Delt: Calculate Percent Change In R-Finance/quantmod: Quantitative Financial Modelling Framework

Description

Calculate the k-period 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.

Usage

 `1` ```Delt(x1, x2 = NULL, k = 0, type = c("arithmetic", "log")) ```

Arguments

 `x1` m x 1 vector `x2` m x 1 vector `k` change over `k`-periods. default k=1 when x2 is NULL. `type` type of difference. log or arithmetic (default).

Details

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(t-k))

Arithmetic differences are calculated: Lag = (x2(t) - x1(t-k))/x1(t-k)

Value

An matrix of `length(x1)` rows and `length(k)` columns.

Author(s)

Jeffrey A. Ryan

`OpOp` `OpCl`
 ```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 ```