使用 Return.Calculate 函数复合 returns 的价格

Question

我有以下样本数据，并试图根据以下价格计算复合 returns。

sample_data <- data.frame(Date = c ("2017-01-31", "2017-02-28", "2017-03-31", 
                                "2017-04-30", "2017-05-31", "2017-06-30"), 
                      stock = c("a", "a", "a","a", "a", "a"), 
                      Price = c(10, 11, 17, 12, 13, 14))

我这样使用 Return.calculate 包 :

Return.calculate(sample_data$Price, method = "compound")

但出现以下错误：

no applicable method for 'xtsAttributes<-' applied to an object of class "zoo"

Answer 1

您需要将数据作为 xts 对象传递。转换为 xts 以仅包含数字变量时要小心 - reason here - 这就是为什么可以仅转换 sample_data$Price

library(xts)
library(PerformanceAnalytics)
sample_data$Date <- as.Date(sample_data$Date)
sample_data_xts <- xts(sample_data$Price, order.by = sample_data$Date) 

Return.calculate(sample_data_xts, method = "compound")

#                   [,1]
# 2017-01-31          NA
# 2017-02-28  0.09531018
# 2017-03-31  0.43531807
# 2017-04-30 -0.34830669
# 2017-05-31  0.08004271
# 2017-06-30  0.07410797

使用 Return.Calculate 函数复合 returns 的价格

Price to compounded returns using the Return.Calculate Function

r

zoo

xts

performanceanalytics