r语言 - quantmod ： 无法使用 OHLC 生成股票的每日回报

Question

我正在尝试通过使用一个BDH拉动来获得每日返回，但我似乎无法使其正常工作。我考虑过使用Quantmod的允许功能，但无济于事。我希望PCTCHG专栏填充，并非常感谢任何帮助。

GetReturns <- function(ticker, calctype, voldays)  {
check.numeric <- function(N){
!length(grep("[^[:digit:]]", as.character(N)))}
isnumber <- function(x) is.numeric(x) & !is.na(x)
startdate <- Sys.Date()-20
enddate <- Sys.Date()
###############  
GetData <- BBGPull <- bdh(paste(ticker," US EQUITY"),    c("Open","High","Low","PX_Last"), startdate, enddate,
                        include.non.trading.days = FALSE, options = NULL, overrides = NULL,
                        verbose = FALSE, identity = NULL, con = defaultConnection())

##Clean Up Columns and Remove Ticker
colnames(GetData) <- c("Date","Open","High","Low","Close")
GetData[,"PctChg"] <- "RETURN" ##Hoping to populate this column with returns
GetData
}

我尚未与使用QuantMod的想法结婚，甚至会使用LN（T/T/T-1），但我只是不确定如何在此数据中添加列。谢谢 ！

Answer 1

您错过了bdh()仍然返回a data.frame 对象的（重要的）事实，您需要先转换：

R> library(Rblpapi)
Rblpapi version 0.3.5 using Blpapi headers 3.8.8.1 and run-time 3.8.8.1.
Please respect the Bloomberg licensing agreement and terms of service.
R> spy <- bdh("SPY US EQUITY", c("Open","High","Low","PX_Last"), 
+             Sys.Date()-10, Sys.Date())
R> class(spy)
[1] "data.frame"
R> head(spy)
        date   Open    High     Low PX_Last
1 2016-12-05 220.65 221.400 220.420  221.00
2 2016-12-06 221.22 221.744 220.662  221.70
3 2016-12-07 221.52 224.670 221.380  224.60
4 2016-12-08 224.57 225.700 224.260  225.15
5 2016-12-09 225.41 226.530 225.370  226.51
6 2016-12-12 226.40 226.960 225.760  226.25
R> sx <- xts(spy[, -1], order.by=spy[,1])
R> colnames(sx)[4] <- "Close"         ## important
R> sxret <- diff(log(Cl(sx)))
R> head(sxret)
                Close
2016-12-05         NA
2016-12-06 0.00316242
2016-12-07 0.01299593
2016-12-08 0.00244580
2016-12-09 0.00602225
2016-12-12 -0.00114851
R> sxret <- ClCl(sx)                  ## equivalent shorthand using quantmod

这也使用软件包XTS和Quantmod而不明确加载它们。