diff_xts: Calculate the time differences of an _xts_ time series.

In algoquant/rutils: Utility Functions for Simplifying Financial Data Management and Modeling

Description

Calculate the time differences of an xts time series.

Usage

diff_xts(x_ts, lagg = 1, ...)

Arguments

x_ts	An xts time series.
lagg	An integer equal to the number of time periods of lag (default is 1).
...	Additional arguments to function xts::diff.xts().

Details

The function diff_xts() calculates the time differences of an xts time series and pads with zeros instead of NAs. Positive lagg means differences are calculated with values from lagg periods in the past (vice versa for a negative lagg). The function diff() is just a wrapper for diff.xts() from package xts, but it pads with zeros instead of NAs.

The function diff_it() has incorporated the functionality of diff_xts(), so that diff_xts() will be retired in future package versions.

Value

An xts time series with the same dimensions and the same time index as the input series.

Examples

# Calculate time differences over lag by 10 periods
rutils::diff_xts(rutils::etf_env$VTI, lag=10)

algoquant/rutils documentation built on Feb. 26, 2021, 1:30 a.m.