[R-SIG-Finance] Help in rolling calculation

[Brian G. Peterson]

On Mon, 2012-06-25 at 21:13 +0100, Raghuraman Ramachandran wrote:
> Do you think there exists any other elegant solution?
> 
It doesn't get much simpler or more 'elegant' than that.

This is of course too simple to handle nuanced transaction ordering,
commissions, etc.

> Also do you think rollapply or apply.fromstart etc could also be used
> to solve such problems?
> 
Yes, but cumprod is written in C underneath,so it's faster to use it if
you can.
> 
-- 
Brian G. Peterson
http://braverock.com/brian/
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