PMwR (version 0.11-0)

pricetable: Price Table

Description

Create price table

Usage

pricetable(price, …)

Arguments

price

a matrix

…

further arguments, passed to methods

Value

a numeric matrix with class attribute pricetable

Details

pricetable is a helper function for extracting prices of particular instrument at specified dates. For this, it first creates a table that merges series passed via … and appends a class attribute. A [ method then allows to extract prices. Importantly, if you ask for a subset of m rows and n columns, the result will be a matrix of size m times n, even if times or instruments are missing.

pricetable is a generic function, currently with methods for numeric vectors (including vectors with a dim, aka matrices) and for zoo objects.

References

Schumann, E. (2017) Portfolio Management with R. http://enricoschumann.net/R/packages/PMwR/

See Also

match

Examples

# NOT RUN {
m <- 3
n <- 2
price <- array(c(1:m, 1:m + 100), dim = c(m,n))
colnames(price) <- LETTERS[1:n]
pt <- pricetable(price, timestamp = 1:m)
##   A   B
## 1 1 101
## 2 2 102
## 3 3 103

pt[ , "A"]
##   A
## 1 1
## 2 2
## 3 3

pt[ , c("X", "A", "X")]
##    x A  x
## 1 NA 1 NA
## 2 NA 2 NA
## 3 NA 3 NA

pt[ , c("X", "A", "X"), missing = 0]
##   X A X
## 1 0 1 0
## 2 0 2 0
## 3 0 3 0

pt[c(0, 1.5, 4), , missing = "locf"]
##      A   B
## 0   NA  NA
## 1.5  2 102
## 4    3 103
# }