[R-SIG-Finance] xts, period.apply question

msalese massimo.salese at gmail.com
Tue May 10 16:14:34 CEST 2011


Hi, I'm new to R and I'm learning Rmetrics library but here I wrote some code
using quantmod/xts.
#############################################################
R.version
               _                            
platform       x86_64-pc-linux-gnu          
arch           x86_64                       
os             linux-gnu                    
system         x86_64, linux-gnu            
status                                      
major          2                            
minor          13.0                         
year           2011                         
month          04                           
day            13                           
svn rev        55427                        
language       R                            
version.string R version 2.13.0 (2011-04-13)
######################################################
> sessionInfo()
R version 2.13.0 (2011-04-13)
Platform: x86_64-pc-linux-gnu (64-bit)

locale:
 [1] LC_CTYPE=en_US.UTF-8       LC_NUMERIC=C              
LC_TIME=en_US.UTF-8       
 [4] LC_COLLATE=en_US.UTF-8     LC_MONETARY=C             
LC_MESSAGES=en_US.UTF-8   
 [7] LC_PAPER=en_US.UTF-8       LC_NAME=C                  LC_ADDRESS=C              
[10] LC_TELEPHONE=C             LC_MEASUREMENT=en_US.UTF-8
LC_IDENTIFICATION=C       

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
 [1] quantmod_0.3-15    TTR_0.20-2         xts_0.8-0          zoo_1.6-5         
 [5] Defaults_1.1-1     fOptions_2110.78   fBasics_2110.79    MASS_7.3-13       
 [9] timeSeries_2130.92 timeDate_2130.93  

loaded via a namespace (and not attached):
[1] grid_2.13.0     lattice_0.19-26 tools_2.13.0   
#######################################################
running on :
######################################################
Linux plutok 2.6.32-31-generic #61-Ubuntu SMP Fri Apr 8 18:25:51 UTC 2011
x86_64 GNU/Linux
Distributor ID:	Ubuntu
Description:	Ubuntu 10.04.2 LTS
Release:	10.04
Codename:	lucid
#######################################################
Here the code that to me semes to work fine:
######################################################àà
#Load quantmod library ---> call xts/zoo too 
library(quantmod) 
#download data from yahoo (Generali Assurance - Italian Company )
getSymbols(Symbols="G.MI",src="yahoo")
#define function to compute max relative drawdown
relMxDD<-function(x){
  rdd<-cummax(log(x))-log(x)
  rdd<-1-(1/exp(rdd))
  max(rdd)
}
# apply relMxDD monthly
maxRelDD.sample<-period.apply(x=Cl(G.MI),endpoints(x=Cl(G.MI),on="months"),FUN=relMxDD)
#the same if you use 
#apply.monthly(x=Cl(G.MI),FUN=relMxDD))
plot(maxRelDD.sample,type='h')
hist(x=maxRelDD.sample)





--
View this message in context: http://r.789695.n4.nabble.com/xts-period-apply-question-tp3511933p3512019.html
Sent from the Rmetrics mailing list archive at Nabble.com.



More information about the R-SIG-Finance mailing list