FRAPO (version 0.4-2)

returnconvert: Convert Returns from continuous to discrete and vice versa

Description

Either continuous returns or discrete returns can be converted into the other type.

Usage

returnconvert(y, convdir = c("cont2disc", "disc2cont"), percentage = TRUE)

Value

An object of the same class as y, containing the converted returns.

Arguments

y

Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported.

convdir

Character, the type of return conversion.

percentage

Logical, if TRUE (the default) the returns, y, are expressed as percentages.

Methods

y = "data.frame"

The calculation is applied per column of the data.frame and only if all columns are numeric.

y = "matrix"

The calculation is applied per column of the matrix.

y = "mts"

The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.

y = "numeric"

Calculation of the returns.

y = "timeSeries"

The calculation is applied per column of the timeSeries object and an object of the same class is returned.

y = "ts"

Calculation of the returns. The attributes are preserved and an object of the same class is returned.

y = "xts"

Calculation of the returns. The attributes are preserved and an object of the same class is returned.

y = "zoo"

Calculation of the returns. The attributes are preserved and an object of the same class is returned.

Author

Bernhard Pfaff

Examples

data(StockIndex)
yc <- diff(log(StockIndex[, "SP500"])) * 100
yd <- returnseries(StockIndex[, "SP500"], method = "discrete",
                   percentage = TRUE, trim = TRUE)
yconv <- returnconvert(yd, convdir = "disc2cont",
                       percentage = TRUE)
all.equal(yc, yconv)