returnseries: Continuous and discrete returns

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

Either continuous returns or discrete returns are computed for an object. The returns can be expressed as percenatges and the first NA value can be trimmed.

Usage

returnseries(y, method = c("continuous", "discrete"), percentage = TRUE,
             trim = FALSE, compound = FALSE)

Arguments

y	Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported.
method	Character, the type of return to be computed.
percentage	Logical, if TRUE (the default) the returns are expressed as percenatges.
trim	Logical, if FALSE (the default) the first value is set to NA such that the length of the return series coincides with the length of the series in levels.
compound	Logical, if FALSE (the default), then simple returns are computed and otherwise compounded returns.

Value

An object of the same class as y, containing the truncated series.

Methods

y = "data.frame"

The calculation is applied per column of the data.frame and only if all columns are numeric.

y = "matrix"

The calculation is applied per column of the matrix.

y = "mts"

The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.

y = "numeric"

Calculation of the es trend.

y = "timeSeries"

The calculation is applied per column of the timeSeries object and an object of the same class is returned.

y = "ts"

Calculation of the returns. The attributes are preserved and an object of the same class is returned.

y = "xts"

Calculation of the returns. The attributes are preserved and an object of the same class is returned.

y = "zoo"

Calculation of the returns. The attributes are preserved and an object of the same class is returned.

Author(s)

Bernhard Pfaff

Examples

data(StockIndex)
y <- StockIndex[, "SP500"]
ret <- returnseries(y)
head(ret)

Example output

Loading required package: cccp
Loading required package: Rglpk
Loading required package: slam
Using the GLPK callable library version 4.52
Loading required package: timeSeries
Loading required package: timeDate
Financial Risk Modelling and Portfolio Optimisation with R (version 0.4-1)

[1]        NA  1.945825 -1.932933  1.176469 -4.489662 10.110329

FRAPO documentation built on May 2, 2019, 5:24 p.m.