cumulated
From timeSeries v3022.101.2
by Tobias Setz
Cumulated Time Series from Returns
Computes a cumulated financial 'timeSeries', e.g. prices or indexes, from financial returns.
 Keywords
 chron
Usage
cumulated(x, ...)
"cumulated"(x, method = c("continuous", "discrete", "compound", "simple"), percentage = FALSE, ...)
Arguments
 method
 a character string naming the method how the returns were computed.
 percentage

a logical value. By default
FALSE
, ifTRUE
the series will be expressed in percentage changes.  x

an object of class
timeSeries
.  ...
 arguments to be passed.
Details
Note, the function cumulated
assumes as input discrete
returns from a price or index series. Only then the cumulatrd
series agrees with the original price or index series. The
first values of the cumulated series cannot be computed, it
is assumed that the series is indexed to 1.
Value
 Returns a 'timeSeries' object of the same class as
the input argument
x
.Examples
library(timeSeries)
## Use the Microsofts' Close Prices Indexed to 1 
MSFT.CL < MSFT[, "Close"]
MSFT.CL < MSFT.CL/MSFT[[1, "Close"]]
head(MSFT.CL)
## Compute Discrete Return 
MSFT.RET < returns(MSFT.CL, method = "discrete")
## Cumulated Series and Compare 
MSFT.CUM < cumulated(MSFT.RET, method = "discrete")
head(cbind(MSFT.CL, MSFT.CUM))
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