[R] Fwd: how to calculate the return?

[Patrick Burns]

You don't need a loop.  If 'data' is a matrix of prices:

re <- diff(log(data))

creates a matrix of returns.


Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Denver XU wrote:

>hi,scionforbai,
>Thank you very much.
>I made very stupid mistake for the number is not stock price.
>In fact, if the number is correct, data[i,1] is equivalent to data[i]
>
>
>
>2007/11/24, Scionforbai <scionforbai at gmail.com>:
>  
>
>>Hi Denver,
>>
>>    
>>
>>>I want  to calculate the return say AMR,so I use
>>>      
>>>
>>If data is a matrix  or a data.frame you need to use the correct
>>index: [row,col] instead of [row]. Try:
>>
>>re=numeric(10)
>>for (i in 2:nrow(data)) {
>>     re[1]=0
>>     re[i]=log(data[i,1]/data[i-1,1])
>>}
>>
>>This works, but of course you have negative values of the ratio, so
>>the log cannot be computed.
>>See also ?apply.
>>
>>    
>>
>
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