FinTS (version 0.4-9)

compoundInterest: Compute compound interest

Description

Compute compound interest for a given number of periods, compounding with an indicated frequency per period.

Usage

compoundInterest(interest, periods = 1, frequency = 1, net.value = FALSE)
simple2logReturns(R)

Value

vector of the length of the longest argument.

Arguments

interest

rate of interest per period (usually per year).

periods

number of periods over which to compound.

frequency

number of times per period to compound; frequency = Inf to convert simple to log returns.

net.value

if TRUE, return the total value per unit invested; otherwise return net increase = (net value - 1).

R

simple interest to be converted to log(returns).

Details

These functions are vectorized for all arguments. The code uses optionally expm1(x) = exp(x) - 1 and log1p(x) = log(1+x) which can preserve numerical precision for x very close to 0.

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, p. 6)

Examples

# "Net Value" column of Tsay Table 1.1, p. 4
compoundInterest(0.1, frequency = c(1, 2, 4, 12, 52, 365, Inf),
                      net.value = FALSE)
# Example 1.1, p. 6
compoundInterest(.0446, freq = Inf)
# Inverse of Example 1.1
simple2logReturns(.0456)