cumprod.column

cummax.column

a vector, matrix, data frame, timeSeries or zoo object of observations

calculate cumulative values for the observation series given, including multicolumn extensions to cummax and cumprod
    <tabular>ll</tabular>{
        <code><a href="/link/cummax.column?package=PerformanceAnalytics&version=0.9.5" rd-options="" data-mini-rdoc="PerformanceAnalytics::cummax.column">cummax.column</a></code> 	cumulative maxima by column, useful for drawdowns <code><a href="/link/cumprod.column?package=PerformanceAnalytics&version=0.9.5" rd-options="" data-mini-rdoc="PerformanceAnalytics::cumprod.column">cumprod.column</a></code> 	cumulative product by column, useful for compound returns }<p></p><p>A prior version of thesefunctions included specific NA handling.  This was removed due to a conflict with the general cumulative functions in the R core.  Please be aware that you may have issues with series of different lengths, and may need to explicitly handle NAs as a result.</p>

multivariate

models

distribution

cum.utils

Library of econometric functions for performance and risk analysis. This library aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams.  In general, this library is most tested on return (rather than price) data on a monthly scale, but most functions will work with daily or irregular return data as well.

cum.utils: wrapper to calculate cumprod on all columns in a matrix

Description

Usage

Arguments

Value

See Also