[R-SIG-Finance] XTS - endpoints omits price changes

[James]

Thanks for the suggestions.  Between your help and Josh's help I  
think I can get it to work.  But I need to get it working using the  
time periods aligned to the option expiration cycle.  I'll keep  
working on it.  Thanks again for your help.

James




On Jul 16, 2008, at 7:39 PM, Jeff Ryan wrote:

> An alternate (simpler) approach using 'quantmod':
>
>> monthlyReturn(x[,'Close'],type='log')
>          monthly.returns
> Jan 2007     0.019013286
> Feb 2007    -0.016934043
> Mar 2007     0.004605120
> Apr 2007     0.054321097
> May 2007     0.031061724
> Jun 2007     0.003999584
> Jul 2007    -0.001471671
> Aug 2007     0.027802621
> Sep 2007     0.050668995
> Oct 2007     0.068045785
> Nov 2007    -0.069992826
> Dec 2007    -0.001755584
>
>> sum(monthlyReturn(x[,'Close'],type='log'))
> [1] 0.1693641
>
>> yearlyReturn(x[,'Close'],type='log')
>            yearly.returns
> 2007-12-31      0.1693641
>
> What is being called by periodReturn internally:
>> Delt(Cl(to.monthly(x)),type='log')
>            Delt.1.log
> Jan 2007           NA
> Feb 2007 -0.016934043
> Mar 2007  0.004605120
> Apr 2007  0.054321097
> May 2007  0.031061724
> Jun 2007  0.003999584
> Jul 2007 -0.001471671
> Aug 2007  0.027802621
> Sep 2007  0.050668995
> Oct 2007  0.068045785
> Nov 2007 -0.069992826
> Dec 2007 -0.001755584
>
> see ?periodReturn for more info on formats and options.
>
> Jeff
> On Wed, Jul 16, 2008 at 4:30 PM, James <j at jtoll.com> wrote:
>> Hi,
>>
>>
>> I've been learning to use the XTS package and have run into a  
>> problem.  If I
>> calculate monthly log normal price relatives as such:
>>
>>> df<-yahooSeries("QQQQ", from = "2007-01-01", to = "2007-12-31",
>>> returnClass=c("data.frame"))
>>> x<-as.xts(df)
>>> names(df)<-c("Open","High","Low","Close","Volume")
>>> period.apply(x$Close, INDEX=endpoints(x, 'months'), FUN=function(x)
>>> sum(diff(log(x))))
>> 2007-01-31   2007-02-28   2007-03-30   2007-04-30   2007-05-31    
>> 2007-06-29
>>   2007-07-31   2007-08-31   2007-09-28
>>  0.019013286 -0.015344398  0.009231545  0.052943687  0.027803331
>>  0.003367007 -0.010464725  0.020048207  0.050668995
>>  2007-10-31   2007-11-30   2007-12-31
>>  0.056634772 -0.051098382  0.006660162
>>
>> What happens is that the price change between the last day of the  
>> previous
>> month and the first day of the current month is ignored for all 12  
>> months.
>>  This is a problem because I should, at least in my opinion, be  
>> able to add
>> all twelve monthly changes to get the yearly change.  And that  
>> should be the
>> same as:
>>
>>> period.apply(x$Close, INDEX=endpoints(x, 'years'), FUN=function(x)
>>> sum(diff(log(x))))
>> 2007-12-31
>>  0.1693641
>>
>> But it's not, because 12 daily returns have been left out.  Is  
>> there a way
>> to change this behavior, so that any given month, or period, will  
>> include
>> all the price changes?
>>
>> Thanks,
>>
>> James
>>
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>
>
>
> -- 
> Jeffrey Ryan
> jeffrey.ryan at insightalgo.com
>
> ia: insight algorithmics
> www.insightalgo.com