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

[Patrick Burns]

I was interpreting the question as looking for:

price.vector <- original.price * exp(cumsum(return.vector))


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

Whit Armstrong wrote:
> There are many ways of doing this. You need to decide what your strategy is
> for rolling the contracts (vol crossover, OI crossover, expiration, 10 days
> before expiration, first notice date, etc.).
> 
> Look here for a basic idea about how to do this:
> http://github.com/armstrtw/RCommodity
> 
> <http://github.com/armstrtw/RCommodity>-Whit
> 
> 
> On Fri, Nov 27, 2009 at 9:52 AM, Wob Wu <wobwu22 at yahoo.de> wrote:
> 
>> 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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