returns {timeSeries}R Documentation

Financial returns

Description

Compute financial returns from prices or indexes.

Usage

returns(x, ...)
returns0(x, ...)

## S4 method for signature 'ANY'
returns(x, method = c("continuous", "discrete", 
    "compound", "simple"), percentage = FALSE, ...)
## S4 method for signature 'timeSeries'
returns(x, method = c("continuous", "discrete", 
    "compound", "simple"), percentage = FALSE, na.rm = TRUE, 
    trim = TRUE, ...) 

Arguments

x

an object of class timeSeries.

percentage

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

method

a character string. Which method should be used to compute the returns, "continuous", "discrete", or "compound", "simple". The second pair of methods is a synonym for the first two methods.

na.rm

a logical value. Should NAs be removed? By default TRUE.

trim

a logical value. Should the time series be trimmed? By Default TRUE.

...

arguments to be passed.

Value

all functions return an object of class timeSeries.

returns0 returns an untrimmed series with the first row of returns set to zero(s).

Note

The functions returnSeries, getReturns are no longer exported and will be removed in the near future. They are synonyms for the function returns and their use was discouraged for many years. Just use returns.

Examples

## Load Microsoft Data - 
   setRmetricsOptions(myFinCenter = "GMT")
   data(MSFT)
   X = MSFT[1:10, 1:4]
   X

## Continuous Returns - 
   returns(X)
   returns0(X)
  
## Discrete Returns:
   returns(X, method = "discrete")
   
## Don't trim:
   returns(X, trim = FALSE)
   
## Use Percentage Values:
   returns(X, percentage = TRUE, trim = FALSE)

[Package timeSeries version 4030.106 Index]