[R-SIG-Finance] Performance Analytics Calendar Returns

[Pie T]

Nice and elegant. Thanks.

On Wed, Sep 5, 2012 at 11:16 AM, G See <gsee000 at gmail.com> wrote:
> On Wed, Sep 5, 2012 at 12:21 AM, Nikos Rachmanis
> <nikos.rachmanis at gmail.com> wrote:
>> However, I am trying to transform the daily returns of my P&L (which also
>> include gaps) to monthly and unfortunately the to.monthly does not work
>> very well.
>>
>> i am currently trying table.TrailingPeriods and rollapply.
>>
>> Any other ideas or functions?
>
> ?apply.monthly
>
> apply.monthly(PnL, sum)
>
> -Garrett
>
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