compute_prices_from_relatives: get prices from price relatives

In benSepanski/pfselect:

Description

Given price_relatives and the initial prices, get the actual prices

Usage

compute_prices_from_relatives(
  price_relatives,
  initial_price,
  .check_input = TRUE
)

compute_price_matrix_from_relatives(
  price_relative_matrix,
  initial_prices,
  .check_input = TRUE
)

Arguments

price_relatives	a vector of price relatives where each entry represents the price relative for a trading period, i.e. price relative x_t = p_{t+1} / p_t.
initial_price	p_1, the initial price.
.check_input	If TRUE, checks that input meets the given assumptions.
price_relative_matrix	a matrix of price relatives, each row representing a trading period and each column an asset. A price relative is p_{t+1} / p_t, i.e. the ratio of trading price to next price. Prices change according to the price relatives after the trade, i.e. the price relatives for the trading period are not known at trading time
initial_prices	A vector holding the initial prices of each asset i
transaction_rate	The percentage of each transaction (buy and sell) spent on broker fees

Value

A vector with one more entry than price_relatives representing the true prices of the assets, the ith entry being the price during trading in period i, immediately before the price changes represent by price relatives i take place.

Functions

• compute_price_matrix_from_relatives: Computes a matrix of prices from a matrix of price relatives, where each column represents an asset. Output has same column names as price_relative_matrix

benSepanski/pfselect documentation built on May 1, 2020, 1:57 p.m.