turning returns back into an index
I?ve looked everywhere for a C optimised R library function that will accumulate returns with interim levels but can?t find it.
so a function that is the inverse of Return.calculate() from PerformanceAnalytics
or, something like this:
rtns <- rnorm(100, sd=0.01)
index <- vector(, length = length(rtns)+1)
index[1] <- 100
for ( i in 1:length(rtns) ) {
index[i+1] <- index[i] * (1+rtns[i])
}
cheers.