Gains & Losses

Source: R/gains_losses.R

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

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.

Value

A data frame containing the values of realized and paper gains and losses computed by means of the chosen method on each portfolio assets.

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.