rebalance: Rebalance Portfolio

In PMwR: Portfolio Management with R

Rebalance Portfolio

Description

Compute the differences between two portfolios.

Usage

rebalance(current, target, price,
          notional = NULL, multiplier = 1,
          truncate = TRUE, match.names = TRUE,
          fraction = 1, drop.zero = FALSE,
          current.weights = FALSE,
          target.weights = TRUE)

## S3 method for class 'rebalance'
print(x, ..., drop.zero = TRUE)

replace_weight(weights, ..., prefix = TRUE, sep = "::")

Arguments

current	the current holdings: a (typically named) vector of position sizes; can also be a position
target	the target holdings: a (typically named) vector of weights; can also be a position
price	a numeric vector: the current prices; may be named
notional	a single number: the value of the portfolio; if missing, replaced by sum(current*prices)
multiplier	numeric vector, possibly named
truncate	truncate computed positions? Default is TRUE.
match.names	logical
fraction	numeric
x	an object of class rebalance.
...	rebalance: arguments passed to print; replace_weight: numeric vectors
drop.zero	logical: should instruments with no difference between current and target be included? Note the different defaults for computing and printing.
current.weights	logical. If TRUE (the default), the values in current are interpreted as weights. If FALSE, current is interpreted as a position (i.e. notional/number of contracts).
target.weights	logical. If TRUE (the default), the values in target are interpreted as weights. If FALSE, target is interpreted as a position (i.e. notional/number of contracts).
weights	a numeric vector with named components
sep	character
prefix	logical

Details

The function computes the necessary trades to move from the current portfolio to a target portfolio.

replace_weight is a helper function to split baskets into their components. All arguments passed via ... should be named vectors. If names are not syntactically valid (see make.names), quote them. The passed vectors themselves should be passed as named arguments: see examples.

Value

An object of class rebalance, which is a data.frame:

instrument	character, or NA when match.names is FALSE
price	prices
current	current portfolio
target	new portfolio
difference	the difference between current and target

Attached to the data.frame are several attributes:

notional	notional
match.names	logical
multiplier	multipliers

Author(s)

Enrico Schumann

References

Schumann, E. (2023) Portfolio Management with R. http://enricoschumann.net/R/packages/PMwR/; in particular, see
http://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#rebalance

See Also

journal

Examples

r <- rebalance(current = c(a = 100, b = 20),
               target  = c(a = 0.2, c = 0.3),
               price   = c(a = 1, b = 2, c = 3))
as.journal(r)

## replace_weight: the passed vectors must be named;
##                 'basket_3' is ignored because not
##                 component of weights is named
##                 'basket_3'

replace_weight(c(basket_1 = 0.3,
                 basket_2 = 0.7),
               basket_1 = c(a = 0.1, b = 0.4, c = .5),
               basket_2 = c(x = 0.1, y = 0.4, z = .5),
               basket_3 = c(X = 0.5, Z = 0.5),
               sep = "|")

PMwR documentation built on Oct. 19, 2023, 9:09 a.m.