getTSR: getTSR

In QuantAndrew/QDataGet: Data getting functionns

Description

Get the TSR('time-stock-rtn') or TSFR('time-stock-factor-rtn') object by adding the period rtn between the rebalance date and the date_end((close of "date_end")/(prevclose of the day after "date")-1)) to the TS or TSF object.

Usage

getTSR(TS, dure = NULL, date_end_pad)

Arguments

TS	a TS or TSF object (See detail in getTS and getTSF)
dure	a period object from package lubridate. (ie. months(1),weeks(2). See example in trday.offset.) If null, then get periodrtn between date and the next date, else get periodrtn of 'dure' starting from date.
date_end_pad	a Date value, padding the NAs of the last date_end. if missing, calculated automatically.

Value

given a TS object,return a TSR object,a dataframe containing cols:

• stockID: the stockID contained in the index or BK

• date: the rebalance dates, with Date class

• date_end: the next rebalance dates, with Date class

• periodrtn:the period rtn between the rebalance date and the date_end

given a TSF object,return a TSFR object,a dataframe containing cols:

• stockID: the stockID contained in the index or BK

• date: the rebalance dates, with Date class

• factorscore:the factor score of the stocks on the rebalancing date

• date_end: the next rebalance dates, with Date class

• periodrtn:the period rtn between the rebalance date and the date_end

Author(s)

Ruifei.Yin

See Also

Other frame building functions: getRebDates, getTSF, getTS

Examples

## -- get a TSR object
RebDates <- getRebDates(as.Date('2011-03-17'),as.Date('2012-04-17'),'month')
TS <- getTS(RebDates,'EI000300') 
TSR <- getTSR(TS) # rebalance properly joined
require(lubridate)
TSR2 <- getTSR(TS,weeks(2)); TSR3 <- getTSR(TS,months(2))  # rebalance not properly joined
## -- get a TSFR object
factorFun <- "gf_demo"
factorPar <- list(0,1)
TSF <- getTSF(TS,factorFun,factorPar)
TSFR <-  getTSR(TSF)

QuantAndrew/QDataGet documentation built on May 14, 2019, 7:35 a.m.