RelativeWeights: Retrieving the relative weights of the assets in the index
In IndexConstruction: Index Construction for Time Series Data

Description Usage Arguments Value References Examples

relativeWeights retrieves the relative weights of the assets in the index from the absolute weights expressed in shares of the assets. The latter is a direct output of indexComp.

1	relativeWeights(price, index.weights)

`price`	An xts object with the price data. An entry is always required.
`index.weights`	A vector with the absolute weights expressed as number of shares of each asset. The weights are provided by `indexComp`. They can be also easily derived from the market capitalization by dividing with the respective price.

The relative weights of the assets in the Index.

Trimborn, S. and Haerdle, W.K. (2018). CRIX an Index for cryptocurrencies, Journal of Empirical Finance 49, pp. 107-122. https://doi.org/10.1016/j.jempfin.2018.08.004

data(CryptoData)

const.names = c("btc", "eth", "xrp", "ltc", "xmr")
index.weights = c(16136712, 88440036, 36856524148, 49589181, 13859864)

relativeWeights(price = price["2017-02-01", const.names], index.weights = index.weights)