rtn.periods: rtn.periods

In raphael210/QUtility:

Description

get a return of different periods of the rtn series(including overall cumulative and annualized return).

Usage

rtn.periods(rtn, freq = "year", from, to)

Arguments

rtn	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
freq	An interval specification, one of "day", "week", "month", "quarter" and "year", optionally preceded by an integer and a space, or followed by "s".See cut.Date for detail.
from	starting dates, a vector of class Date,timeDate or character.See fapply for detail.
to	ending dates a vector of class Date,timeDate or character.See fapply for detail.

Value

a matrix

Author(s)

Ruifei.Yin

See Also

fapply

Examples

rtn.long <- zoo(rnorm(100,0.001,0.02),as.Date("2010-01-01")+1:100)
rtn.short <- rtn.long + rnorm(100,-0.001,0.003)
rtn <- merge(rtn.long,rtn.short)
rtn.periods(rtn,"month")
rtn.periods(rtn,from=c("2010-02-03","2010-03-04"),to=c("2010-03-09","2010-03-30"))

raphael210/QUtility documentation built on May 26, 2019, 11:05 p.m.