R-programming code to gather and prepare data for optimization -- 2
$10-30 USD
Paid on delivery
A program in R-programming language that performs the following:
1. Read in from csv the following data: Customer Number, Risk Parameter (from 0.00 to 0.40), list of eligible securities up to, say, 100 elements long, followed by an identical-length series of minimum weights and an identical-length series of maximum weights. The eligible securities will be in Bloomberg format ("SPX Index", "IBM Equity", etc). See attached sheet for example.
2. Loop through customers sequentially. Pull in daily security values (in one array/data frame) and monthly security values (in another array/data frame) from Bloomberg using something like this: a<-bdh(symbollist, "PX_LAST", options=opt,start.date=[url removed, login to view](begdate)), or pull in the data from Yahoo if you prefer. The time period to pull in should be specified in a defined parameter and may be different for dailies and monthlies.
3. Put all daily data in one (zoo) array and all monthly data in another array. Fill in NA values with [url removed, login to view] . Row names should be dates. Column names should be security names.
4. calculate single-period percentage changes, put in different (zoo) arrays for dailies and monthlies. Preserve row and column names.
5. Pass risk parameter, data arrays, and daily-change arrays via a function call to "SOMEOTHERFUNCTION" (defined elsewhere).
I have listed this as a "micro" project but bid appropriately if you don't believe it is.
Project ID: #14298243
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