to_weekly: Function to convert from daily to weekly returns.
In PCRA: Companion to Portfolio Construction and Risk Analysis

to_weekly

R Documentation

Function to convert from daily to weekly returns.

to_weekly will convert daily returns to weekly returns, while allowing the user flexibility in the choice of which day to end the week.

to_weekly(
  daily,
  days_in_week = 5,
  week_ending_day_str = c("Monday", "Tuesday", "Wednesday", "Thursday", "Friday",
    "Saturday", "Sunday")
)

`daily`	An xts object of daily returns.
`days_in_week`	Default 5.
`week_ending_day_str`	controls what is the week end day. If the week_ending_day is “Wednesday”, then Wednesday is the end of a week. It means the return from previous Thursday to current Wednesday will be included in current Wednesday week’s cumulative return. If the beginning of the dataset is before week_ending_day (in this case, Wednesday) , the first week’s return would be from the begining of the dataset to the first week_ending day. If the last week is short of the full week,i.e.if week_ending_day is ’’Friday” and 2015-12-31 is a Thursday, then the last four day return will be labeled as 2016-01-01.