valuation {PMwR}

Valuation

Description

Valuation of financial objects: map an object into a quantity that is measured in a concrete (typically currency) unit.

Usage

valuation(x, ...)

## S3 method for class 'journal'
valuation(x, multiplier = 1,
          cashflow = function(x, ...) x$amount * x$price,
          instrument = function(x, ...) "cash",
          flip.sign = TRUE, ...)

## S3 method for class 'position'
valuation(x, vprice, multiplier = 1,
          do.sum = FALSE,
          price.unit,
          use.names = FALSE,
          verbose = TRUE, do.warn = TRUE, ...)

Arguments

x

an object

multiplier

a numeric vector, typically with named elements

cashflow

either a numeric vector or a function that takes on argument (a journal) and transforms it into a numeric vector

instrument

either a character vector or a function that takes on argument (a journal) and transforms it into a character vector

flip.sign

logical. If TRUE (the default), a positive amount gets mapped into a negative cashflow.

vprice

numeric: a matrix whose elements correspond to those in x. If only a single timestamp is used and the position is named, this may also be a named numeric vector; see Examples. The argument behaves like vprice in pl; but for valuation those prices need not be sorted in time.

do.sum

logical: sum over positions

use.names

logical: use names of vprice?

price.unit

a named character vector. Not implemented.

verbose

logical

do.warn

logical

...

other arguments passed to methods

Details

This function is experimental, and the methods' interfaces are not stable yet.

valuation is a generic function. Its semantics suggest that an object (e.g. a financial instrument or a position) is mapped into a concrete quantity (such as an amount of some currency).

The journal method transforms the transactions in a journal into amounts of currency (e.g, a sale of 100 shares of a company is transformed into the value of these 100 shares).

The position method takes a position and returns the value (in currency units) of the position.

Value

depends on the object: for journals, a journal

Author(s)

Enrico Schumann <[e-mail]>

References

Schumann, E. (2020) Portfolio Management with R. https://enricoschumann.net/R/packages/PMwR/

See Also

journal

Examples

## valuing a JOURNAL

j <- journal(amount = 10, price = 2)
##    amount  price
## 1      10      2
##
## 1 transaction

valuation(j, instrument = NA)
##    amount  price
## 1     -20      1
##
## 1 transaction



## valuing a POSITION
pos <- position(c(AMZN = -10, MSFT = 200))

### contructing a price table:
### ==> P[i, j] must correspond to pos[i, j]
P <- array(c(2200, 170), dim = c(1, 2))
colnames(P) <- instrument(pos)

valuation(pos, vprice = P)
##        AMZN  MSFT
## [1,] -22000 34000

### contructing a price table, alternative:
### a named vector
### ==> only works when there is only a single timestamp
valuation(pos, vprice = c(MSFT = 170, AMZN = 2200))

all.equal(valuation(pos, vprice = P),
          valuation(pos, vprice = c(MSFT = 170, AMZN = 2200)))