Dear R forum helpers,
I am extremely sorry for the receipt of my incomplete mail yesterday. There was
connectivity problem at my end and so I chose to send the mail through my cell,
only to realize today about the way mail has been transmitted. I am again
sending my complete mail through regular channel and sincerely apologize for
the inconvenience caused.
## Here is my actual mail
Dear R forum helpers,
I have following data
trans <- data.frame(currency = c("EURO", "USD", "USD", "GBP", "USD", "AUD"),
position_amt = c(10000, 25000, 20000, 15000, 22000, 30000))
date <- c("12/31/2010", "12/30/2010", "12/29/2010", "12/28/2010", "12/27/2010",
"12/24/2010", "12/23/2010", "12/22/2010", "12/21/2010", "12/20/2010")
USD <- c(112.05, 112.9, 110.85, 109.63, 108.08, 111.23, 112.49, 108.87,
109.33, 111.88)
GBP <- c(171.52, 168.27,169.03, 169.64, 169.29, 169.47, 170.9, 168.69, 170.9,
169.96)
EURO <- c(42.71, 42.68, 41.86, 44.71, 44.14, 44.58, 41.07, 42.23, 44.55, 41.12)
CHF <- c(41.5, 41.47, 42.84, 43.44, 43.69, 42.3, 42.05, 41.23, 42.76, 43.79)
AUD <- c(109.55, 102.52, 114.91, 122.48, 122.12, 123.96, 100.36, 110.19,
121.58, 103.46)
These are the exchange rates and I am trying calculating the returns. I am
giving only a small portion of actual data as I can't send this as an
attachment. I am using function as I want to generalize the code for any
portfolio.
# __________________________________________________
# My Code
trans <- read.table('transactions.csv', header=TRUE, sep=",",
na.strings="NA", dec=".", strip.white=TRUE)
# reading as table.
#currency <- read.table('currency.csv')
#date <- currency$date
#USD = currency$USD
#GBP = currency$GBP
#EURO = currency$EURO
#CHF = currency$CHF
#AUD = currency$AUD
# _________________________________________________________
# CREATION of Function. I am using function as no of transactions is not
constant.
spot_trans = function(currency_trans)
{
if (currency_trans == "USD")
{rate = USD}
# So if I am dealing with TRANSACTION "USD", I am selecting the USD exchange
rates.
if (currency_trans == "GBP")
{rate = GBP}
if (currency_trans == "EURO")
{rate = EURO}
if (currency_trans == "CHF")
{rate = CHF}
if (currency_trans == "AUD")
{rate = AUD}
# ________________________________________________
# CURRENCY Rate RETURNS i.e. lob(todays rate / yesterday rate) and the data is
in descending "Date" order
currency_rate_returns = NULL
for (i in 1:(length(rate)-1)) # if there are 10 elements, total no of returns
= 9
{
currency_rate_returns[i] = log(rate[i]/rate[i+1])
}
currency_rate_returns
return(data.frame(returns = currency_rate_returns))
}
# _______________________________________________
spot_returns_table <- lapply(1:nrow(trans), function(z) with(trans[z, ],
spot_trans(currency_trans=trans$currency_transacted)))
spot_returns_table
This generates the output as given below with 30 warnings. Also, as there are
six transactions, 6 outputs are generated but the output in all pertains only
to the first transacations i.e. 6 times returns are generated for the first
transaction "EURO"
> warnings()
Warning messages:
1: In if (currency_trans == "USD") { ... :
the condition has length > 1 and only the first element will be used
2: In if (currency_trans == "GBP") { ... :
the condition has length > 1 and only the first element will be used
3: In if (currency_trans == "EURO") { ... :
the condition has length > 1 and only the first element will be used
.... and so on
The output is as given below.
> spot_returns_table
[[1]]
spot_returns
1 0.0007026584
2 0.0193997094
3 -0.0658664732
4 0.0128307894
5 -0.0099189271
6 0.0820074000
7 -0.0278529410
8 -0.0534812850
9 0.0801175328
10 -0.0710983059
[[2]]
spot_returns
1 0.0007026584
2 0.0193997094
3 -0.0658664732
4 0.0128307894
5 -0.0099189271
6 0.0820074000
7 -0.0278529410
8 -0.0534812850
9 0.0801175328
10 -0.0710983059
[[3]]
spot_returns
1 0.0007026584
2 0.0193997094
3 -0.0658664732
4 0.0128307894
5 -0.0099189271
6 0.0820074000
....................
....................
and so on.
Kindly guide as if there is only one transaction i.e. I am dealing with only
one currency, code runs excellently.
Thanking in advance and once again apologize for the inconvenience caused.
Amelia Vettori
[[alternative HTML version deleted]]
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