Description Usage Arguments Value Author(s) Examples
Computes relative magnitude of jumps in position returns.
1 | return_jump_size(asset)
|
asset |
Position object created using position_add( ) function |
Metric object
Kostin Andrey <andrey.kostin@portfolioeffect.com>
1 2 3 4 5 6 7 8 9 10 11 12 13 | ## Not run:
dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-30 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=list(return_jump_size(positionC),return_jump_size(positionGOOG),
return_jump_size(positionAAPL))
## End(Not run)
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