我有一个来自from here的STOXX投资领域
head(df)
Date SX5P SX5E SXXP SXXE SXXF SXXA DK5F DKXF
1 1986-12-31 775.00 900.82 82.76 98.58 98.06 69.06 645.26 65.56
2 1987-01-01 775.00 900.82 82.76 98.58 98.06 69.06 645.26 65.56
3 1987-01-02 770.89 891.78 82.57 97.80 97.43 69.37 647.62 65.81
4 1987-01-05 771.89 898.33 82.82 98.60 98.19 69.16 649.94 65.82
5 1987-01-06 775.92 902.32 83.28 99.19 98.83 69.50 652.49 66.06
6 1987-01-07 781.21 899.15 83.78 98.96 98.62 70.59 651.97 66.20
理解动作分配的原则。我必须确定, 在每个月末,分配使每一股对总投资组合贡献相同的风险。
然后我关注this tutorial,这使您可以使用Python。
但是,一方面,我在计算每日收益时遇到了问题。事实上,我拥有所有的数据,这要感谢:
url <- 'https://www.stoxx.com/document/Indices/Current/HistoricalData/hbrbcpe.txt'
df <- read.table(url, sep = ';', skip = 4, stringsAsFactors = FALSE)
names(df) <- c('Date','SX5P','SX5E','SXXP','SXXE','SXXF','SXXA','DK5F','DKXF')
df$Date <- as.Date(sub('(.{2}).(.{2}).(.{4})', "\\3-\\2-\\1", df$Date))
然后我必须计算它们。我见过there is a function, Delt
,它说可以在两列之间完成。但我必须区分不同的细胞。我不知道该怎么做:
new = df[2:9]
# How to calculate the returns ?
Delt(df.a_given_day,df.a_given_day_plus_1,k=0:2) #... Delt do it 0,1 y 2 periods between two columns.
之后,我可以使用cov_matrix_df <- cov(data.matrix(new, rownames.force = NA))
计算协方差,并继续搜索以计算风险。
另一方面,我不知道如何修改它来确定,在每个月的月底决定风险在每个月的月底分配。
我的尝试是:
在this answer上,我尝试了这个答案:
dr_df = cbind(df[-1,1],apply(df[,-1],2,function(x) diff(x)/head(x,-1)))
它返回:
> head(dr_df)
SX5P SX5E SXXP SXXE SXXF SXXA
[1,] 6209 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000
[2,] 6210 -0.005303226 -0.010035301 -0.002295795 -0.007912355 -0.006424638 0.004488850
[3,] 6213 0.001297202 0.007344861 0.003027734 0.008179959 0.007800472 -0.003027245
[4,] 6214 0.005220951 0.004441575 0.005554214 0.005983773 0.006517975 0.004916136
[5,] 6215 0.006817713 -0.003513166 0.006003842 -0.002318782 -0.002124861 0.015683453
[6,] 6216 -0.004595435 -0.013101262 -0.003103366 -0.011014551 -0.009531535 0.005949851
DK5F DKXF
[1,] 0.0000000000 0.0000000000
[2,] 0.0036574404 0.0038133008
[3,] 0.0035823477 0.0001519526
[4,] 0.0039234391 0.0036463081
[5,] -0.0007969471 0.0021192855
[6,] -0.0098164026 -0.0087613293
这看起来很好,但我不理解代码:/,当我尝试创建协方差矩阵时,我遇到了一些问题:
> cov(dr_df[2:8])
Error in cov(dr_df[2:8]) : supply both 'x' and 'y' or a matrix-like 'x'
> cov(dr_df)
SX5P SX5E SXXP SXXE SXXF SXXA DK5F DKXF
9886513 NA NA NA NA NA NA NA NA
SX5P NA NA NA NA NA NA NA NA NA
SX5E NA NA NA NA NA NA NA NA NA
SXXP NA NA NA NA NA NA NA NA NA
SXXE NA NA NA NA NA NA NA NA NA
SXXF NA NA NA NA NA NA NA NA NA
SXXA NA NA NA NA NA NA NA NA NA
DK5F NA NA NA NA NA NA NA NA NA
DKXF NA NA NA NA NA NA NA NA NA
索伦的尝试
似乎我对SX5P - SX5P1d
的二元运算符有一个非数字参数:
> library(lubridate)
Attaching package: ‘lubridate’
The following objects are masked from ‘package:data.table’:
hour, mday, month, quarter, wday, week, yday, year
The following object is masked from ‘package:base’:
date
> library(data.table)
>
>
> url <- 'https://www.stoxx.com/document/Indices/Current/HistoricalData/hbrbcpe.txt'
> df <- read.table(url, sep = ';', skip = 4, stringsAsFactors = FALSE)
> names(df) <- c('Date','SX5P','SX5E','SXXP','SXXE','SXXF','SXXA','DK5F','DKXF')
> df$Date <- dmy(df$Date)
> df$End_month_date <- ceiling_date(df$Date,unit="month") - days(1)
>
> dt <- as.data.table(df)
>
> #daily returns
> dt[, c("last_date",'SX5P1d','SX5E1d','SXXP1d','SXXE1d','SXXF1d','SXXA1d','DK5F1d','DKXF1d') := shift(.SD[,c("Date",'SX5P','SX5E','SXXP','SXXE','SXXF','SXXA','DK5F','DKXF')], n=1, fill=NA, type=c("lag")),]
Warning messages:
1: In `[.data.table`(dt, , `:=`(c("last_date", "SX5P1d", "SX5E1d", :
Supplied 9 items to be assigned to 7673 items of column 'last_date' (recycled leaving remainder of 5 items).
