1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
|
\name{Delt}
\alias{Delt}
%- Also NEED an '\alias' for EACH other topic documented here.
\title{ Calculate Percent Change }
\description{
Calculate the k-period percent difference within one series, or
between two series. Primarily used to calculate the percent change
from one period to another of a given series, or to calculate
the percent difference between two series over the full series.
}
\usage{
Delt(x1, x2 = NULL, k = 0, type = c("arithmetic", "log"))
}
\arguments{
\item{x1}{ \emph{m x 1} vector }
\item{x2}{ \emph{m x 1} vector }
\item{k}{ change over \code{k}-periods. default k=1 when x2 is NULL. }
\item{type}{ type of difference. log or arithmetic (default). }
}
\details{
When called with only \code{x1}, the one period percent change of the
series is returned by default. Internally this happens by copying
x1 to x2. A two period difference would be specified with \code{k=2}.
If called with both \code{x1} and \code{x2}, the difference between
the two is returned. That is, k=0. A one period difference would be
specified by \code{k=1}. \code{k} may also be a vector to calculate
more than one period at a time. The results will then be an m x length(k)
Arithmetic differences are used by default:
Lag = (x2(t) - x1(t-k))/x1(t-k)
Log differences are calculated:
Lag = log(x2(t)/x1(t-k))
}
\value{
An matrix of \code{length(x1)} rows and \code{length(k)} columns.
}
\author{ Jeffrey A. Ryan }
\seealso{ \code{\link{OpOp}} \code{\link{OpCl}} }
\examples{
Stock.Open <- c(102.25,102.87,102.25,100.87,103.44,103.87,103.00)
Stock.Close <- c(102.12,102.62,100.12,103.00,103.87,103.12,105.12)
Delt(Stock.Open) #one period pct. price change
Delt(Stock.Open,k=1) #same
Delt(Stock.Open,type='arithmetic') #using arithmetic differences (default)
Delt(Stock.Open,type='log') #using log differences
Delt(Stock.Open,Stock.Close) #Open to Close pct. change
Delt(Stock.Open,Stock.Close,k=0:2) #...for 0,1, and 2 periods
}
\keyword{ utilities }
|
