Description Usage Arguments Details Value Author(s) See Also Examples
View source: R/OHLC.transformations.R
Calculate the kperiod 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.
1 
x1 
m x 1 vector 
x2 
m x 1 vector 
k 
change over 
type 
type of difference. log or arithmetic (default). 
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)
Log differences are used by default: Lag = log(x2(t)/x1(tk))
Arithmetic differences are calculated: Lag = (x2(t)  x1(tk))/x1(tk)
An matrix of length(x1)
rows and length(k)
columns.
Jeffrey A. Ryan
1 2 3 4 5 6 7 8 9  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
Delt(Stock.Open,Stock.Close) #Open to Close pct. change
Delt(Stock.Open,Stock.Close,k=0:2) #...for 0,1, and 2 periods

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