[R-sig-finance] price break down

[Spencer Graves]

	  Nearly all computations in R are to double precision, and I would not 
worry about round-off error in this case.

	  Far more important is an issue you have not mentioned:  What do you 
think about doing essentially all your computations on log price and log 
returns?  I recommend this for two reasons:  First, log prices and log 
returns tend more nearly normally distributed than the raw data and 
unlogged returns.  Second, the logarithms tend to be more tractible 
mathematically.  For example, extrapolation from a model fit to prices 
in dollars could give you negative prices, i.e., you would have to pay 
someone to take your bonds.  By contrast, negative log prices just means 
that the price is less than one dollar (or one Swiss Franc or whatever 
currency you are using).  If you honestly can be required to pay someone 
to take your bonds, then you don't want logarithms;  otherwise, I think 
  you do.

	  hope this helps.
	  spencer graves

Fred J. wrote:

>   Hi
>    
>   Doing calculations on time series data “US bonds” where the 
price is presented say 11328 to mean 113 28/32, it seams to me
that converting the rational would be 0.875 and the round-off
error would be expected to cause problems in doing calculations
on such numbers, how one could avoid or minimize such a problem?
>   or handle bond-kind-of-price in general?  Thanks
>    
>    
>   
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