[R-SIG-Finance] Creating a back adjusted continuous price series from log returns

[Wob Wu]

I am trying to create a continuous daily futures contract time series. I've already calculated the log returns for this series and want to create an artificial price series starting with the most recent price (the one with the latest date).
Basically I am trying to create a price series with the following logic:

p(-1) := exp(ln(p(0)) - r)

I have got p(T) and the log return series r and am trying to create the price series.

with
p(0) = todays price
p(-1) = yesterdays price
p(T) = the price at time T (current available price)
r = log return between yesterdays price and todays price

Thanks

Wolfgang Wu

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