library(FRAPO) library(fGarch) library(fMultivar) library(sn) library(fPortfolio) library(PerformanceAnalytics) ## Preparing FX-data / returns data(ESCBFX) FXDaily <- timeSeries(ESCBFX, charvec = rownames(ESCBFX)) DDates <- time(FXDaily) WedDays <- isWeekday(DDates, wday = 3) FirstWed <- head(which(WedDays, arr.ind = TRUE), 1) LastWed <- tail(which(WedDays, arr.ind = TRUE), 1) AllWedDays <- timeSequence(from = DDates[FirstWed], to = DDates[LastWed], by = "week") DumWed <- timeSeries(rep(1, length(AllWedDays)), charvec = AllWedDays) FXWeekly <- interpNA(cbind(DumWed, FXDaily), method = "before")[AllWedDays, -1] assetsNames <- Anames <- FxNames <- colnames(FXWeekly) FxPrice <- 1 / FXWeekly FxRet <- returns(FxPrice, percentage = TRUE, type = "discrete", trim = TRUE) FxRetSub <- window(FxRet, start = start(FxRet), end = time(FxRet)[520]) ## Setting parameters / initializing objects J <- 1000 N <- ncol(FxPrice) Eperiods <- time(FxRet)[-c(1:519)] Speriods <- time(FxRet)[1:length(Eperiods)] LengthBack <- length(Speriods) WEP <- WMD <- WND <- matrix(NA, nrow = LengthBack, ncol = N) x0 <- rep(0, N + 1) pprior <- matrix(rep(1 / J, J), ncol = 1)