fin-durations: Durations from a 'timeSeries'

In timeSeries: Financial Time Series Objects (Rmetrics)

Durations from a 'timeSeries'

Description

Computes durations from an object of class "timeSeries".

Usage

  
durations(x, trim = FALSE, units = c("secs", "mins", "hours", "days"))   

Arguments

x	an object of class "timeSeries".
trim	a logical value. By default TRUE, the first missing observation in the return series will be removed.
units	a character value or vector which allows to set the units in which the durations are measured. By default durations are measured in seconds.

Details

Durations measure how long it takes until we get the next record in a timesSeries object. We return a time series in which for each time stamp we get the length of the period from when we got the last record. This period is measured in length specified by the argument units, for daily data use units="days".

Value

an object of class "timeSeries"

Examples

## Compute Durations in days for the MSFT Sereries - 
   head(durations(MSFT, units = "days"))
   head(durations(MSFT, trim = TRUE, units = "days"))

## The same in hours - 
   head(durations(MSFT, trim = TRUE, units = "hours"))

timeSeries documentation built on Sept. 30, 2024, 9:15 a.m.