[R-sig-finance] Creating a Price Series From a Returns Series Using R

[Patrick Burns]

It will depend on what type of returns you have, but
assuming you have log returns and your returns are in
'retvec', then:

pseudoprice <- orig.price * exp(cumsum(retvec))

Will give you a price series.  If you have simple returns,
one approach is to first transform them into log returns.


Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Katherine Walton wrote:

>I was wondering if anyone had a simple way to make a price series (or
>Vami) from a return series using R (or S+).
> 
>Katherine Walton
>Mathematician
>QES: Quantitative Equity Strategies
>303-471-0244
> <mailto:katherine at qesinvest.com> katherine at qesinvest.com
> 
> 
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