Monthly returns from Daily prices
Hi Ravi,
I can't really reproduce your data, but once you get the date
converted the following should work. I've used Starbucks daily data
as an example (and because I need more coffee...)
library(quantmod)
getSymbols("SBUX", src='yahoo')
Delt(Cl(to.monthly(SBUX)),type='arithmetic')
Delt(Cl(to.monthly(SBUX)),type='log')
# this will compute the discrete (arithmetic) return as well (though
it is slower):
monthlyReturn(Cl(SBUX))
Jeff
On Mon, Mar 24, 2008 at 6:26 AM, Ravi S. Shankar <ravis at ambaresearch.com> wrote:
Hi,
I have the daily data in the following format
RIC Trade.Date Close.Price Currency.Code
ABCd.xx 2008/02/29 15.3 CNY
ABCd.xx 2008/02/28 15.1 CNY
ABCd.xx 2008/02/27 15.28 CNY
ABCd.xx 2008/02/26 15.26 CNY
ABCd.xx 2008/02/25 14.88 CNY
ABCd.xx 2008/02/22 15.64 CNY
I have about 1000 rics and one year daily price history for each of the
rics. I need to compute the monthly returns for this data.
I tried the following code to get the monthly data from the daily prices
library(zoo)
ss=read.csv("C:\\Documents and
Settings\\ravis\\Desktop\\ravi.csv",header=T)
ss$Trade.Date=as.Date(ss$Trade.Date,"%Y/%m/%d")
ss$ym=as.yearmon(ss$Trade.Date)
ss.mon=aggregate(ss$Close.Price,list(RIC=ss$RIC,Month_Year=ss$ym),functi
on(x) tail(x,1))
I am interested in an alternate way of doing this.
Any help would be appreciated.
Thank you,
Regards,
Ravi Shankar S
This e-mail may contain confidential and/or privileged i...{{dropped:10}}
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.
There's a way to do it better - find it. Thomas A. Edison