joshuaulrich

#include <stdlib.h>
#include <stdio.h>
#include <math.h>

int main ( int argc, char *argv[] )
{
  int n, r, k;
  n = atoi(argv[1]);  // # of available elements
  k = atoi(argv[2]);  // # of permutation index
  r = atoi(argv[3]);  // # of elements to be selected

joshuaulrich

require(quantmod)

#get index tickers without the ^ which we will add in the getSymbols
tckrs=c("GSPC","TNX","DJUBS","W3DOW","W5DOW")
#name the indexes
names(tckrs) <- c("S&P 500","US 10y Yld","DJ Commodity","Developed","Developing")

#use paste to add the ^ to the index tickers
getSymbols(paste("^",tckrs,sep=""), from="1986-01-01", to=Sys.Date())

joshuaulrich

library(quantmod)

# we're pulling the Google VIX index (VXGOG) but this also works for VXAPL, VXGS etc.
# see http://www.cboe.com/micro/equityvix/introduction.aspx
url <- "http://www.cboe.com/publish/ScheduledTask/mktdata/datahouse/VXGOGDailyPrices.csv"

# use read.zoo to read the data directly into a zoo object
z <- read.zoo(url, header=TRUE, sep=",", skip=1, FUN=as.Date, format="%m/%d/%Y")

# convert to xts

joshuaulrich

objSize <- function(n=10, decreasing=TRUE) {
  # list 'n' objects, sorted by size
  l <- ls(envir=parent.frame())
  N <- seq(min(length(l),n))
  x <- setNames(lapply(l, object.size), l)
  y <- x[order(unlist(x),decreasing=decreasing)]
  z <- sapply(y, function(a) capture.output(print(a, units="auto")))
  return(z[N])
}

joshuaulrich

nonIndexAttr <- function(x) {
  a <- attributes(x)
  n <- names(a)[!names(a) %in% "index"]
  a[sort(n)]
}

joshuaulrich

/*  Copyright (C) 2017  Joshua M. Ulrich
 *
 *  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

joshuaulrich

> f <- function(...) {
+     promises(environment())
+ }

> g <- function(x = 3, ...) {
+     z <- 4
+     f(z = z, ..., x = x)
+ }

> h <- function(..., a = 2) {

joshuaulrich

library(xts)
library(microbenchmark)
set.seed(21)
m <- matrix(1,5e6,50)
x <- .xts(m,1:nrow(m))
i <- sort(sample(nrow(m),2e4))
j <- sample(50, 10)
I <- i[1]
J <- j[1]
microbenchmark(m[i,], x[i,], unit="us")    # faster than matrix for rows

joshuaulrich

/*
 *  Copyright (C) 2017  Joshua M. Ulrich
 *
 *  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

joshuaulrich

recplot <- function(var, rec.ind, maintitle = "", ylab = "", ylim = NULL)
{
  # Give each recession a separate number, so we can split data by recession
  # and calculate the necessary values to pass to addPolygon() for shading
  r <- rle(as.integer(rec.ind))
  r$values[r$values > 0] <- seq_len(sum(r$values))
  rec <- xts(inverse.rle(r), index(rec.ind))

  # Merge variable and recession data, as a left-join so we do not have
  # observations that only exist in the recession indicator data