Computation of all the transaction updates and the realized and paper gains and losses for each assets.

portfolio_compute(
  portfolio_transactions,
  market_prices,
  method = "count",
  allow_short = TRUE,
  time_threshold = "0 mins",
  exact_market_prices = TRUE,
  portfolio_driven_DE = FALSE,
  time_series_DE = FALSE,
  assets_time_series_DE = NULL,
  verbose = c(0, 0),
  progress = FALSE
)

Arguments

portfolio_transactions

Data frame. The investor's transactions data frame.

market_prices

Data frame containing the market prices.

method

Character string containing the method to use to compute realized and paper gains and losses. If "none" nothing is computed but the investor's portfolio updates. Otherwise it has to be one of "count" (default), "total", "value", "duration", or "all".

allow_short

Logical. If TRUE short positions are allowed, otherwise only long positions are allowed.

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).

exact_market_prices

Logical. If TRUE then closest_market_price uses exact datetime match to look for the closest price of each asset. It usually speeds up computation by a small degree, but it requires the market_prices to have the prices for each transaction asset along each transaction datetimes.

portfolio_driven_DE

Logical. If TRUE the realized and paper gains and losses for the positive (that is when the investor's portfolio value, as computed through evaluate_portfolio, is greater than zero) and the negative (that is when the investor's portfolio value, as computed through evaluate_portfolio, is smaller than zero) portfolios are returned.

time_series_DE

Logical. If TRUE the time series of disposition effect is computed on 'count' and 'value' methods only.

assets_time_series_DE

Character vector of assets' names as contained into portfolio_transactions on which to compute the time series disposition effect.

verbose

Numeric or logical vector of length 2 that allows to control for the function's verbosity.

progress

Logical. If TRUE a progress bar is displayed.

Value

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

If time_series_DE is set to TRUE, then also time series disposition effect results are returned.

See also