Created
January 15, 2014 20:01
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Simple return for first six weeks of 1999 for SPX
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julia> using Series, MarketData, Lazy | |
julia> d1 = date(1999,1,1); | |
julia> d2 = date(1999,2,15); | |
julia> @> Op percentchange x->x[[d1:d2]] value sum expm1 | |
0.017947448312809502 |
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I should note that
Op
is imported via theMarketData
package, an unregistered package that provides some constants mostly useful in testing.The cool-looking
@>
is a piping operator from the registeredLazy
package. (check it out)I've made
percentchange
default to returning log returns after much debate (with myself mostly) ... (only with myself, actually)The rest should be self-explanatory. Note that
value
is called to separate eachSeriesPair
's value from its index, at which point it becomes aFloat64
array. Then, it's standard boilerplate sum log returns and expm1 them to get total return in simple terms.