[R-SIG-Finance] PerformanceAnalytics Return.calculate "simple" does not work

[Techni X]

@ Brian: Thanks! 

I copied the function for Return.calculate from the link you provided and it works!
And thanks to you and your co-authors for the brilliant package!

@ Worik: I think it does not work in Version 1.0.4.4, but it did in previous versions. Brian's hint however solves it, see above.

Best Regards
Stephan



----- Original Message -----
From: Brian G. Peterson <brian at braverock.com>
To: Techni X <fibosworld at yahoo.com>
Cc: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Sent: Thursday, April 12, 2012 11:41 PM
Subject: Re: [R-SIG-Finance] PerformanceAnalytics Return.calculate "simple" does not work

A regression bug slipped into the last release.
Fixed in svn r 1894

https://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/PerformanceAnalytics/R/Return.calculate.R?root=returnanalytics

On Thu, 2012-04-12 at 14:19 -0700, Techni X wrote:
> 
> Dear,
> I encounter a problem if I run the example from the PerformanceAnalytics package on Return.calculate:
> require(tseries) prices = get.hist.quote("IBM", start = "1999-01-01", end = "2007-01-01", quote = "AdjClose", compression = "d") R.IBM = Return.calculate(prices, method="simple")
> 
> R.IBM is then a vector filled with zeros
> 
> Method="compound" however works:
> R.IBM = Return.calculate(prices, method="compound").
> 
> Still I do need the "simple" method. Can anybody help and give me a hint?
> 
> Thanks
> Stephan
> 
> > sessionInfo() R version 2.14.2 (2012-02-29)
> Platform: i386-pc-mingw32/i386 (32-bit) locale:
> [1] LC_COLLATE=German_Germany.1252  LC_CTYPE=German_Germany.1252  
> [3] LC_MONETARY=German_Germany.1252 LC_NUMERIC=C                  
> [5] LC_TIME=German_Germany.1252     attached base packages:
> [1] stats     graphics  grDevices utils     datasets  methods   base      other attached packages: [1] tseries_0.10-28              quadprog_1.5-4               [3] scales_0.2.0                 gdata_2.8.2                  [5] PerformanceAnalytics_1.0.4.4 ggplot2_0.9.0                [7] quantmod_0.3-17              TTR_0.21-1                   [9] xts_0.8-6                    zoo_1.7-7                  
> [11] Defaults_1.1-1               plyr_1.7.1                  
> [13] RColorBrewer_1.0-5           loaded via a namespace (and not attached): [1] colorspace_1.1-1 dichromat_1.2-4  digest_0.5.2     grid_2.14.2      [5] gtools_2.6.2     lattice_0.20-0   MASS_7.3-17      memoise_0.1      [9] munsell_0.3      proto_0.3-9.2    reshape2_1.2.1   stringr_0.6    
> [13] tools_2.14.2
> 
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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock