Dear users,

I tried to use the getReturns/returns function available with the fSeries package but it did not appear to give me the results generated by the same function in S-Plus finmetrics. I am not sure what is happening or what goes behind the calculations.

I have the code

my.ts <- timeSeries(data = DataSeries) which generates the time series

                        37
1970-01-01        NA
1970-01-02        NA
1970-01-03        NA
1970-01-04        NA
1970-01-05        NA
1970-01-06        NA
1970-01-07        NA
1970-01-08        NA
1970-01-09        NA
1970-01-10        NA
1970-01-11        6500
1970-01-12        8100
1970-01-13        8010
1970-01-14        7930
.                       .
.                       .
.                       .
.                       .
.                       .

Then I used

dummystock.rs <- getReturns(my.ts, type = "discrete", na.rm = F, trim = F, percentage = T) which generates the returns

                        37
1970-01-01        NA
1970-01-02        NA
1970-01-03        NA
1970-01-04        NA
1970-01-05        NA
1970-01-06        NA
1970-01-07        NA
1970-01-08        NA
1970-01-09        NA
1970-01-10        NA
1970-01-11        NA
1970-01-12        22.0061885
1970-01-13        -1.1173301
1970-01-14        -1.0037725
.                       .
.                       .
.                       .
.                       .

However, what I really want is 24.61, -1.111, and -0.99 respectively rather than the returns above. The calculation I wanted for returns was (8100-6500)/6500 * 100 (for the first return) = 24.61 rather than 22.0061885.

I am using R version 2.7.0.

I wonder if anyone can give me any kind advice as to how to achieve the returns I hope to have.

Many thanks.

Best Regards,
Wy





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