getEventRtn: getEventRtn

In QuantAndrew/QUtility:

Description

Given a event data(ussually a TS object), calculate the extra returns driven by the event.

Usage

getEventRtn(TS, holdingday, bmk = "EI000300", fee = 0,
  tradeType = c("close", "nextavg", "nextopen"))

getEventRtns(TS, holdingdays, bmk = "EI000300", fee = 0,
  tradeType = c("close", "nextavg", "nextopen"))

Arguments

TS	a TS object.
holdingday	a integer, giving the holding day.
bmk	a character string,giving the stockID of the benchmark index,eg. "EI000300".
fee	a mumeric, giving the one side fee of trading.
tradeType	a character string("close","nextavg","nextopen"),indicating the trading type.See detail in getPeriodrtn
holdingdays	a vector of integers,giving the list of holding days

Value

getEventRtn return a data frame with cols:"stockID","date","endT","rtn","bmkRtn","exRtn".

getEventRtns return a data frame(with cols same as return of getEventRtn),which is a rbind of returns of getEventRtn by different holdingdays.

Author(s)

Ruifei.Yin

Examples

eventRtn <- getEventRtn(TS,20)
eventRtns <- getEventRtns(head(TS,10),c(-10,-5,0,5,10))

QuantAndrew/QUtility documentation built on May 14, 2019, 7:36 a.m.