R: Realized estimation

realized_compute {dispositionEffect}

R Documentation

Realized estimation

Description

Compute realized gains and realized losses as either simple counts, total quantities, expected returns and financial duration.

Usage

realized_count(
  portfolio_quantity,
  portfolio_price,
  transaction_quantity,
  transaction_price,
  transaction_type,
  allow_short = TRUE,
  realized_only = FALSE
)

realized_total(
  portfolio_quantity,
  portfolio_price,
  transaction_quantity,
  transaction_price,
  transaction_type,
  allow_short = TRUE,
  realized_only = FALSE
)

realized_value(
  portfolio_quantity,
  portfolio_price,
  transaction_quantity,
  transaction_price,
  transaction_type,
  allow_short = TRUE,
  realized_only = FALSE
)

realized_duration(
  portfolio_quantity,
  portfolio_price,
  transaction_quantity,
  transaction_price,
  transaction_type,
  previous_transaction_datetime,
  previous_datetime,
  transaction_datetime,
  allow_short = TRUE,
  realized_only = FALSE
)

realized_compute(
  portfolio_quantity,
  portfolio_price,
  transaction_quantity,
  transaction_price,
  transaction_type,
  previous_transaction_datetime,
  previous_datetime,
  transaction_datetime,
  transaction_asset,
  allow_short = TRUE,
  realized_only = FALSE,
  method = "all"
)

realized_empty(transaction_asset, method = "all")

Arguments

`portfolio_quantity`	Numeric vector. The portfolio quantities of assets into the investor's portfolio.
`portfolio_price`	Numeric vector. The portfolio prices of assets into the investor's portfolio.
`transaction_quantity`	Numeric value. The quantity of the traded asset.
`transaction_price`	Numeric value. The market price of the traded asset.
`transaction_type`	Character string. Either "B" = buy or "S" = sell.
`allow_short`	Logical. If TRUE short positions are allowed, otherwise only long positions are allowed.
`realized_only`	Logical. If TRUE only realized gains and realized losses are computed. Otherwise also paper gains and paper losses on excess quantity of the traded asset are computed.
`previous_transaction_datetime`	POSIXct value. The portfolio date-time related to the last transaction of the traded asset.
`previous_datetime`	POSIXct value. The date-time of the last transaction performed by the investor.
`transaction_datetime`	POSIXct value. The date-time at which the transaction is going to occur.
`transaction_asset`	Character string. The name of the traded asset.
`method`	Character string. The method used to compute papers. Allowed values are "count", "total", "value", "duration" and "all".

Value

The described functions have different return behaviors

realized_compute returns a data frame containing the values of realized and paper gains and losses computed by means of the chosen method on each portfolio assets.
realized_count returns a named vector containing the values of realized and paper gains and losses computed using the count method.
realized_total returns a named vector containing the values of realized and paper gains and losses computed using the total method.
realized_value returns a named vector containing the values of realized and paper gains and losses computed using the value method.
realized_duration returns a named vector containing the values of realized and paper gains and losses computed using the duration method.
realized_empty returns a named vector containing empty values of realized and paper gains and losses computed using the chosen method.

In particular:

RG_"method" contains Realized Gains results
RL_"method" contains Realized Losses results
PG_"method" contains Paper Gains results
PL_"method" contains Paper Losses results

Functions