R: Cumulated Time Series from Returns

cumulated {timeSeries}

R Documentation

Cumulated Time Series from Returns

Description

Compute cumulated financial series, 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 `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 time series 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")
   
## Cumulative Series and Compare - 
   MSFT.CUM <- cumulated(MSFT.RET, method = "discrete") 
   head(cbind(MSFT.CL, MSFT.CUM))

[Package timeSeries version 2160.95 Index]