logReturns: geometric investment results

In AndreMikulec/tradeModel: Quantitive Mathematics and Financial Prediction

Description

xTs values less that zero will generate a numeric error

Usage

logReturns(xTs = NULL)

Arguments

xTs	xts object of arithmatic returns

Value

xts object of geometric returns

Examples

## Not run: 
# > require(xts)
# > xTs  <- xts(10:12,zoo::as.Date(0:2))
# > lr <- logReturns(xTs)
# > lr
#                         logrets
# 1970-01-01 0.000000000000000000
# 1970-01-02 0.095310179804324768
# 1970-01-03 0.087011376989629685
#
# > as.vector(coredata(exp(cumsum(lr)) * 10L))
# [1] 10.000000000000000 10.999999999999998 11.999999999999996

## End(Not run)

AndreMikulec/tradeModel documentation built on May 23, 2019, 8 p.m.