2: In `[.data.table`(dt, , `:=`(c("last_date", "SX5P1d", "SX5E1d", :
Supplied 9 items to be assigned to 7673 items of column 'SX5P1d' (recycled leaving remainder of 5 items).
3: In `[.data.table`(dt, , `:=`(c("last_date", "SX5P1d", "SX5E1d", :
Supplied 9 items to be assigned to 7673 items of column 'SX5E1d' (recycled leaving remainder of 5 items).
4: In `[.data.table`(dt, , `:=`(c("last_date", "SX5P1d", "SX5E1d", :
Supplied 9 items to be assigned to 7673 items of column 'SXXP1d' (recycled leaving remainder of 5 items).
5: In `[.data.table`(dt, , `:=`(c("last_date", "SX5P1d", "SX5E1d", :
Supplied 9 items to be assigned to 7673 items of column 'SXXE1d' (recycled leaving remainder of 5 items).
6: In `[.data.table`(dt, , `:=`(c("last_date", "SX5P1d", "SX5E1d", :
Supplied 9 items to be assigned to 7673 items of column 'SXXF1d' (recycled leaving remainder of 5 items).
7: In `[.data.table`(dt, , `:=`(c("last_date", "SX5P1d", "SX5E1d", :
Supplied 9 items to be assigned to 7673 items of column 'SXXA1d' (recycled leaving remainder of 5 items).
8: In `[.data.table`(dt, , `:=`(c("last_date", "SX5P1d", "SX5E1d", :
Supplied 9 items to be assigned to 7673 items of column 'DK5F1d' (recycled leaving remainder of 5 items).
9: In `[.data.table`(dt, , `:=`(c("last_date", "SX5P1d", "SX5E1d", :
Supplied 9 items to be assigned to 7673 items of column 'DKXF1d' (recycled leaving remainder of 5 items).
> dt[,`:=`(SX5P_r=SX5P-SX5P1d,
+ SX5E_r=SX5E-SX5E1d,
+ SXXP_r=SXXP-SXXP1d,
+ SXXE_r=SXXE-SXXE1d,
+ SXXF_r=SXXF-SXXF1d,
+ SXXA_r=SXXA-SXXA1d,
+ DK5F_r=DK5F-DK5F1d,
+ DKXF_r=DKXF-DKXF1d)]
Error in SX5P - SX5P1d : non-numeric argument to binary operator
> #monthly returns
> returns <- dt[,list(SX5P=sum(SX5P_r,na.rm=T),
+ SX5E=sum(SX5E_r,na.rm=T),
+ SXXP=sum(SXXP_r,na.rm=T),
+ SXXE=sum(SXXE_r,na.rm=T),
+ SXXF=sum(SXXF_r,na.rm=T),
+ SXXA=sum(SXXA_r,na.rm=T),
+ DK5F=sum(DK5F_r,na.rm=T),
+ DKXF=sum(DKXF_r,na.rm=T)),by="End_month_date"]
Error in `[.data.table`(dt, , list(SX5P = sum(SX5P_r, na.rm = T), SX5E = sum(SX5E_r, :
object 'SX5P_r' not found
以下是生成警告消息的shift
操作后的dt
:
> head(dt)
Date SX5P SX5E SXXP SXXE SXXF SXXA DK5F DKXF End_month_date
1: 1986-12-31 775.00 900.82 82.76 98.58 98.06 69.06 645.26 65.56 1986-12-31
2: 1987-01-01 775.00 900.82 82.76 98.58 98.06 69.06 645.26 65.56 1987-01-31
3: 1987-01-02 770.89 891.78 82.57 97.80 97.43 69.37 647.62 65.81 1987-01-31
4: 1987-01-05 771.89 898.33 82.82 98.60 98.19 69.16 649.94 65.82 1987-01-31
5: 1987-01-06 775.92 902.32 83.28 99.19 98.83 69.50 652.49 66.06 1987-01-31
6: 1987-01-07 781.21 899.15 83.78 98.96 98.62 70.59 651.97 66.20 1987-01-31
last_date SX5P1d SX5E1d SXXP1d SXXE1d SXXF1d SXXA1d DK5F1d DKXF1d
1: NA NA NA NA NA NA NA NA NA
2: Date Date Date Date Date Date Date Date Date
3: SX5P SX5P SX5P SX5P SX5P SX5P SX5P SX5P SX5P
4: SX5E SX5E SX5E SX5E SX5E SX5E SX5E SX5E SX5E
5: SXXP SXXP SXXP SXXP SXXP SXXP SXXP SXXP SXXP
6: SXXE SXXE SXXE SXXE SXXE SXXE SXXE SXXE SXXE
发布于 2019-03-14 01:33:54
