IndexConstruction (version 0.1-3)

indexUpdate: Updating an existing index with new index values

Description

indexUpdate derives the next values of an Index from the given price, weights and its divisor. This function is meant for continuous updating and display of an index on a website. For the derivation of an index for analysis purposes, please refer to the function "indexComp".

Usage

indexUpdate(price, index.weights, divisor)

Arguments

price

An xts object with the price data. An entry is always required.

index.weights

A vector with the absolute weights expressed as number of shares of each asset. The weights are provided by indexComp. They can be also easily derived from the market capitalization by dividing with the respective price.

divisor

The divisor required for the index derivation. The divisor is provided by indexComp. For details on its derivation, see Trimborn and Haerdle (2018).

Value

The next value(s) of the Index.

Details

For more details, please see the methodology section of the paper Trimborn and Haerdle (2018).

References

Trimborn, S. and Haerdle, W.K. (2018). CRIX an Index for cryptocurrencies, Journal of Empirical Finance 49, pp. 107-122. https://doi.org/10.1016/j.jempfin.2018.08.004

Examples

# NOT RUN {
data(CryptoData)

const.names = c("btc", "eth", "xrp", "ltc", "xmr")
index.weights = c(16136712, 88440036, 36856524148, 49589181, 13859864)
divisor = 17185084

indexUpdate(price["2017-02-01", const.names], index.weights = index.weights, divisor = divisor)
# }