[R-SIG-Finance] Calculating returns on negative time series

[Johnson, Cedrick W.]

Howdy-

I *know* I've seen it discussed before on the list, and I've tried to 
search through all my emails and the archives for it so forgive me for 
reposting (perhaps I'm using the improper search terms).

To calculate the simple returns for a time series above 0, no brainer:

I'm using the Return.calculate function to calculate these (method="simple")

Things get a little tricky when I throw in time series that are negative 
(such as spreads):

x = 
c(-117,-122,-129,-129,-134,-136,-136,-140,-143,-143,-143.2,-146.7,-145.8,-143,-141.2,-137.7,-135.5,-133.6)

NaN's are produced when trying to get a "return" time series. I seem to 
recall doing this

xa = abs(x)
Return.calculate(xa)

2   0.041847110
3   0.055791360
4   0.000000000
5   0.038027396
6   0.014815086
7   0.000000000
8   0.028987537
9   0.021202208
10  0.000000000
11  0.001397624
12  0.024147431
13 -0.006153866
14 -0.019391189
15 -0.012667305
16 -0.025099919
17 -0.016105765
18 -0.014121379

I am thinking that I could take the abs value, once I get the return 
series just invert it by multiplying by -1. I'm concerned that something 
could be thrown off by a series that's changing from lets say 1,0,-1 
(puking on the 0).

Can someone point me to anything that addresses this? Not sure the 
"solution" i outlined above is the proper way to handle this.

-c