PortfolioEffectHFT (version 1.6)

position_correlation: Position Correlation

Description

Computes correlation of position returns.

Usage

position_correlation(portfolio, symbol1, symbol2)

Arguments

portfolio

Portfolio object created using portfolio_create( ) function

symbol1

First symbol name

symbol2

Second symbol name

Value

See Also

position_covariance

Examples

## Not run: 
# data(aapl.data) 
# data(goog.data) 
# data(spy.data) 
# portfolio<-portfolio_create(priceDataIx=spy.data)
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# portfolio_addPosition(portfolio,'GOOG',100,priceData=goog.data)  
# portfolio_addPosition(portfolio,'AAPL',300,priceData=aapl.data) 
# util_plot2d(position_correlation(portfolio,'GOOG','AAPL'),
# title="Position Correlation, GOOG and AAPL")
# 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio<-portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
# resultsSamplingInterval='60s')
# portfolio_addPosition(portfolio,'AAPL',100)
# portfolio_addPosition(portfolio,'C',300) 
# portfolio_addPosition(portfolio,'GOOG',150)
# util_plot2d(position_correlation(portfolio,'AAPL','C'),
# title="Position Correlation, AAPL and C")
# ## End(Not run)