Convert Returns from continuous to discrete and vice versa
Either continuous returns or discrete returns can be converted into the other type.
1.1
returnconvert(y, convdir = c("cont2disc", "disc2cont"), percentage = TRUE)
Arguments
y: Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported.convdir: Character, the type of return conversion.percentage: Logical, if TRUE (the default) the returns, y, are expressed as percentages.
Methods
- y = "data.frame": The calculation is applied per column of the data.frame and only if all columns are numeric.
- y = "matrix": The calculation is applied per column of the matrix.
- y = "mts": The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.
- y = "numeric": Calculation of the returns.
- y = "timeSeries": The calculation is applied per column of the timeSeries object and an object of the same class is returned.
- y = "ts": Calculation of the returns. The attributes are preserved and an object of the same class is returned.
- y = "xts": Calculation of the returns. The attributes are preserved and an object of the same class is returned.
- y = "zoo": Calculation of the returns. The attributes are preserved and an object of the same class is returned.
Returns
An object of the same class as y, containing the converted returns.
Author(s)
Bernhard Pfaff
Examples
data(StockIndex)
yc <- diff(log(StockIndex[, "SP500"])) * 100
yd <- returnseries(StockIndex[, "SP500"], method = "discrete",
percentage = TRUE, trim = TRUE)
yconv <- returnconvert(yd, convdir = "disc2cont",
percentage = TRUE)
all.equal(yc, yconv)