Displaying 1 result from an estimated 1 matches for "returnsfrominception".
2007 Mar 16
1
cumsum over varying column lengths
...date i and equity j. I also have a matrix startOffset,
where entry (1, k) is the row offset in historicalReturns where I entered
into equity k.
So we have that NCOL(startOffset) = NCOL(historicalReturns).
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(historicalRetur...