compoundInterest: compute compound interest

Description Usage Arguments Details Value References Examples

Description

Compute compound interest for a given number of periods, compounding with an indicated frequency per period.

Usage

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compoundInterest(interest,periods=1,frequency=1,net.value=FALSE)

simple2logReturns(R)

Arguments

interest

rate of interest per period (usually per year)

periods

number of periods over which to compound

frequency

number of times per period to compound; frequency=Inf to convert simple to log returns

net.value

if TRUE, return the total value per unit invested; otherwise return net increase = (net value - 1)

R

simple interest to be converted to log(returns)

Details

These functions are vectorized for all arguments. (The code uses optionally expm1(x) = (exp(x) - 1) and log1p(x)=(log(1+x) which can preserve numerical precision for x very close to 0.)

Value

vector of the length of the longest argument.

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, p. 6)

Examples

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# "Net Value" column of Tsay Table 1.1, p. 4
compoundInterest(0.1,
  frequency=c(1, 2, 4, 12, 52, 365, Inf),
  net.value=FALSE)
# Example 1.1, p. 6
compoundInterest(.0446, freq=Inf)
# Inverse of Example 1.1
simple2logReturns(.0456)

FinTS documentation built on May 29, 2017, 9:08 a.m.