_US.UTF-8/en_US.UTF-8/C/C/en_US.UTF-8/en_US.UTF-8 > > attached base packages: > [1] stats graphics grDevices utils datasets methods base > > other attached packages: > [1] PerformanceAnalytics_1.0.3.2 xts_0.7-5 zoo_1.6-4 > > loaded via a namespace (and not attached): > [1] grid_2.12.0 lattice_0.19-13 tools_2.12.0 > > > install.packages("xts", repos="http://R-Forge.R-project.org";) > trying URL ' > http://R-Forge.R-project.org/bin/macosx/leopard/contrib/2.12/xts_0.7-6.17.tgz > ' > Content type 'application/x-gzip' length 531338 bytes (518 Kb) > opened URL > ================================================== > downloaded 518 Kb > > > The downloaded packages are in > > > /var/folders/J2/J25yATorFriawVUQyHOGvU+++TI/-Tmp-//RtmpTWDCru/downloaded_packages > > > > > > > On Feb 22, 2011, at 8:24 AM, Jeffrey Ryan wrote: > > > 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. > -- 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.
