Calculate Percent Change

Calculate the k-period percent difference within one series, or between two series. Primarily used to calculate the percent change from one period to another of a given series, or to calculate the percent difference between two series over the full series.

Usage

Delt(x1, x2 = NULL, k = 0, type = c("arithmetic", "log"))

Arguments

x1: m x 1 vector
x2: m x 1 vector
k: change over k-periods. default k=1 when x2 is NULL.
type: type of difference. log or arithmetic (default).

Details

When called with only x1, the one period percent change of the series is returned by default. Internally this happens by copying x1 to x2. A two period difference would be specified with k=2.

If called with both x1 and x2, the difference between the two is returned. That is, k=0. A one period difference would be specified by k=1. k may also be a vector to calculate more than one period at a time. The results will then be an m x length(k)

Arithmetic differences are used by default: Lag = (x2(t) - x1(t-k))/x1(t-k)

Log differences are calculated: Lag = log(x2(t)/x1(t-k))

Value

An matrix of length(x1) rows and length(k) columns.

Author

Jeffrey A. Ryan

Examples

Stock.Open <- c(102.25,102.87,102.25,100.87,103.44,103.87,103.00)
Stock.Close <- c(102.12,102.62,100.12,103.00,103.87,103.12,105.12)

Delt(Stock.Open)                    #one period pct. price change
#>      Delt.1.arithmetic
#> [1,]                NA
#> [2,]       0.006063570
#> [3,]      -0.006027024
#> [4,]      -0.013496333
#> [5,]       0.025478338
#> [6,]       0.004156999
#> [7,]      -0.008375854
Delt(Stock.Open,k=1)                #same
#>      Delt.1.arithmetic
#> [1,]                NA
#> [2,]       0.006063570
#> [3,]      -0.006027024
#> [4,]      -0.013496333
#> [5,]       0.025478338
#> [6,]       0.004156999
#> [7,]      -0.008375854
Delt(Stock.Open,type='arithmetic')  #using arithmetic differences (default)
#>      Delt.1.arithmetic
#> [1,]                NA
#> [2,]       0.006063570
#> [3,]      -0.006027024
#> [4,]      -0.013496333
#> [5,]       0.025478338
#> [6,]       0.004156999
#> [7,]      -0.008375854
Delt(Stock.Open,type='log')         #using log differences
#>        Delt.1.log
#> [1,]           NA
#> [2,]  0.006045260
#> [3,] -0.006045260
#> [4,] -0.013588236
#> [5,]  0.025159175
#> [6,]  0.004148383
#> [7,] -0.008411129

Delt(Stock.Open,Stock.Close)        #Open to Close pct. change
#>      Delt.0.arithmetic
#> [1,]      -0.001271394
#> [2,]      -0.002430252
#> [3,]      -0.020831296
#> [4,]       0.021116288
#> [5,]       0.004156999
#> [6,]      -0.007220564
#> [7,]       0.020582524
Delt(Stock.Open,Stock.Close,k=0:2)  #...for 0,1, and 2 periods
#>      Delt.0.arithmetic Delt.1.arithmetic Delt.2.arithmetic
#> [1,]      -0.001271394                NA                NA
#> [2,]      -0.002430252       0.003618582                NA
#> [3,]      -0.020831296      -0.026732770      -0.020831296
#> [4,]       0.021116288       0.007334963       0.001263731
#> [5,]       0.004156999       0.029741251       0.015843521
#> [6,]      -0.007220564      -0.003093581       0.022305938
#> [7,]       0.020582524       0.012034274       0.016241299