cumprod(1+return_vector) to get an index starting from 1.

cumprod(1+return_vector)*100 to get an index starting at 100

On Sun, May 14, 2017 at 9:11 AM, blank <

[hidden email]> wrote:

> I’ve looked everywhere for a C optimised R library function that will

> accumulate returns with interim levels but can’t find it.

>

> so a function that is the inverse of Return.calculate() from

> PerformanceAnalytics

>

> or, something like this:

>

> rtns <- rnorm(100, sd=0.01)

> index <- vector(, length = length(rtns)+1)

> index[1] <- 100

> for ( i in 1:length(rtns) ) {

> index[i+1] <- index[i] * (1+rtns[i])

> }

>

> cheers.

>

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