rCumSum {realized}R Documentation

Plot cummulative returns

Description

Plots cummulative returns at a certain alignment given a return series.

Usage

rCumSum(x, period = 1, align.period = 1, plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)

Arguments

x RealizedObject or TimeSeries for S+
period Sampling period
align.period Align the returns to this period first
plotit T for plot
type Line or points
cts Create calendar time sampling if a non realizedObject is passed
makeReturns Prices are passed make them into log returns

Value

Cummulative return vector if plotit = F

Author(s)

Scott Payseur <spayseur@u.washington.edu>

Examples


data(msft.real.cts)
data(dates.example)

cumm <- list() 
cumm[[1]] <- rCumSum(msft.real.cts[[1]], period=1, align.period=60) 
cumm[[2]] <- rCumSum(msft.real.cts[[1]], period=10, align.period=60) 
cumm[[3]] <- rCumSum(msft.real.cts[[1]], period=20, align.period=60) 
cumm[[4]] <- rCumSum(msft.real.cts[[1]], period=30, align.period=60) 
plot(cumm[[1]], xlab="", ylab="Cumulative Ruturns", main="MSFT", sub=dates.example[[1]], type="p", col=16, lwd=2) 
lines(cumm[[2]], col=2, lwd=2) 
lines(cumm[[3]], col=3, lwd=2) 
lines(cumm[[4]], col=4, lwd=2)

[Package realized version 0.81 Index]