returns: Compute absolute, relative or log returns.

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

Compute absolute, relative or log returns.

Description

Computes periodic returns from a dataframe ordered by date

Usage

returns(df = dflong, retType = "abs", period.return = 1, spread = FALSE)

Arguments

df	Long dataframe with colnames = c("date","value","series"). character
retType	"abs" for absolute, "rel" for relative, or "log" for log returns. character
period.return	Number of rows over which to compute returns. numeric
spread	TRUE if you want to spread into a long dataframe. logical

Value

A dataframe object of returns. tibble

Author(s)

Philippe Cote

Examples

x <- dflong %>% dplyr::filter(grepl("CL01", series))
returns(df = x, retType = "abs", period.return = 1, spread = TRUE)

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