capser: Capping a series to bounds

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

The values of a series that are absolute greater than min and/or max are capped to these specified values.

Usage

capser(y, min, max)

Arguments

y	Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported.
min	Numeric, minimum value for the series.
max	Numeric, maximim value for the series.

Value

An object of the same class as y, containing the truncated series.

Methods

y = "data.frame"

The calculation is applied per column of the data.frame and only if all columns are numeric.

y = "matrix"

The calculation is applied per column of the matrix.

y = "mts"

The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.

y = "numeric"

Calculation of the es trend.

y = "timeSeries"

The calculation is applied per column of the timeSeries object and an object of the same class is returned.

y = "ts"

Calculation of the es trend. The attributes are preserved and an object of the same class is returned.

y = "xts"

Calculation of the es trend. The attributes are preserved and an object of the same class is returned.

y = "zoo"

Calculation of the es trend. The attributes are preserved and an object of the same class is returned.

Author(s)

Bernhard Pfaff

See Also

trdbilson, trdbinary, trdes, trdhp, trdsma, trdwma

Examples

data(StockIndex)
y <- StockIndex[, "SP500"]
cs <- capser(y, min = 100, max = 200)
head(cs)

FRAPO documentation built on May 2, 2019, 6:33 a.m.