realized_compute | R Documentation |
Compute realized gains and realized losses as either simple counts, total quantities, expected returns and financial duration.
realized_count( portfolio_quantity, portfolio_price, transaction_quantity, transaction_price, transaction_type, allow_short = TRUE, realized_only = FALSE ) realized_total( portfolio_quantity, portfolio_price, transaction_quantity, transaction_price, transaction_type, allow_short = TRUE, realized_only = FALSE ) realized_value( portfolio_quantity, portfolio_price, transaction_quantity, transaction_price, transaction_type, allow_short = TRUE, realized_only = FALSE ) realized_duration( portfolio_quantity, portfolio_price, transaction_quantity, transaction_price, transaction_type, previous_transaction_datetime, previous_datetime, transaction_datetime, allow_short = TRUE, realized_only = FALSE ) realized_compute( portfolio_quantity, portfolio_price, transaction_quantity, transaction_price, transaction_type, previous_transaction_datetime, previous_datetime, transaction_datetime, transaction_asset, allow_short = TRUE, realized_only = FALSE, method = "all" ) realized_empty(transaction_asset, method = "all")
portfolio_quantity |
Numeric vector. The portfolio quantities of assets into the investor's portfolio. |
portfolio_price |
Numeric vector. The portfolio prices of assets into the investor's portfolio. |
transaction_quantity |
Numeric value. The quantity of the traded asset. |
transaction_price |
Numeric value. The market price of the traded asset. |
transaction_type |
Character string. Either "B" = buy or "S" = sell. |
allow_short |
Logical. If TRUE short positions are allowed, otherwise only long positions are allowed. |
realized_only |
Logical. If TRUE only realized gains and realized losses are computed. Otherwise also paper gains and paper losses on excess quantity of the traded asset are computed. |
previous_transaction_datetime |
POSIXct value. The portfolio date-time related to the last transaction of the traded asset. |
previous_datetime |
POSIXct value. The date-time of the last transaction performed by the investor. |
transaction_datetime |
POSIXct value. The date-time at which the transaction is going to occur. |
transaction_asset |
Character string. The name of the traded asset. |
method |
Character string. The method used to compute papers. Allowed values are "count", "total", "value", "duration" and "all". |
The described functions have different return behaviors
realized_compute
returns a data frame
containing the values of realized and paper gains and losses computed by
means of the chosen method on each portfolio assets.
realized_count
returns a named vector containing the values
of realized and paper gains and losses computed using the count method.
realized_total
returns a named vector containing the values
of realized and paper gains and losses computed using the total method.
realized_value
returns a named vector containing the values
of realized and paper gains and losses computed using the value method.
realized_duration
returns a named vector containing the values
of realized and paper gains and losses computed using the duration method.
realized_empty
returns a named vector containing empty values
of realized and paper gains and losses computed using the chosen method.
In particular:
RG_"method"
contains Realized Gains results
RL_"method"
contains Realized Losses results
PG_"method"
contains Paper Gains results
PL_"method"
contains Paper Losses results
realized_count
: Computation, as simple counts, of realized
gains and realized losses of the traded asset.
realized_total
: Computation, as total quantity, of realized
gains and realized losses of the traded asset.
realized_value
: Computation, as expected return, of
realized gains and realized losses of the traded asset.
realized_duration
: Computation, as financial duration, of
realized gains and realized losses of the traded asset.
realized_compute
: Wrapper that calls other realized_. functions to
compute realized gains and realized losses of the traded asset based on the
chosen method.
realized_empty
: Simple function to obtain empty results for
realized and paper computations based on the chosen method.
paper_compute
, gains_losses
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