CalculateReturns {PerformanceAnalytics} | R Documentation |
calculate simple or compound returns from prices
CalculateReturns(prices, method=c("compound","simple"))
prices |
data object containing ordered price observations |
method |
calculate "simple" or "compound" returns, default compound |
vector or matrix of simple or compound returns
Peter Carl
require(tseries) prices = get.hist.quote("^gspc", start = "1999-01-01", end = "2007-01-01", quote = "Close", compression = "m") returns = CalculateReturns(prices, method="simple") colnames(returns)="SP500"