[R-SIG-Finance] quantmod package documentation

[Daniel Cegiełka]

2011/11/3 Andreas Voellenklee <wotuzu17 at gmail.com>:
> Hello,
>
> I have some questions about the quantmod package documentation and the
> function getSymbols.
>
> 1) altough I have quantmod_0.3-17 installed, the documentation says
> it's version 0.3-8 from 2007-11-20. Maybe someone of the developer
> group fix this?
>
> 2) I've seen code that uses a undocumented parameter adjust=TRUE in
> getSymbols. I thought this would be a convenient way to retrieve and
> adjust prices in one line of code, but the result is somewhat
> surprising.
>
> Let's compare these three different snippets:
>
> Version 1:
>> getSymbols("C") # retrieve unadjusted prices
> [1] "C"
>> head(C)
>           C.Open C.High C.Low C.Close C.Volume C.Adjusted
> 2007-01-03  55.66  56.28 54.72   55.25  2282100     499.32
> 2007-01-04  55.25  56.15 54.72   55.06  1658700     497.60
> 2007-01-05  55.00  55.05 54.46   54.77  1317900     494.98
> 2007-01-08  54.60  55.15 54.30   55.05  1236900     497.51
> 2007-01-09  55.01  55.15 54.19   54.57  1963000     493.17
> 2007-01-10  54.27  54.49 53.95   54.13  1744900     489.20
>
> Version 2:
>> getSymbols("C", adjust=TRUE) # retrieve adjusted prices
> [1] "C"
>> head(C)
>             C.Open   C.High    C.Low  C.Close C.Volume C.Adjusted
> 2007-01-03 191.1241 193.2530 187.8963 189.7162  6646032     499.32
> 2007-01-04 189.7162 192.8066 187.8963 189.0638  4830539     497.60
> 2007-01-05 188.8578 189.0295 187.0036 188.0680  3838046     494.98
> 2007-01-08 187.4843 189.3729 186.4542 189.0295  3602155     497.51
> 2007-01-09 188.8921 189.3729 186.0764 187.3813  5716735     493.17
> 2007-01-10 186.3511 187.1066 185.2523 185.8704  5081575     489.20
>
> Version 3:
>> getSymbols("C") # retrieve unadjusted prices
>> assign("C", adjustOHLC(get("C"),use.Adjusted=TRUE)) # adjust prices using quantmod::adjustOHLC
>> head(C)
>             C.Open   C.High    C.Low C.Close C.Volume C.Adjusted
> 2007-01-03 503.0254 508.6286 494.5301  499.32  2282100     499.32
> 2007-01-04 499.3171 507.4508 494.5273  497.60  1658700     497.60
> 2007-01-05 497.0586 497.5105 492.1784  494.98  1317900     494.98
> 2007-01-08 493.4432 498.4137 490.7319  497.51  1236900     497.51
> 2007-01-09 497.1464 498.4117 489.7358  493.17  1963000     493.17
> 2007-01-10 490.4653 492.4535 487.5732  489.20  1744900     489.20
>
>
> Does anybody know what the parameter adjust in Version 2 is supposed
> to adjust? And why it's not documented?

Adjust is this price adjustment due to dividends and splits etc.

https://r-forge.r-project.org/scm/viewvc.php/pkg/man/adjustOHLC.Rd?view=markup&revision=570&root=quantmod

daniel

>
> Thanks,
> Andreas
>
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