Displaying 1 result from an estimated 1 matches for "historicalinceptiond".
2007 Mar 16
1
cumsum over varying column lengths
...Now I would like compute for each column in historicalReturns, the
cumulative return 'returnsFromInception' for the equity starting from the
startOffset date.
Is there a better way than as follows:
n <- NROW(historicalReturns)
returnsFromInception <- matrix(nrow = 1, ncol =
NCOL(historicalInceptionDates))
for (i in 1 : NCOL(historicalReturns))
{
cumReturn <- cumsum(historicalReturns[startOffset[1, i] : n, i])
returnsFromInception[1, i] <- cumReturn[length(cumReturn)]
}
This works for me, but seems rather inelegant, and I don't like having to
use a matrix for returnsFromInc...