Dear sir, I am extremely sorry for messing up the logic
asking for help w.r.t. my earlier mails
I have tried to explain below what I am looking for.
I have a database (say, currency_rates) storing datewise
currency exchange rates with some base currency XYZ.
currency_rates <- data.frame(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))
I have a portfolio consisting of some of these currencies.
At this moment, suppose my portfolio has following currency
transactions. i.e following is my current portfolio and
has 2 USD transactions, 2 EURO transactions and a CHF
transactions.
portfolio_currency_names = c("USD",
"USD", "EURO", "CHF", "EURO",
"USD")
# ____________________________________
My objective is AS PER THE PORTFOLIO, I need to generate a
data.frame giving respective currency returns.
Thus, I need to have an output like
USD USD EURO CHF
EURO
USD
-0.0076 -0.0076
0.0007 0.0007 0.0007 -0.0076
0.0183 0.0183 0.0194 -0.0325
0.0194 0.0183
0.0111 0.0111 -0.0659 -0.0139
-0.0659 0.0111
0.0142 0.0142 0.0128 -0.0057
0.0128 0.0142
-0.0287 -0.0287 -0.0099 0.0323
-0.0099 -0.0287
-0.0113 -0.0113
0.0820 0.0059 0.0820 -0.0113
0.0327 0.0327 -0.0279
0.0197 -0.0279
0.0327
-0.0042 -0.0042 -0.0535 -0.0364
-0.0535 -0.0042
-0.0231 -0.0231
0.0801 -0.0238 0.0801 -0.0231
Thus, my requirement is to have the dataframe as per the
composition of my portfolio. Thus, if there are only 2 transactions i.e. if my
portfolio contains say only CHF
and AUD, I need the return calculations done only forCHF and AUD.
CHF AUD
0.0007 0.0663
-0.0325 -0.1141
-0.0139 -0.0638
-0.0057 0.0029
0.0323 -0.0150
0.0059 0.2112
0.0197 -0.0934
-0.0364 -0.0984
-0.0238 0.1614
I once again apologize for not asking my requirement
properly thereby causing not only inconvenience to all of you, but also wasting
your valuable time. Its not that I wasn't careful while asking for guidance for
my requirement, I wasn't clear about it. I am sorry for the same once again.
I request you to please help me.
Amelia Vettori
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