interpolate_returns: Interpolate returns in a time series containing NAs.

In jeanmarcgp/xtsanalytics: A library of functions to do advanced analytics of time series data (xts matrices).

Description

An xts matrix of returns (1 or more columns is assumed). The matrix is first converted to an equity curve so intermediate prices can be interpolated.

Usage

interpolate_returns(rets, value = c("prices", "returns"))

Arguments

rets	The xts matrix of returns, which contains some NAs to be interpolated.
value	Specifies whether the return value is an xts of returns ("returns") or a normalized equity curve "prices"). Default is "prices".

Value

Either an xts of returns or an xts of the equity curve, depending on the value argument.

jeanmarcgp/xtsanalytics documentation built on May 19, 2019, 12:38 a.m.