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End-of-Period series, stats, and benchmarks

fin-periodical.Rd

Computes periodical statistics back to a given period.

Usage

endOfPeriodSeries(x, 
    nYearsBack = c("1y", "2y", "3y", "5y", "10y", "YTD"))

endOfPeriodStats(x, 
    nYearsBack = c("1y", "2y", "3y", "5y", "10y", "YTD"))
    
endOfPeriodBenchmarks(x, benchmark = ncol(x),
    nYearsBack = c("1y", "2y", "3y", "5y", "10y", "YTD"))

Arguments

x

an end-of-month recorded multivariate "timeSeries" object. One of the columns holds the benchmark series specified by argument benchmark,

nYearsBack

a period string. How long back should the series be treated? Options include values from 1 year to 10 years, and year-to-date: "1y", "2y", "3y", "5y", "10y", "YTD".

benchmark

an integer giving the position of the benchmark series in x. By default this is the last column of x.

Details

endOfPeriodSeries extract the data for the last few years, as specified by argument nYearsBack.

endOfPeriodStats computes basic exploratory statistics for the last few years in the data.

endOfPeriodBenchmarks returns benchmarks back to a given period.

x must be end of month data. Such series can be created using functions like align, alignDailySeries, daily2monthly.

Value

for endOfPeriodSeries, a "timeSeries",

for endOfPeriodStats, a data frame,

for endOfPeriodBenchmarks - currently NULL (invisibly), the function is unfinished.

Examples

## load series: column 1:3 Swiss market, column 8 (4) benchmark
x <- 100 * LPP2005REC[, c(1:3, 8)]
colnames(x)
#> [1] "SBI"   "SPI"   "SII"   "LPP40"
x <- daily2monthly(x)
x
#> GMT 
#>                   SBI        SPI        SII      LPP40
#> 2005-11-30  0.0613921 -0.4037055  0.1711131 -0.1711835
#> 2005-12-31 -0.0456934 -0.3976473 -0.1299026 -0.1363995
#> 2006-01-31 -0.0152952  0.2736095  0.2868720  0.0133349
#> 2006-02-28  0.1071074 -1.1956984  0.1659104 -0.4868522
#> 2006-03-31  0.0232369 -0.0929251 -0.3742188  0.1108179
#> 2006-04-30  0.1330360 -0.2943741  0.2043796 -0.2990218
#> 2006-05-31  0.0233945  0.9323326  0.4888790  0.2653102
#> 2006-06-30 -0.0548353  1.4473814  0.0000000  0.1466710
#> 2006-07-31  0.0077800  0.0267236  0.4459707  0.0642307
#> 2006-08-31  0.0921518 -0.1466397  0.3750473  0.2126960
#> 2006-09-30 -0.1218862  0.1409431  0.3622828  0.0731769
#> 2006-10-31  0.2819157 -0.8238610  0.1611929  0.0018300
#> 2006-11-30  0.0453412 -0.8646808  0.0949359 -0.1401989
#> 2006-12-31  0.1144121 -0.1101976 -0.2031734 -0.0341003
#> 2007-01-31 -0.0306326 -0.0064900  0.0047200 -0.0512010
#> 2007-02-28  0.0380648 -1.1946524 -0.0285334 -0.3741769
#> 2007-03-31 -0.0305670  0.0497094 -0.1809619  0.0943400
#> 2007-04-30  0.0306279 -0.1044170 -0.1339276 -0.0586108
   
## Get the Monthly Series - 
endOfPeriodSeries(x, nYearsBack="1y")
#> GMT 
#>                   SBI        SPI        SII      LPP40
#> 2006-05-31  0.0233945  0.9323326  0.4888790  0.2653102
#> 2006-06-30 -0.0548353  1.4473814  0.0000000  0.1466710
#> 2006-07-31  0.0077800  0.0267236  0.4459707  0.0642307
#> 2006-08-31  0.0921518 -0.1466397  0.3750473  0.2126960
#> 2006-09-30 -0.1218862  0.1409431  0.3622828  0.0731769
#> 2006-10-31  0.2819157 -0.8238610  0.1611929  0.0018300
#> 2006-11-30  0.0453412 -0.8646808  0.0949359 -0.1401989
#> 2006-12-31  0.1144121 -0.1101976 -0.2031734 -0.0341003
#> 2007-01-31 -0.0306326 -0.0064900  0.0047200 -0.0512010
#> 2007-02-28  0.0380648 -1.1946524 -0.0285334 -0.3741769
#> 2007-03-31 -0.0305670  0.0497094 -0.1809619  0.0943400
#> 2007-04-30  0.0306279 -0.1044170 -0.1339276 -0.0586108
   
## Compute the Monthly Statistics
endOfPeriodStats(x, nYearsBack="1y")
#>                        SBI         SPI         SII       LPP40
#> nobs           12.00000000 12.00000000 12.00000000 12.00000000
#> NAs             0.00000000  0.00000000  0.00000000  0.00000000
#> Minimum        -0.12188620 -1.19465240 -0.20317340 -0.37417690
#> Maximum         0.28191570  1.44738140  0.48887900  0.26531020
#> 1. Quartile    -0.03058340 -0.31594502 -0.05488195 -0.05305345
#> 3. Quartile     0.05704385  0.07251783  0.36547392  0.10742275
#> Mean            0.03298057 -0.05448737  0.11553603  0.01666391
#> Median          0.02701120 -0.05545350  0.04982795  0.03303035
#> Sum            -1.16378990 -1.16378990 -1.16378990 -1.16378990
#> SE Mean         0.02923163  0.21051500  0.07163748  0.04916552
#> LCL Mean       -0.03135781 -0.51782776 -0.04213701 -0.09154867
#> UCL Mean        0.09731896  0.40885302  0.27320906  0.12487648
#> Variance        0.01025386  0.53179878  0.06158315  0.02900698
#> Stdev           0.10126133  0.72924535  0.24815952  0.17031435
#> Skewness        0.90313679  0.40555349  0.22273611 -0.65071051
#> Kurtosis        0.61746808 -0.49271933 -1.63160327 -0.06477968
#> worstPeriod    -1.19569840 -1.19569840 -1.19569840 -1.19569840
#> negativeValues 33.00000000 33.00000000 33.00000000 33.00000000
#> positiveValues 38.00000000 38.00000000 38.00000000 38.00000000
   
## Compute the Benchmark
endOfPeriodBenchmarks(x, benchmark=4)