promptBeta: Computes betas of futures contracts with respect to the 1st...

In RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

Computes betas of futures contracts with respect to the 1st line contract

Description

Returns betas of futures contracts versus front futures contract.

Usage

promptBeta(x = x, period = "all", betatype = "all", output = "chart")

Arguments

x	Wide dataframe with date column and multiple series columns (multivariate). tibble
period	"all" or numeric period of time in last n periods as character eg "100". character
betatype	"all" "bull" "bear". character
output	"betas" or "chart". character

Value

betas data frame tibble or plotly chart of betas htmlwidgets

Author(s)

Philippe Cote

Examples

## Not run: 
 x <- dflong %>%
 dplyr::filter(grepl("CL",series)) %>%
 dplyr::mutate(series = readr::parse_number(series)) %>% dplyr::group_by(series) %>%
 RTL::returns(df = ., retType = "abs",period.return = 1,spread = TRUE) %>%
 RTL::rolladjust(x = .,commodityname = c("cmewti"),rolltype = c("Last.Trade")) %>%
 # removing the day it prices went negative...
 dplyr::filter(!date %in% c(as.Date("2020-04-20"),as.Date("2020-04-21")))
promptBeta(x = x, period = "all", betatype = "all", output = "chart")
promptBeta(x = x, period = "all", betatype = "bull", output = "betas")
promptBeta(x = x, period = "100", betatype = "bear", output = "betas")

## End(Not run)

RTL documentation built on Oct. 21, 2023, 1:06 a.m.