promptBeta | R Documentation |
Returns betas of futures contracts versus front futures contract.
promptBeta(x = x, period = "all", betatype = "all", output = "chart")
x |
Wide dataframe with date column and multiple series columns (multivariate). |
period |
"all" or numeric period of time in last n periods as character eg "100". |
betatype |
"all" "bull" "bear". |
output |
"betas" or "chart" |
betas data frame or plotly chart of betas
Philippe Cote
## Not run: x <- dflong %>% dplyr::filter(grepl("CL", series)) x <- x %>% dplyr::mutate(series = readr::parse_number(series)) %>% dplyr::group_by(series) x <- RTL::returns(df = x, retType = "abs", period.return = 1, spread = TRUE) x <- RTL::rolladjust(x = x, commodityname = c("cmewti"), rolltype = c("Last.Trade")) x <- x %>% dplyr::filter(!grepl("2020-04-20|2020-04-21", date)) promptBeta(x = x, period = "all", betatype = "all", output = "chart") promptBeta(x = x, period = "all", betatype = "all", output = "betas") promptBeta(x = x, period = "100", betatype = "all", output = "betas") ## End(Not run)
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