Nothing
##
##
## Generic for returnseries
##
setGeneric(name = "returnseries", def = function(y, method = c("continuous", "discrete"), percentage = TRUE, trim = FALSE, compound = FALSE){standardGeneric("returnseries")})
##
## Methods for returnseries
## (in alphabetical order)
##
## for class data.frame
setMethod(f = "returnseries",
signature = c(y = "data.frame"),
definition = function(y, method = c("continuous", "discrete"), percentage = TRUE, trim = FALSE, compound = FALSE){
if(!all(apply(y, 2, is.numeric))){
stop("Data frame has non-numeric columns.\n")
}
ret <- as.data.frame(apply(y, 2, returnseries, method = method, percentage = percentage, trim = trim, compound = compound), ncol = ncol(y))
colnames(ret) <- colnames(y)
ifelse(trim, rownames(ret) <- rownames(y)[-1], rownames(ret) <- rownames(y))
return(ret)
}
)
## for class matrix
setMethod(f = "returnseries",
signature = c(y = "matrix"),
definition = function(y, method = c("continuous", "discrete"), percentage = TRUE, trim = FALSE, compound = FALSE){
ret <- matrix(apply(y, 2, returnseries, method = method, percentage = percentage, trim = trim, compound = compound), ncol = ncol(y))
colnames(ret) <- colnames(y)
return(ret)
}
)
## for class mts
setMethod(f = "returnseries",
signature = c(y = "mts"),
definition = function(y, method = c("continuous", "discrete"), percentage = TRUE, trim = FALSE, compound = FALSE){
ret <- matrix(apply(y, 2, returnseries, method = method, percentage = percentage, trim = FALSE, compound = compound), ncol = ncol(y))
attributes(ret) <- attributes(y)
if(trim) ret <- window(ret, start = time(y)[2])
return(ret)
}
)
## for class numeric
setMethod(f = "returnseries",
signature = c(y = "numeric"),
definition = function(y, method = c("continuous", "discrete"), percentage = TRUE, trim = FALSE, compound = FALSE){
y <- na.fail(y)
method <- match.arg(method)
if(method == "continuous"){
ret <- c(NA, diff(log(y)))
if(compound){
ret[1] <- 0
ret <- cumsum(ret)
}
}
if(method == "discrete"){
ret <- c(NA, diff(y) / y[-length(y)])
if(compound){
ret[1] <- 0
ret <- cumprod(1 + ret) - 1
}
}
if(percentage) ret <- ret * 100
if(trim) ret <- ret[-1]
return(ret)
}
)
## for class timeSeries
setMethod(f = "returnseries",
signature = c(y = "timeSeries"),
definition = function(y, method = c("continuous", "discrete"), percentage = TRUE, trim = FALSE, compound = FALSE){
ret <- apply(y, 2, returnseries, method = method, percentage = percentage, trim = FALSE, compound = compound)
ret <- timeSeries(ret, charvec = time(y))
if(trim) ret <- window(ret, start = time(y)[2], end = end(y))
return(ret)
}
)
## for class ts
setMethod(f = "returnseries",
signature = c(y = "ts"),
definition = function(y, method = c("continuous", "discrete"), percentage = TRUE, trim = FALSE, compound = FALSE){
ret <- returnseries(c(y), method = method, percentage = percentage, trim = FALSE, compound = compound)
attributes(ret) <- attributes(y)
if(trim) ret <- window(ret, start = time(y)[2])
return(ret)
}
)
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