FRAPO (version 0.3-7)

returnseries: Continuous and discrete returns

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, timeSeries, zoo and xts 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.

concept

• returns
• discrete returns
• continuous returns
• compound returns

Examples

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