Hi:
Start by writing a small utility function to compute the CCR (not to
be confused with the rock band):
ccr <- function(x) 100 * (log(x[-1]) - log(x[-length(x)]))
# Small test:
x <- round(rnorm(10, 5, 0.5), 2)
ccr(x) # Works on vectors...
# Load up the stock data:
library(quantmod)
getSymbols("GOOG",from="2011-11-01")
GOOG1<-GOOG[,1]
# Try it directly:
> ccr(GOOG[, 1])
GOOG.Open
2011-11-02 0
2011-11-03 0
2011-11-04 0
2011-11-07 0
2011-11-08 0
2011-11-09 0
2011-11-10 0
2011-11-11 0
2011-11-14 0
2011-11-15 0
2011-11-16 0
2011-11-17 0
## Hmm, no go. Try this instead:
> apply(GOOG1, 2, ccr)
GOOG.Open
2011-11-02 0.82403900
2011-11-03 0.35839274
2011-11-04 1.10123942
2011-11-07 -0.03033316
2011-11-08 2.60843853
2011-11-09 -0.78136988
2011-11-10 0.27598990
2011-11-11 -0.76704898
2011-11-14 1.10809039
2011-11-15 0.78637365
2011-11-16 -0.11756255
2011-11-17 -0.33220719
2011-11-18 -1.32834757
If you look at the structure of GOOG1 [str(GOOG1)], you'll see that it
is a one column matrix, so apply() is one way to go, especially if you
want to run the function on multiple columns of a matrix.
HTH,
Dennis
On Sun, Nov 20, 2011 at 3:52 PM, barb <mainze...@hotmail.com> wrote:
> Hey guys,
>
> i want to calculate the continuasly compounded returns for stock prices.
>
> Formula for CCR:
> R_t = ln(P_t/P_{t-1})*100
>
> With R:
>
> First i have to modify the vectors, so that they have the same length
> and we start at the second observation.
>
> log(GOOG1[-1]/GOOG1[1:length(GOOG1)-1])*100
>
> That does work with normal vectors.
>
> My Questions:
>
> 1) I want to use this for stock prices.
>
>
> so i use:
>
> library(quantmod)
> getSymbols("GOOG",from="2011-11-01")
> GOOG1<-GOOG[,1]
>
>
> If i use my formula i get only the value "1" for every observation :(
>
>
>
> Thanks for your time and help!
> I appreciate it
>
> Regards
> Tonio
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/Continuasly-Compunded-Returns-with-quantmod-data-tp4090014p4090014.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
