r语言 - 计算日志差值

Question

给出股票价格，我想计算收益

MLB。价格

MLB.Prices
2008-01-01      40.72
2009-01-01      48.66
2010-01-01      47.23
2011-01-01      44.45
2012-01-01      41.82
2013-01-01      44.61
2014-01-01      55.22

由此，我想计算增益为log(p (t))-log(p (t-1))的差值。有谁能帮我一下这个命令吗?

Answer 1

使用diff和log

library(xts)
diff(log(MLB))

数据

MLB <- structure(c(40.72, 48.66, 47.23, 44.45, 41.82, 44.61, 55.22), .Dim = c(7L, 
1L), index = structure(c(1199145600, 1230768000, 1262304000, 
1293840000, 1325376000, 1356998400, 1388534400), tzone = "UTC",
tclass = "Date"), class = c("xts", 
"zoo"), .Dimnames = list(NULL, "MLB.Prices"))