itsFin: Financial Functions for Irregular Time-Series Objects

In armstrtw/its: Irregular Time Series

Description

Financial functions for objects of class "its".

Usage

accrueIts(x,daysperyear=365)

Arguments

x	an object of class "its"
daysperyear	integer, representing days per year for accrual

Details

accrueIts Accrues an annual rate stored in x, expressed as a decimal (not a percentage), based on the difference of the time-stamps. The accrued value is not cumulated, it is a per-period return.

Value

An object of class "its"

Author(s)

Giles Heywood

See Also

ts, POSIXct, itsFile, itsLags itsJoin itsTimes itsSubset itsFin itsInterp

Examples

a <- matrix(c(seq(by=24*60*60,length=20),1:20,41:60),nrow=20,ncol=3)
b <- as.its(a)
accrueIts(b[which(weekdayIts(b)),]/100,daysperyear=365)

armstrtw/its documentation built on May 10, 2019, 1:42 p.m.