Delt: Calculate Percent Change

DeltR Documentation

Calculate Percent Change

Description

Calculate the k-period percent difference within one series, or between two series. Primarily used to calculate the percent change from one period to another of a given series, or to calculate the percent difference between two series over the full series.

Usage

Delt(x1, x2 = NULL, k = 0, type = c("arithmetic", "log"))

Arguments

x1

m x 1 vector

x2

m x 1 vector

k

change over k-periods. default k=1 when x2 is NULL.

type

type of difference. log or arithmetic (default).

Details

When called with only x1, the one period percent change of the series is returned by default. Internally this happens by copying x1 to x2. A two period difference would be specified with k=2.

If called with both x1 and x2, the difference between the two is returned. That is, k=0. A one period difference would be specified by k=1. k may also be a vector to calculate more than one period at a time. The results will then be an m x length(k)

Arithmetic differences are used by default: Lag = (x2(t) - x1(t-k))/x1(t-k)

Log differences are calculated: Lag = log(x2(t)/x1(t-k))

Value

An matrix of length(x1) rows and length(k) columns.

Author(s)

Jeffrey A. Ryan

See Also

OpOp OpCl

Examples

Stock.Open <- c(102.25,102.87,102.25,100.87,103.44,103.87,103.00)
Stock.Close <- c(102.12,102.62,100.12,103.00,103.87,103.12,105.12)

Delt(Stock.Open)                    #one period pct. price change
Delt(Stock.Open,k=1)                #same
Delt(Stock.Open,type='arithmetic')  #using arithmetic differences (default)
Delt(Stock.Open,type='log')         #using log differences

Delt(Stock.Open,Stock.Close)        #Open to Close pct. change
Delt(Stock.Open,Stock.Close,k=0:2)  #...for 0,1, and 2 periods


quantmod documentation built on May 29, 2024, 8:03 a.m.