PerformanceAnalytics (version 0.9.7.1)

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

Description

calculate cumulative values for the observation series given, including multicolumn extensions to cummax and cumprod ll{ cummax.column cumulative maxima by column, useful for drawdowns cumprod.column cumulative product by column, useful for compound returns }

A prior version of these functions 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.

Usage

## S3 method for class 'column':
cumprod(x)
## S3 method for class 'column':
cummax(x)

Arguments

x

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

Value

• transformed matrix of cumprod's or cummax's

See Also

cumprod cummax