cumulated

0th

Percentile

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, if TRUE 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.

Aliases
  • cumulated
  • cumulated.default
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))
Documentation reproduced from package timeSeries, version 3022.101.2, License: GPL (>= 2)

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