cumulated {timeSeries} | R Documentation |
Cumulated time series from returns
Description
Computes a cumulated financial "timeSeries"
,
e.g. prices or indexes, from financial returns.
Usage
cumulated(x, ...)
## Default S3 method:
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 |
x |
an object of class |
... |
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
## 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))
[Package timeSeries version 4030.106 Index]