RTL (version 1.3.2)

returns: Compute absolute, relative or log returns.

Description

Computes periodic returns from a dataframe ordered by date

Usage

returns(df = dflong, retType = "abs", period.return = 1, spread = FALSE)

Value

A dataframe object of returns.

Arguments

df

Long dataframe with colnames = c("date","value","series")

retType

"abs" for absolute, "rel" for relative, or "log" for log returns.

period.return

Number of rows over which to compute returns.

spread

TRUE if you want to spread into a long dataframe.

Author

Philippe Cote

Examples

x <- dflong %>% dplyr::filter(grepl("CL01", series))
returns(df = x, retType = "abs", period.return = 1, spread = TRUE)