fixed #51 with PerformanceAnalytics::ExcessReturns, issues remain wit…

…h the function related to #43

R/fitTsfmUpDn.R

@@ -97,8 +97,6 @@
 #'  summary(fitUpDn$Dn)
 #' 
 #' @export
-
-
 fitTsfmUpDn <- function(asset.names, mkt.name, rf.name=NULL, 
                         data=data, fit.method=c("LS","DLS","Robust"), 
                         control=fitTsfm.control(...),...) {
@@ -117,15 +115,13 @@ fitTsfmUpDn <- function(asset.names, mkt.name, rf.name=NULL,
   # extract columns to be used in the time series regression
   dat.xts <- merge(data.xts[,asset.names], data.xts[,mkt.name])
 
-  ### After merging xts objects, the spaces in names get converted to periods
-
-  # BROKEN convert all asset and factor returns to excess returns if specified
-  # if (!is.null(rf.name)) {
-  #  dat.xts <- "[<-"(dat.xts,,vapply(dat.xts, function(x) x-data.xts[,rf.name], 
-  #                                   FUN.VALUE = numeric(nrow(dat.xts))))
-  #} 
+  # Note `Return.excess` will modify variable names, so change back
+  dat.xts.names <- colnames(dat.xts)
+  dat.xts <- PerformanceAnalytics::Return.excess(R = dat.xts, 
+                                                 Rf = data.xts[ ,rf.name])
+  colnames(dat.xts) <- dat.xts.names
 
-  mkt <- dat.xts[,mkt.name]
+  mkt <- dat.xts[ ,mkt.name]
   # up market
   dataUp.xts <- dat.xts[mkt >= 0]