Cumulated time series from returns

Computes a cumulated financial "timeSeries", e.g. prices or indexes, from financial returns.

Usage

cumulated(x, ...)

# S3 method for default
cumulated(x, method = c("continuous", "discrete", 
    "compound", "simple"), percentage = FALSE, ...)

Arguments

x

an object of class timeSeries.

method

a character string, the method for computation of returns.

percentage

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

...

ignored by the default method.

Details

Note, the function cumulated assumes as input discrete returns from a price or index series. Only then the cumulated 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

a "timeSeries" object

See also

returns, drawdowns, splits, midquotes, index2wealth

Examples

## Use the Microsofts' Close Prices Indexed to 1 - 
   MSFT.CL <- MSFT[, "Close"]
   MSFT.CL <- MSFT.CL/MSFT[[1, "Close"]]
   head(MSFT.CL)
#> GMT 
#>                Close
#> 2000-09-27 1.0000000
#> 2000-09-28 1.0113402
#> 2000-09-29 0.9948454
#> 2000-10-02 0.9752577
#> 2000-10-03 0.9329897
#> 2000-10-04 0.9144330

## 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))
#> GMT 
#>              Close.1   Close.2
#> 2000-09-27 1.0000000        NA
#> 2000-09-28 1.0113402 1.0113402
#> 2000-09-29 0.9948454 0.9948454
#> 2000-10-02 0.9752577 0.9752577
#> 2000-10-03 0.9329897 0.9329897
#> 2000-10-04 0.9144330 0.9144330