[R] Vectorization

[Petr Savicky]

On Sun, Jan 23, 2011 at 07:29:16PM -0800, eric wrote:
> 
> Is there a way to vectorize this loop or a smarter way to do it ?
> 
> y
>  [1]  0.003990746 -0.037664639  0.005397999  0.010415496  0.003500676
>  [6]  0.001691775  0.008170774  0.011961998 -0.016879531  0.007284486
> [11] -0.015083581 -0.006645958 -0.013153103  0.028148639 -0.005724317
> [16] -0.027408025  0.014767422 -0.001619691  0.018334730 -0.009747171
> 
> x <-numeric(length(y))
> for (i in 1 :length(y)) {
> x[i] <- ifelse( i==1, 10000*(1+y[i]), (1+y[i])*x[i-1])
> }
> 
> x
>  [1] 10039.907  9661.758  9713.912  9815.087  9849.447  9866.110  9946.724
>  [8] 10065.706  9895.802  9967.888  9817.536  9752.289  9624.016  9894.919
> [15]  9838.278  9568.630  9709.934  9694.207  9871.948  9775.724
> 
> Basically trying to see how the equity of an investment changes after each
> return period. Start with $10,000 and a series of returns over time. Figure
> out the equity after each time period (return).

Hello.

The cycle computes a cumulative product. The initialization may
be add as a common multiplier. So, z in the following should be equal
to x up to the machine rounding error.

  y <- c(
    0.003990746, -0.037664639,  0.005397999,  0.010415496,  0.003500676,
    0.001691775,  0.008170774,  0.011961998, -0.016879531,  0.007284486,
   -0.015083581, -0.006645958, -0.013153103,  0.028148639, -0.005724317,
   -0.027408025,  0.014767422, -0.001619691,  0.018334730, -0.009747171)
 
  x <- numeric(length(y))
  for (i in 1:length(y)) {
      x[i] <- ifelse(i==1, 10000*(1+y[i]), (1+y[i])*x[i-1])
  }
 
  z <- 10000*cumprod(1 + y)
 
  max(abs(x - z))
  # [1] 1.818989e-12

Petr Savicky.