R/calculate_portfolio_return.R

In causality-loop/clhelpers: clhelpers

#' @importFrom magrittr '%<>%' '%T>%'
#' @title calculate_portfolio_return
#' @description Adds columns for cash before calculating the portfolio return.
#' @param asset_units_xts xts, an xts of units to be joined to the asset returns to form a portfolio return
#' @param verbose boolean, passed to PerformanceAnalytics::Return.portfolio(), Default: FALSE
#' @return See documentation for PerformanceAnalytics::Return.portfolio().
#' @details This is just a wrapper for PerformanceAnalytics::Return.portfolio().  See documentation for PerformanceAnalytics::Return.portfolio().
#' @export 
#' @importFrom PerformanceAnalytics Return.portfolio
calculate_portfolio_return <- function(asset_units_xts, verbose = FALSE)
{

  asset_rets_xts <- clhelpers::make_rets_xts(names(asset_units_xts), -1) %T>% 
    {.[is.na(.)] <- 0} %>% 
    cbind(CASH = 0)

  asset_units_xts %<>% cbind(CASH = 1-rowSums(.))
  PerformanceAnalytics::Return.portfolio(asset_rets_xts, asset_units_xts,
    verbose = verbose)

}