get_rollChg_from_dlyChg: get_rollChg_from_dlyChg
In audiracmichelle/optimist: Risk Parity Implied Returns
Description
computes rolling returns
Usage
1
2
get_rollChg_from_dlyChg(dlyChg, method = "geometric", roll = 30,
halflife = NULL, trim = FALSE, interval = c(1e-06, 0.999999))
Arguments
dlyChg
xts that contains daily changes
method
either 'arithmetic' or 'geometric'
roll
number of days in a rolling window
halflife
number of days that accumulate 0.5 density
trim
should the first rolling window be eliminated?
interval
as in uniroot
audiracmichelle/optimist documentation built on Aug. 21, 2019, 7:55 p.m.
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Description
computes rolling returns
Usage
1 2 | get_rollChg_from_dlyChg(dlyChg, method = "geometric", roll = 30,
halflife = NULL, trim = FALSE, interval = c(1e-06, 0.999999))
|
Arguments
dlyChg |
xts that contains daily changes |
method |
either 'arithmetic' or 'geometric' |
roll |
number of days in a rolling window |
halflife |
number of days that accumulate 0.5 density |
trim |
should the first rolling window be eliminated? |
interval |
as in uniroot |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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