compute: Compute Metrics

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Metric object is not evaluated until compute() method is called on it. Method would display calculation progress and would use Metric object's disk cache to store any computational results obtained in the process.

Usage

compute(...)

Arguments

...	One or multiple objects of class Metric.

Value

One or multiple objects of class Metric.

Author(s)

Kostin Andrey <[e-mail]>

Examples

## Not run: 
data(aapl.data) 
data(goog.data) 
data(spy.data) 
portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
result=compute(variance(portfolio),variance(positionGOOG),variance(positionAAPL)) 
result[[1]][1:10,]

result=compute(variance(portfolio)-variance(positionGOOG))
result[[1]][1:10,]

dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)
portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
resultsSamplingInterval='60s')
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300) 
positionGOOG=position_add(portfolio,'GOOG',150) 
result=compute(variance(positionC),variance(positionGOOG),variance(positionAAPL)) 
result[[1]][1:10,]

## End(Not run)

PortfolioEffectHFT documentation built on May 2, 2019, 11:52 a.m.