relativeWeights {IndexConstruction}

Retrieving the relative weights of the assets in the index

Description

relativeWeights retrieves the relative weights of the assets in the index from the absolute weights expressed in shares of the assets. The latter is a direct output of indexComp.

Usage

relativeWeights(price, index.weights)

Arguments

price

An xts object with the price data. An entry is always required.

index.weights

A vector with the absolute weights expressed as number of shares of each asset. The weights are provided by indexComp. They can be also easily derived from the market capitalization by dividing with the respective price.

Value

The relative weights of the assets in the Index.

References

Trimborn, S. and Haerdle, W.K. (2018). CRIX an Index for cryptocurrencies, Journal of Empirical Finance 49, pp. 107-122. https://doi.org/10.1016/j.jempfin.2018.08.004

Examples

data(CryptoData)

const.names = c("btc", "eth", "xrp", "ltc", "xmr")
index.weights = c(16136712, 88440036, 36856524148, 49589181, 13859864)

relativeWeights(price = price["2017-02-01", const.names], index.weights = index.weights)