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

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

  • realized_count: Computation, as simple counts, of realized gains and realized losses of the traded asset.

  • realized_total: Computation, as total quantity, of realized gains and realized losses of the traded asset.

  • realized_value: Computation, as expected return, of realized gains and realized losses of the traded asset.

  • realized_duration: Computation, as financial duration, of realized gains and realized losses of the traded asset.

  • realized_compute: Wrapper that calls other realized_. functions to compute realized gains and realized losses of the traded asset based on the chosen method.

  • realized_empty: Simple function to obtain empty results for realized and paper computations based on the chosen method.