valuation: Valuation

In enricoschumann/PMwR: Portfolio Management with R

Valuation

Description

Valuation of financial objects: map an object into a quantity that is measured in a concrete (typically currency) unit.

Usage

valuation(x, ...)

## S3 method for class 'journal'
valuation(x, multiplier = 1,
          cashflow = function(x, ...) x$amount * x$price,
          instrument = function(x, ...) "cash",
          flip.sign = TRUE, ...)

## S3 method for class 'position'
valuation(x, vprice, multiplier = 1,
          do.sum = FALSE,
          price.unit,
          use.names = FALSE,
          verbose = TRUE, do.warn = TRUE, ...)

Arguments

x	an object
multiplier	a numeric vector, typically with named elements
cashflow	either a numeric vector or a function that takes on argument (a journal) and transforms it into a numeric vector
instrument	either a character vector or a function that takes on argument (a journal) and transforms it into a character vector
flip.sign	logical. If TRUE (the default), a positive amount gets mapped into a negative cashflow.
vprice	numeric: a matrix whose elements correspond to those in x. If only a single timestamp is used and the position is named, this may also be a named numeric vector; see Examples. The argument behaves like vprice in pl; but for valuation those prices need not be sorted in time.
do.sum	logical: sum over positions
use.names	logical: use names of vprice?
price.unit	a named character vector. Not implemented.
verbose	logical
do.warn	logical
...	other arguments passed to methods

Details

This function is experimental, and the methods' interfaces are not stable yet.

valuation is a generic function. Its semantics suggest that an object (e.g. a financial instrument or a position) is mapped into a concrete quantity (such as an amount of some currency).

The journal method transforms the transactions in a journal into amounts of currency (e.g, a sale of 100 shares of a company is transformed into the value of these 100 shares).

The position method takes a position and returns the value (in currency units) of the position.

Value

depends on the object: for journals, a journal

Author(s)

Enrico Schumann <[e-mail]>

References

Schumann, E. (2020) Portfolio Management with R. http://enricoschumann.net/R/packages/PMwR/

See Also

journal

Examples

## valuing a JOURNAL

j <- journal(amount = 10, price = 2)
##    amount  price
## 1      10      2
##
## 1 transaction

valuation(j, instrument = NA)
##    amount  price
## 1     -20      1
##
## 1 transaction



## valuing a POSITION
pos <- position(c(AMZN = -10, MSFT = 200))

### contructing a price table:
### ==> P[i, j] must correspond to pos[i, j]
P <- array(c(2200, 170), dim = c(1, 2))
colnames(P) <- instrument(pos)

valuation(pos, vprice = P)
##        AMZN  MSFT
## [1,] -22000 34000

### contructing a price table, alternative:
### a named vector
### ==> only works when there is only a single timestamp
valuation(pos, vprice = c(MSFT = 170, AMZN = 2200))

all.equal(valuation(pos, vprice = P),
          valuation(pos, vprice = c(MSFT = 170, AMZN = 2200)))

enricoschumann/PMwR documentation built on April 13, 2024, 12:18 p.m.