FRAPO (version 0.4-2)

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)

Value

An object of the same class as y, containing the truncated series.

Arguments

y

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

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 es trend.

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