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).
period	"all" or numeric period of time in last n periods as character eg "100".
betatype	"all" "bull" "bear".
output	"betas" or "chart"

Value

betas data frame or plotly chart of betas

Author(s)

Philippe Cote

Examples

## 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)

RTL documentation built on June 17, 2022, 5:06 p.m.