R: Gains & Losses

gains_losses {dispositionEffect}

R Documentation

Gains & Losses

Description

Calculation of the realized gains and losses and the paper gains and losses.

Usage

gains_losses(
  portfolio,
  market_prices,
  transaction_type,
  transaction_asset,
  transaction_quantity,
  transaction_price,
  transaction_datetime,
  previous_datetime,
  time_threshold = "0 mins",
  method = "all",
  allow_short = FALSE,
  verbose = FALSE
)

Arguments

`portfolio`	Data frame of the investor's portfolio at time t.
`market_prices`	Data frame containing the market prices.
`transaction_type`	Character string. Either "B" = buy or "S" = sell.
`transaction_asset`	Character string. The name of the traded asset.
`transaction_quantity`	Numeric value. The quantity of the traded asset.
`transaction_price`	Numeric value. The market price of the traded asset.
`transaction_datetime`	POSIXct value. The date-time at which the transaction is going to occur.
`previous_datetime`	POSIXct value. The date-time of the last transaction performed by the investor.
`time_threshold`	Character in the format "value units" indicating the time threshold at which the computed financial difftime has to be evaluated (for instance "05 mins" or "20 hours"). The allowed units are "secs", "mins", "hours", "days" and "weeks" (See `base::difftime`).
`method`	Character string. The method used to compute papers. Allowed values are "count", "total", "value", "duration" and "all".
`allow_short`	Logical. If TRUE short positions are allowed, otherwise only long positions are allowed.
`verbose`	Logical. If TRUE than messages are printed to the console.

Details

It is essentially a wrapper around paper_compute and realized_compute functions. It is the function that can be used for streaming computations of gains and losses.

Value