数据在2016-03-25和2016-03-28有一些不稳定的值。
library(dplyr)
df <- filter(df, SX5P>0) # drop erratic data points
percent_change <- function(x) (x - lag(x)) / lag(x) # function that calculates percentage change
daily_return <- df %>%
mutate_at(vars(-Date), percent_change) %>% # for each column excluding Date, apply percent_change function
filter(complete.cases(.)) %>% # filter out NAs
select(-Date) %>% # drop Date variable
as.matrix() # convert to matrix
head(daily_return, 5)
# SX5P SX5E SXXP SXXE SXXF SXXA DK5F DKXF
#[1,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.0000000000 0.0000000000
#[2,] -0.005303226 -0.010035301 -0.002295795 -0.007912355 -0.006424638 0.004488850 0.0036574404 0.0038133008
#[3,] 0.001297202 0.007344861 0.003027734 0.008179959 0.007800472 -0.003027245 0.0035823477 0.0001519526
#[4,] 0.005220951 0.004441575 0.005554214 0.005983773 0.006517975 0.004916136 0.0039234391 0.0036463081
#[5,] 0.006817713 -0.003513166 0.006003842 -0.002318782 -0.002124861 0.015683453 -0.0007969471 0.0021192855
cov(daily_return)
# SX5P SX5E SXXP SXXE SXXF SXXA DK5F DKXF
#SX5P 0.0001458898 0.0001531675 0.0001339905 0.0001400356 0.0001335696 0.0001283412 0.0001355236 0.0001410957
#SX5E 0.0001531675 0.0001781671 0.0001431415 0.0001622366 0.0001519764 0.0001252829 0.0001497803 0.0001561299
#SXXP 0.0001339905 0.0001431415 0.0001267415 0.0001328073 0.0001265858 0.0001210988 0.0001314346 0.0001359420
#SXXE 0.0001400356 0.0001622366 0.0001328073 0.0001502001 0.0001410354 0.0001165071 0.0001412857 0.0001471070
#SXXF 0.0001335696 0.0001519764 0.0001265858 0.0001410354 0.0001343114 0.0001130397 0.0001380515 0.0001432671
#SXXA 0.0001283412 0.0001252829 0.0001210988 0.0001165071 0.0001130397 0.0001257977 0.0001221743 0.0001254364
#DK5F 0.0001355236 0.0001497803 0.0001314346 0.0001412857 0.0001380515 0.0001221743 0.0001914781 0.0001946354
#DKXF 0.0001410957 0.0001561299 0.0001359420 0.0001471070 0.0001432671 0.0001254364 0.0001946354 0.0002103559
月度回报
library(lubridate)
percent_change2 <- function(x)last(x)/first(x) - 1
monthly_return <- df %>%
group_by(gr = floor_date(Date, unit = "month")) %>%
summarize_at(vars(-Date, -gr), percent_change2) %>%
ungroup() %>%
select(-gr) %>%
as.matrix()
head(monthly_return, 5)
SX5P SX5E SXXP SXXE SXXF SXXA DK5F DKXF
[1,] 0.00000000 0.000000000 0.000000000 0.000000000 0.000000000 0.00000000 0.00000000 0.00000000
[2,] -0.01089032 -0.046335561 0.005316578 -0.025867316 -0.025494595 0.04170287 -0.02977095 -0.01281269
[3,] 0.03167912 -0.009493186 0.032518367 -0.011141476 -0.011708861 0.07918740 0.05577361 0.04355828
[4,] 0.02633308 0.031731340 0.025284157 0.027359491 0.027197099 0.02322630 0.04121760 0.03157433
[5,] 0.02660200 -0.002816901 0.023347620 -0.003767437 -0.002362366 0.05061867 0.03758165 0.03917672
cov(monthly_return)
SX5P SX5E SXXP SXXE SXXF SXXA DK5F DKXF
SX5P 0.002068415 0.002243488 0.002011784 0.002160762 0.002076261 0.001867744 0.002282369 0.002381529
