timeSeries (version 4021.104)

cumulated: Cumulated Time Series from Returns

Description

Computes a cumulated financial 'timeSeries', e.g. prices or indexes, from financial returns.

Usage

cumulated(x, ...)
# S3 method for default
cumulated(x, method = c("continuous", "discrete", 
    "compound", "simple"), percentage = FALSE, ...)

Value

Returns a 'timeSeries' object of the same class as the input argument x.

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.

Examples

## 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))