Net-Asset-Value (NAV) Series
Create a net-asset-value (NAV) series.
NAVseries(NAV, timestamp,
instrument = NULL, title = NULL, description = NULL,
drop.NA = NULL)
as.NAVseries(x, ...)
## S3 method for class 'NAVseries'
print(x, ... )
## S3 method for class 'NAVseries'
summary(object, ..., monthly.vol = TRUE,
bm = NULL, monthly.te = TRUE,
na.rm = FALSE, assume.daily = FALSE)
## S3 method for class 'NAVseries'
plot(x, y, ..., xlab = "", ylab = "", type = "l")
## S3 method for class 'NAVseries'
window(x, start = NULL, end = NULL, ...)NAV |
numeric |
timestamp |
|
instrument |
character |
title |
character |
description |
character |
x |
an |
object |
an |
... |
further arguments. For |
drop.NA |
logical |
bm |
an optional NAVseries. If |
monthly.vol |
if |
monthly.te |
if |
assume.daily |
logical |
na.rm |
logical |
y |
a second NAVseries to be plotted. Not supported yet. |
xlab |
character |
ylab |
character |
type |
character. See |
start |
same class as timestamp; |
end |
same class as timestamp; |
An NAVseries is a numeric vector (the actual series) and
additional information, attached as attributes: timestamp,
instrument, title, description. Of these attributes,
timestamp is the most useful, as it is used for several
computations (e.g. when calling summary) or for
plotting.
The summary method returns a list of the original
NAVseries plus various statistics, such as return per year
and volatility. The method may receive several NAV series as
input
an NAVseries: see Details.
an NAVseries summary: a list of lists. If a
benchmark series is present, the summary has an
attribute bm: an integer, specifying the
position of the benchmark.
The semantics of handling NAVseries are not stable
yet. Currently, objects of class NAVseries are
univariate: you create a single NAVseries, summarise
it, plot it, and so one. In the future, at least some
of the methods will support the multi-variate case,
i.e. be able to handle several series at once.
Enrico Schumann <es@enricoschumann.net>
Schumann, E. (2021) Portfolio Management with R. http://enricoschumann.net/PMwR/
For handling external cashflows, see unit_prices,
split_adjust and div_adjust.
summary(NAVseries(DAX[[1]], as.Date(row.names(DAX)), title = "DAX"))
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