calculatereturns: Calculate returns or log-returns for multivariate time series

In Techtonique/esgtoolkit: Toolkit for Monte Carlo Simulations

Calculate returns or log-returns for multivariate time series

Description

Calculate returns or log-returns for multivariate time series

Usage

calculatereturns(x, type = c("basic", "log"))

Arguments

x	Multivariate time series
type	Type of return: basic return ("basic") or log-return ("log")

Examples

kappa <- 1.5
V0 <- theta <- 0.04
sigma_v <- 0.2
theta1 <- kappa*theta
theta2 <- kappa
n_simulations <- 10

eps0 <- simshocks(n = n_simulations, horizon = 5, frequency = "quart")
sim_GBM <- simdiff(n = n_simulations, horizon = 5, frequency = "quart",   
                   model = "GBM", 
                x0 = 100, theta1 = 0.03, theta2 = 0.1, eps = eps0) 

returns <- calculatereturns(sim_GBM)
log_returns <- diff(log(sim_GBM))

print(identical(returns, log_returns))

par(mfrow=c(1, 2))
matplot(returns, type = 'l')
matplot(log_returns, type = 'l')

Techtonique/esgtoolkit documentation built on April 13, 2025, 5:42 p.m.