R/pnl.R

In tradesys: Trading System Modelling

pnl <- function(prices, states, roll.at=FALSE){
  if(any(!states %in% c(1,0,-1)))
    stop("states must consist of 1, 0, and -1")
  if(any(!as.numeric(roll.at) %in% c(1,0)))
    stop("roll.at must be a logical vector")
  prices <- as.matrix(prices)
  if(nrow(prices) == 1) 
    return(0) ## ..because PnL of first period is always zero
  if(ncol(prices) == 1)
    prices <- cbind(prices, prices, prices)
  if(ncol(prices) == 2)
    prices <- cbind(prices[, 1], prices[, 1], prices[, 2])
  It <- as.vector(prices[, 3])
  Ot <- as.vector(prices[, 2])
  Pt <- as.vector(prices[, 1])
  if(nrow(prices) %% length(roll.at) != 0)
    stop("length(roll.at) must be a multiple of nrow(prices)")
  Rt <- as.vector(roll.at)
  if(nrow(prices) %% length(states) != 0)
    stop("length(states) must be a multiple of nrow(prices)")
  St <- as.vector(states)
  St <- cbind(St, Pt)[, 1]
  Rt <- as.numeric(cbind(Rt, Pt)[, 1])
  T <- 2:length(Pt)
  c(0, (Pt[T] - (Pt[T-1] + (It[T-1] - Ot[T-1]) * Rt[T-1])) * St[T-1])
}