Description Usage Arguments Value Author(s) See Also Examples
Creates new empty estimator object.
1 | estimator_create(asset, fromTime, toTime, priceData)
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asset |
Unique identifier of the instrument |
fromTime |
Start of market data interval in "yyyy-MM-dd hh:mm:ss" format when internal market data is used. Offset from last available date/time by N days is denoted as "t-N" (e.g. "t-7" denotes offset by 7 days). |
toTime |
End of market data interval in "yyyy-MM-dd hh:mm:ss" format when internal market data is used. Offset from last available date/time by N days is denoted as "t-N" (e.g. "t-7" denotes offset by 7 days). |
priceData |
Vector of (time, price) observations for asset when external market data is used. |
estimator object
Kostin Andrey <andrey.kostin@portfolioeffect.com>
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 | ## Not run:
data(goog.data)
estimator=estimator_create(priceData=goog.data)
estimator_settings(estimator,resultsSamplingInterval='60s')
util_plot2d(variance_rv(estimator),title="RV")
estimator=estimator_create(asset='AAPL',fromTime="2014-09-01 09:00:00",
toTime="2014-09-14 16:00:00")
estimator_settings(estimator,resultsSamplingInterval='60s')
util_plot2d(variance_tsrv(estimator,K=2),title="TSRV")
estimator=estimator_create(asset='GOOG',fromTime="t-2", toTime="t")
estimator_settings(estimator,resultsSamplingInterval='60s')
util_plot2d(variance_mrv(estimator),title="MRV")
## End(Not run)
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