SX5E 0.002243488 0.002712719 0.002225923 0.002605715 0.002448324 0.001857319 0.002549326 0.002671546
SXXP 0.002011784 0.002225923 0.002025003 0.002182308 0.002095078 0.001873543 0.002321951 0.002407614
SXXE 0.002160762 0.002605715 0.002182308 0.002548197 0.002399266 0.001826243 0.002514475 0.002629281
SXXF 0.002076261 0.002448324 0.002095078 0.002399266 0.002291523 0.001797954 0.002458753 0.002558314
SXXA 0.001867744 0.001857319 0.001873543 0.001826243 0.001797954 0.001927949 0.002134767 0.002189677
DK5F 0.002282369 0.002549326 0.002321951 0.002514475 0.002458753 0.002134767 0.003414248 0.003523391
DKXF 0.002381529 0.002671546 0.002407614 0.002629281 0.002558314 0.002189677 0.003523391 0.003813587
data.table版本
library(data.table)
per_change <- function(x)x/shift(x) - 1
setDT(df)
df <- df[SX5P>0]
daily <- df[, lapply(.SD, per_change), .SDcols=-"Date"][-1, ]
daily
cov(daily)
monthly <- df[, lapply(.SD, percent_change2), by = .(gr=floor_date(Date, unit = "month")), .SDcols=-"Date"][-1, -"gr" ]
cov(monthly)
发布于 2019-03-14 01:41:34
下面的解决方案将值移位一个日期(这可能比一个文字日期日期更好,以适应缺少的日期、周末、节假日等)。它找出‘今天’和‘昨天’的差值作为返回值,并按月份的最后一天对整个月的总数求和。
library(lubridate)
library(data.table)
url <- 'https://www.stoxx.com/document/Indices/Current/HistoricalData/hbrbcpe.txt'
df <- read.table(url, sep = ';', skip = 4, stringsAsFactors = FALSE)
names(df) <- c('Date','SX5P','SX5E','SXXP','SXXE','SXXF','SXXA','DK5F','DKXF')
df$Date <- dmy(df$Date)
df$End_month_date <- ceiling_date(df$Date,unit="month") - days(1)
dt <- as.data.table(df)
#daily returns
dt[, c("last_date",'SX5P1d','SX5E1d','SXXP1d','SXXE1d','SXXF1d','SXXA1d','DK5F1d','DKXF1d') := shift(.SD[,c("Date",'SX5P','SX5E','SXXP','SXXE','SXXF','SXXA','DK5F','DKXF')], n=1, fill=NA, type=c("lag")),]
dt[,`:=`(SX5P_r=SX5P-SX5P1d,
SX5E_r=SX5E-SX5E1d,
SXXP_r=SXXP-SXXP1d,
SXXE_r=SXXE-SXXE1d,
SXXF_r=SXXF-SXXF1d,
SXXA_r=SXXA-SXXA1d,
DK5F_r=DK5F-DK5F1d,
DKXF_r=DKXF-DKXF1d)]
#monthly returns
returns <- dt[,list(SX5P=sum(SX5P_r,na.rm=T),
SX5E=sum(SX5E_r,na.rm=T),
SXXP=sum(SXXP_r,na.rm=T),
SXXE=sum(SXXE_r,na.rm=T),
SXXF=sum(SXXF_r,na.rm=T),
SXXA=sum(SXXA_r,na.rm=T),
DK5F=sum(DK5F_r,na.rm=T),
DKXF=sum(DKXF_r,na.rm=T)),by="End_month_date"]
结果:
> returns
End_month_date SX5P SX5E SXXP SXXE SXXF SXXA DK5F DKXF
1: 1986-12-31 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2: 1987-01-31 -8.44 -41.74 0.44 -2.55 -2.50 2.88 -19.21 -0.84
3: 1987-02-28 21.55 -18.11 2.53 -1.95 -1.87 6.15 41.03 3.32
4: 1987-03-31 24.13 28.47 2.67 2.80 2.62 2.53 31.40 2.53
5: 1987-04-30 25.96 12.02 2.33 0.96 0.82 3.44 22.66 2.64
---
355: 2016-06-30 -94.12 -198.74 -17.57 -20.95 -20.18 -13.80 -384.00 -22.60
356: 2016-07-31 64.29 126.02 12.01 15.55 16.22 8.23 219.13 18.83
357: 2016-08-31 -14.71 32.37 1.64 3.98 2.69 -0.67 -26.23 -4.42
358: 2016-09-30 -19.74 -20.89 -0.61 -0.45 -0.79 -0.76 -48.93 -0.71
359: 2016-10-31 27.89 27.26 3.18 2.42 3.14 3.83 96.24 5.45
https://stackoverflow.com/questions/55147385
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