Delt: Calculate Percent Change

Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/OHLC.transformations.R

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

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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

See Also

OpOp OpCl

Examples

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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

R-Finance/quantmod documentation built on May 9, 2017, 9:41 p.m.