ecd.df2ts: Utility to standardize timeseries from data.frame to xts

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Utility to standardize timeseries from data.frame to xts

Description

This utility converts the df input to an xts object with columns and statistics required for the fitting/plot utility in the ecd package. The require columns are Date, Close, logr. This utility can also be used to convert the input from Quandl.

Usage

ecd.df2ts(
  df,
  date_format = "%m/%d/%Y",
  dt = "Date",
  col_in = "Close",
  col_out = "Close",
  do.logr = TRUE,
  rnd.zero = 0.01
)

Arguments

df	Data.frame of the time serie
date_format	Character, date format of the input date column. It can be NULL to indicate no date conversion is needed. Default: "%m/%d/%Y".
dt	Character, the name of the input date column. Default: "Date"
col_in	Character, the name of the input closing price column. Default: "Close"
col_out	Character, the name of the output closing price column. Default: "Close"
do.logr	logical, if TRUE (default), produce xts object of logr; otherwise, just the col_out column.
rnd.zero	numeric, a small random factor (scaled to sd of logr) to avoid an unreal peak of zero log-returns.

Value

The xts object for the time series

Examples

## Not run: 
ecd.df2ts(df)

## End(Not run)

ecd documentation built on May 10, 2022, 1:07 a.m.