PMwR (version 0.11-0)

NAVseries: Net-Asset-Value (NAV) Series

Description

Create a net-asset-value (NAV) series.

Usage

NAVseries(NAV, timestamp,
          instrument = NULL, title = NULL, description = NULL,
          drop.NA = NULL)
as.NAVseries(x, ...)
# S3 method for NAVseries
print(x, … )
# S3 method for NAVseries
summary(object, …, monthly.vol = TRUE,
                            bm = NULL, monthly.te = TRUE,
                            na.rm = FALSE, assume.daily = FALSE)
# S3 method for NAVseries
plot(x, y, …, xlab = "", ylab = "", type = "l")
# S3 method for NAVseries
window(x, start = NULL, end = NULL, …)

Arguments

NAV

numeric

timestamp

time stamp (typically Date or POSIXct)

instrument

character

title

character

description

character

x

an NAVseries or an object to be coerced to NAVseries

object

an NAVseries

…

further arguments. For summary, these can be NAVseries.

drop.NA

logical

bm

an optional NAVseries. If bm does not inherit from NAVseries, as.NAVseries is tried.

monthly.vol

if TRUE (default), volatility computations are done on monthly returns

monthly.te

if TRUE (default), tracking error computations are done on monthly returns

assume.daily

logical

na.rm

logical

y

a second NAVseries to be plotted. Not supported yet.

xlab

character

ylab

character

type

character. See plot.

start

same class as timestamp; NULL means the first timestamp

end

same class as timestamp; NULL means the last timestamp

Value

an NAVseries: see Details.

an NAVseries summary: a list of lists

Details

An NAVseries is a numeric vector (the actual series) and additional information, attached as attributes: timestamp, instrument, title, description. Of these attributes, timestamp is the most useful, as it is used for several computations (e.g. when calling summary) or for plotting.

The summary method returns a list of the original NAVseries plus various statistics, such as return per year and volatility.

References

Schumann, E. (2019) Portfolio Management with R. http://enricoschumann.net/PMwR/

See Also

btest, journal

Examples

# NOT RUN {
summary(NAVseries(DAX[[1]], as.Date(row.names(DAX)), title = "DAX"))
# }