Dear,
I encounter a problem if I run the example from the PerformanceAnalytics
package on Return.calculate:
require(tseries) prices = get.hist.quote("IBM", start = "1999-01-01", end =
"2007-01-01", quote = "AdjClose", compression = "d") R.IBM =
Return.calculate(prices, method="simple")
R.IBM is then a vector filled with zeros
Method="compound" however works:
R.IBM = Return.calculate(prices, method="compound").
Still I do need the "simple" method. Can anybody help and give me a hint?
Thanks
Stephan
> sessionInfo() R version 2.14.2 (2012-02-29)
Platform: i386-pc-mingw32/i386 (32-bit) locale:
[1] LC_COLLATE=German_Germany.1252 LC_CTYPE=German_Germany.1252
[3] LC_MONETARY=German_Germany.1252 LC_NUMERIC=C
[5] LC_TIME=German_Germany.1252 attached base packages:
[1] stats graphics grDevices utils datasets methods base other
attached packages: [1] tseries_0.10-28 quadprog_1.5-4
[3] scales_0.2.0 gdata_2.8.2 [5]
PerformanceAnalytics_1.0.4.4 ggplot2_0.9.0 [7] quantmod_0.3-17
TTR_0.21-1 [9] xts_0.8-6
zoo_1.7-7
[11] Defaults_1.1-1 plyr_1.7.1
[13] RColorBrewer_1.0-5 loaded via a namespace (and not attached):
[1] colorspace_1.1-1 dichromat_1.2-4 digest_0.5.2 grid_2.14.2 [5]
gtools_2.6.2 lattice_0.20-0 MASS_7.3-17 memoise_0.1 [9]
munsell_0.3 proto_0.3-9.2 reshape2_1.2.1 stringr_0.6
[13] tools_2.14.2
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