From c9ca2ad725016c805d715bd64168ba08611c8563 Mon Sep 17 00:00:00 2001 From: JustinMShea Date: Sat, 21 Aug 2021 16:56:45 -0500 Subject: [PATCH] #51 comment out and mark --- R/fitTsfmUpDn.r | 11 ++++++----- 1 file changed, 6 insertions(+), 5 deletions(-) diff --git a/R/fitTsfmUpDn.r b/R/fitTsfmUpDn.r index c8947acd..61455ede 100644 --- a/R/fitTsfmUpDn.r +++ b/R/fitTsfmUpDn.r @@ -116,13 +116,14 @@ 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 - # 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)))) - } + # 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)))) + #} mkt <- dat.xts[,mkt.name] # up market