timeSeries (version 4030.106)

periodical: End-of-Period series, stats, and benchmarks

Description

Computes periodical statistics back to a given period.

Usage

endOfPeriodSeries(x, 
    nYearsBack = c("1y", "2y", "3y", "5y", "10y", "YTD"))
endOfPeriodStats(x, 
    nYearsBack = c("1y", "2y", "3y", "5y", "10y", "YTD"))
    
endOfPeriodBenchmarks(x, benchmark = ncol(x),
    nYearsBack = c("1y", "2y", "3y", "5y", "10y", "YTD"))

Value

for endOfPeriodStats, a data frame;

for endOfPeriodBenchmarks - currently NULL (invisibly), the function is unfinished.

Arguments

x

an end-of-month recorded multivariate "timeSeries" object. One of the columns holds the benchmark series specified by argument benchmark,

nYearsBack

a period string. How long back should the series be treated? Options include values from 1 year to 10 years, and year-to-date: "1y", "2y", "3y", "5y", "10y", "YTD".

benchmark

an integer giving the position of the benchmark series in x. By default this is the last column of x.

Details

endOfPeriodSeries returns series back to a given period.

endOfPeriodStats returns statistics back to a given period.

endOfPeriodBenchmarks returns benchmarks back to a given period.

x must be end of month data. Such series can be created using functions like align, alignDailySeries, daily2monthly.

Examples

## Load Series: Column 1:3 Swiss Market, Column 8 (4) Benchmark
   x <- 100 * LPP2005REC[, c(1:3, 8)]
   colnames(x)
   x <- daily2monthly(x)
   x
   
## Get the Monthly Series - 
   endOfPeriodSeries(x, nYearsBack="1y")
   
## Compute the Monthly Statistics - 
   endOfPeriodStats(x, nYearsBack="1y")
   
## Compute the Benchmark - 
   endOfPeriodBenchmarks(x, benchmark=4)