Creating a Price Series From a Returns Series Using R
It will depend on what type of returns you have, but assuming you have log returns and your returns are in 'retvec', then: pseudoprice <- orig.price * exp(cumsum(retvec)) Will give you a price series. If you have simple returns, one approach is to first transform them into log returns. Patrick Burns patrick at burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and "A Guide for the Unwilling S User")
Katherine Walton wrote:
I was wondering if anyone had a simple way to make a price series (or Vami) from a return series using R (or S+). Katherine Walton Mathematician QES: Quantitative Equity Strategies 303-471-0244 <mailto:katherine at qesinvest.com> katherine at qesinvest.com [[alternative HTML version deleted]]
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