returns {timeSeries}R Documentation

Financial Returns

Description

Compute financial returns from prices or indexes.

Usage

returns(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, ...)
    
getReturns(...)
returnSeries(...)

Arguments

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 synonyme 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.

x

an object of class timeSeries.

...

arguments to be passed.

Value

all functions return an object of class timeSeries.

Note

The functions returnSeries, getReturns, are synonymes for returns.timeSeries.

Examples

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

## Continuous Returns - 
   returns(X)
  
## Discrete Returns:
   returns(X, type = "discrete")
   
## Don't trim:
   returns(X, trim = FALSE)
   
## Use Percentage Values:
   returns(X, percentage = TRUE, trim = FALSE)
[Package timeSeries version 2160.95 Index]