From: ManojW <manojsw_at_gmail.com>

Date: Thu 16 Jun 2005 - 10:45:48 EST

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Thu Jun 16 10:49:21 2005

Date: Thu 16 Jun 2005 - 10:45:48 EST

Greetings,

Can anyone suggest me if we can vectorize the following problem effectively?

I have two datasets, one dataset is portfolio of stocks returns on a historical basis and another dataset consist of a bunch of factors (again on a historical basis). I intend to compute a rolling n-day sensitivitiesfor each stock for each factor, so the output will be a data frame with <ticker><dt><sensitivities>.

How would you go onto vector this situation effectively?

I end up with a psuedo code like this:

# For each date For curr dt in all dates

# Get Universe of stocks as of that date

Get Universe for curr date

# Calculate Sensitivity for each factor between n days back

dt to curr date sensitivity = sapply(univ{ticker},CalcSensitivity,n_days_back_dt,dt) Next date

I would highly appreciate if the above logic could be improved (if at all) by a more effective solution since I do get into such situations on a regular basis.

Thanks in advance

Cheers

Manoj

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Thu Jun 16 10:49:21 2005

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