updates: Update results over time
In dispositionEffect: Analysis of Disposition Effect on Financial Portfolios

updates

R Documentation

Update results over time

Description

Update investor's portfolio, realized and paper results and time series disposition effect computations.

Usage

update_price(
  portfolio_quantity,
  portfolio_price,
  transaction_quantity,
  transaction_price,
  transaction_type
)

update_datetime(
  portfolio_quantity,
  portfolio_datetime,
  transaction_quantity,
  transaction_datetime,
  transaction_type
)

update_quantity(portfolio_quantity, transaction_quantity)

update_portfolio(
  portfolio,
  transaction_asset,
  transaction_quantity,
  transaction_price,
  transaction_datetime,
  transaction_type
)

update_realized_and_paper(realized_and_paper, new_realized_and_paper, method)

update_timeseries_DE(
  timeseries_DE,
  realized_and_paper,
  gainslosses,
  transaction_id,
  assets_time_series_DE = NULL,
  method
)

update_expectedvalue(realized_and_paper, num_transaction_assets)

Arguments

`portfolio_quantity`	Numeric value. The portfolio quantity of the traded asset.
`portfolio_price`	Numeric value. The portfolio price of the traded asset.
`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.
`portfolio_datetime`	POSIXct value. The date-time of the traded asset.
`transaction_datetime`	POSIXct value. The date-time at which the transaction is going to occur.
`portfolio`	Data frame of the investor's portfolio at time t.
`transaction_asset`	Character string. The name of the traded asset.
`realized_and_paper`	Data frame containing the realized and paper gains and losses results to be updated.
`new_realized_and_paper`	Data frame containing the realized and paper gains and losses results related to the new transaction.
`method`	Character string. The method used to compute papers. Allowed values are "count", "total", "value", "duration" and "all".
`timeseries_DE`	Data frame of time series disposition effect results.
`transaction_id`	Numeric, the id of transaction.
`assets_time_series_DE`	Character vector of assets' names as contained into `portfolio_transactions` on which to compute the time series disposition effect.
`num_transaction_assets`	Data frame containing the number of transactions for each asset traded by the investor.

Value

The updated input data.

Functions

update_price: Update the portfolio price of the traded asset.
update_datetime: Update the portfolio datetime of the traded asset.
update_quantity: Update the portfolio quantity of the traded asset.
update_portfolio: Update the portfolio with the new quantity, price and datetime of the traded asset.
update_realized_and_paper: Update the realized and paper gains and losses results with the results obtained on the last occurred transaction.
update_timeseries_DE: Update the time series disposition effect averaging values over time.
update_expectedvalue: Update the realized and paper gains and losses results averaging the total value by the number of transactions for each asset.