Financial returns

Compute financial returns from prices or indexes.

Usage

returns(x, ...)
returns0(x, ...)

# S4 method for ANY
returns(x, method = c("continuous", "discrete", 
    "compound", "simple"), percentage = FALSE, ...)
# S4 method for timeSeries
returns(x, method = c("continuous", "discrete", 
    "compound", "simple"), percentage = FALSE, na.rm = TRUE, 
    trim = TRUE, ...)

Arguments

x

an object of class timeSeries.

method

a character string. Which method should be used to compute the returns, one of "continuous", "discrete", or "compound", "simple". The second pair of methods is a synonym for the first two methods.

percentage

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

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.

...

arguments to be passed.

Value

an object of class timeSeries.

returns0 returns an untrimmed series with the first row of returns set to zero(s).

Note

The functions returnSeries and getReturns will be removed in the near future. They are synonyms for the function returns and their use was discouraged for many years. Just use returns.

The function returnSeries is no longer exported. getReturns is exported only because we are waiting for a package on CRAN to be updated.

Examples

## Load Microsoft Data - 
   setRmetricsOptions(myFinCenter = "GMT")
   data(MSFT)
   X = MSFT[1:10, 1:4]
   X
#> GMT 
#>               Open    High     Low   Close
#> 2000-09-27 63.4375 63.5625 59.8125 60.6250
#> 2000-09-28 60.8125 61.8750 60.6250 61.3125
#> 2000-09-29 61.0000 61.3125 58.6250 60.3125
#> 2000-10-02 60.5000 60.8125 58.2500 59.1250
#> 2000-10-03 59.5625 59.8125 56.5000 56.5625
#> 2000-10-04 56.3750 56.5625 54.5000 55.4375
#> 2000-10-05 55.5000 57.2500 55.2500 55.3750
#> 2000-10-06 55.8125 56.7500 54.7500 55.5625
#> 2000-10-09 55.6250 55.7500 53.0000 54.1875
#> 2000-10-10 53.9375 55.5625 53.8125 54.5625

## Continuous Returns - 
   returns(X)
#> GMT 
#>                    Open         High          Low        Close
#> 2000-09-28 -0.042259809 -0.026907453  0.013492680  0.011276388
#> 2000-09-29  0.003078504 -0.009132484 -0.033546122 -0.016444358
#> 2000-10-02 -0.008230499 -0.008188377 -0.006417134 -0.019885532
#> 2000-10-03 -0.015617184 -0.016580691 -0.030503454 -0.044307625
#> 2000-10-04 -0.055000384 -0.055868448 -0.036039936 -0.020089961
#> 2000-10-05 -0.015642777  0.012081421  0.013667639 -0.001128032
#> 2000-10-06  0.005614838 -0.008771986 -0.009090972  0.003380285
#> 2000-10-09 -0.003365118 -0.017778246 -0.032485455 -0.025058259
#> 2000-10-10 -0.030806772 -0.003368897  0.015213869  0.006896579
   returns0(X)
#> GMT 
#>                    Open         High          Low        Close
#> 2000-09-27  0.000000000  0.000000000  0.000000000  0.000000000
#> 2000-09-28 -0.042259809 -0.026907453  0.013492680  0.011276388
#> 2000-09-29  0.003078504 -0.009132484 -0.033546122 -0.016444358
#> 2000-10-02 -0.008230499 -0.008188377 -0.006417134 -0.019885532
#> 2000-10-03 -0.015617184 -0.016580691 -0.030503454 -0.044307625
#> 2000-10-04 -0.055000384 -0.055868448 -0.036039936 -0.020089961
#> 2000-10-05 -0.015642777  0.012081421  0.013667639 -0.001128032
#> 2000-10-06  0.005614838 -0.008771986 -0.009090972  0.003380285
#> 2000-10-09 -0.003365118 -0.017778246 -0.032485455 -0.025058259
#> 2000-10-10 -0.030806772 -0.003368897  0.015213869  0.006896579
  
## Discrete Returns:
   returns(X, method = "discrete")
#> GMT 
#>                    Open         High          Low        Close
#> 2000-09-28 -0.041379310 -0.026548673  0.013584117  0.011340206
#> 2000-09-29  0.003083248 -0.009090909 -0.032989691 -0.016309888
#> 2000-10-02 -0.008196721 -0.008154944 -0.006396588 -0.019689119
#> 2000-10-03 -0.015495868 -0.016443988 -0.030042918 -0.043340381
#> 2000-10-04 -0.053515215 -0.054336468 -0.035398230 -0.019889503
#> 2000-10-05 -0.015521064  0.012154696  0.013761468 -0.001127396
#> 2000-10-06  0.005630631 -0.008733624 -0.009049774  0.003386005
#> 2000-10-09 -0.003359462 -0.017621145 -0.031963470 -0.024746907
#> 2000-10-10 -0.030337079 -0.003363229  0.015330189  0.006920415
   
## Don't trim:
   returns(X, trim = FALSE)
#> GMT 
#>                    Open         High          Low        Close
#> 2000-09-27           NA           NA           NA           NA
#> 2000-09-28 -0.042259809 -0.026907453  0.013492680  0.011276388
#> 2000-09-29  0.003078504 -0.009132484 -0.033546122 -0.016444358
#> 2000-10-02 -0.008230499 -0.008188377 -0.006417134 -0.019885532
#> 2000-10-03 -0.015617184 -0.016580691 -0.030503454 -0.044307625
#> 2000-10-04 -0.055000384 -0.055868448 -0.036039936 -0.020089961
#> 2000-10-05 -0.015642777  0.012081421  0.013667639 -0.001128032
#> 2000-10-06  0.005614838 -0.008771986 -0.009090972  0.003380285
#> 2000-10-09 -0.003365118 -0.017778246 -0.032485455 -0.025058259
#> 2000-10-10 -0.030806772 -0.003368897  0.015213869  0.006896579
   
## Use Percentage Values:
   returns(X, percentage = TRUE, trim = FALSE)
#> GMT 
#>                  Open       High        Low      Close
#> 2000-09-27         NA         NA         NA         NA
#> 2000-09-28 -4.2259809 -2.6907453  1.3492680  1.1276388
#> 2000-09-29  0.3078504 -0.9132484 -3.3546122 -1.6444358
#> 2000-10-02 -0.8230499 -0.8188377 -0.6417134 -1.9885532
#> 2000-10-03 -1.5617184 -1.6580691 -3.0503454 -4.4307625
#> 2000-10-04 -5.5000384 -5.5868448 -3.6039936 -2.0089961
#> 2000-10-05 -1.5642777  1.2081421  1.3667639 -0.1128032
#> 2000-10-06  0.5614838 -0.8771986 -0.9090972  0.3380285
#> 2000-10-09 -0.3365118 -1.7778246 -3.2485455 -2.5058259
#> 2000-10-10 -3.0806772 -0.3368897  1.5213869  0.6896579

Usage

Arguments

Value

Note

See also

Examples