[R-SIG-Finance] [R-sig-finance] n-period return

[Jeff Ryan]

Try:

?diff

library(quantmod)
getSymbols("AAPL")
AAPL.Cl <- Cl(AAPL)

diff(log(AAPL.Cl), lag=11)
diff(log(AAPL.Cl), lag=90)
diff(log(AAPL.Cl), lag=180)

Or using quantmod's Delt:

Delt(Cl(AAPL), k=c(11,90,180), type="log")

HTH
Jeff

On Mon, Aug 3, 2009 at 5:55 AM,
ehxpieterse<eduard.pieterse at macquarie.com> wrote:
>
> Apologies if this has been asked before.
>
> I am looking for a function to calculate the n-period return for a time
> series. For example, the user would specify 11, 90 or 180 and then generate
> an accompanying n-period delta.
>
> Thanks in advance.
> Eduard
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com