finance.R

## Copyright 2014 Elliot Chow

## Licensed under the Apache License, Version 2.0 (the "License")
## you may not use this file except in compliance with the License.
## You may obtain a copy of the License at

## http://www.apache.org/licenses/LICENSE-2.0

## Unless required by applicable law or agreed to in writing, software
## distributed under the License is distributed on an "AS IS" BASIS,
## WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
## See the License for the specific language governing permissions and
## limitations under the License.

source('import.R',chdir=T)
import('utils')

compute.returns <- function(z, pad.with.na = TRUE) {
  r <- diff(z) / head(z, -1)
  if (pad.with.na) c(NA, r) else r
}

compute.values <- function(r, init = 1) {
  c(init, cumprod(1 + r) * init)
}