returnconvert: Convert Returns from continuous to discrete and vice versa

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

Either continuous returns or discrete returns can be converted into the other type.

Usage

returnconvert(y, convdir = c("cont2disc", "disc2cont"), percentage = TRUE)

Arguments

y	Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported.
convdir	Character, the type of return conversion.
percentage	Logical, if TRUE (the default) the returns, y, are expressed as percentages.

Value

An object of the same class as y, containing the converted returns.

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 returns.

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 returns. The attributes are preserved and an object of the same class is returned.

y = "xts"

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

y = "zoo"

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

Author(s)

Bernhard Pfaff

Examples

data(StockIndex)
yc <- diff(log(StockIndex[, "SP500"])) * 100
yd <- returnseries(StockIndex[, "SP500"], method = "discrete",
                   percentage = TRUE, trim = TRUE)
yconv <- returnconvert(yd, convdir = "disc2cont",
                       percentage = TRUE)
all.equal(yc, yconv)

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