PMwR: rebalance – R documentation

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PMwR

rebalance

Rebalance Portfolio

Description

Compute the differences between two portfolios.

Usage

rebalance(current, target, price,
          notional = NULL, multiplier = 1,
          truncate = TRUE, match.names = TRUE,
          fraction = 1, drop.zero = FALSE,
          current.weights = FALSE,
          target.weights = TRUE)

## S3 method for class 'rebalance'
print(x, ..., drop.zero = TRUE)

replace_weight(weights, ..., prefix = TRUE, sep = "::")

Arguments

`current`	the current holdings: a (typically named) vector of position sizes; can also be a `position`
`target`	the target holdings: a (typically named) vector of weights; can also be a `position`
`price`	the current prices
`notional`	the value of the portfolio; if missing, replaced by `sum(current*prices)`
`multiplier`	numeric vector, possibly named
`truncate`	truncate computed positions? Default is `TRUE`.
`match.names`	logical
`fraction`	numeric
`x`	an object of class `rebalance`.
`...`	`rebalance`: arguments passed to `print`; `replace_weight`: numeric vectors
`drop.zero`	logical: should instruments with no difference between `current` and `target` be included? Note the different defaults for computing and printing.
`current.weights`	logical. If `TRUE` (the default), the values in `current` are interpreted as weights. If `FALSE`, `current` is interpreted as a position (i.e. notional/number of contracts).
`target.weights`	logical. If `TRUE` (the default), the values in `target` are interpreted as weights. If `FALSE`, `target` is interpreted as a position (i.e. notional/number of contracts).
`weights`	a numeric vector with named components
`sep`	character
`prefix`	logical

Details

The function computes the necessary trades to move from the current portfolio to a target portfolio.

replace_weight is a helper function to split baskets into their components. All arguments passed via ... should be named vectors. If names are not syntactically valid (see make.names), quote them. The passed vectors themselves should be passed as named arguments: see examples.

Value

An object of class rebalance, which is a data.frame:

`instrument`	character, or `NA` when `match.names` is `FALSE`
`price`	prices
`current`	current portfolio
`target`	new portfolio
`difference`	the difference between current and target

Attached to the data.frame are several attributes:

`notional`	notional
`match.names`	logical
`multiplier`	multipliers

Author(s)

Enrico Schumann

References

Schumann, E. (2018) Portfolio Management with R. http://enricoschumann.net/R/packages/PMwR/

Examples

r <- rebalance(current = c(a = 100, b = 20),
               target  = c(a = 0.2, c = 0.3),
               price   = c(a = 1, b = 2, c = 3))
as.journal(r)

## replace_weight: the passed vectors must be named;
##                 'basket_3' is ignored because not
##                 component of weights is named
##                 'basket_3'

replace_weight(c(basket_1 = 0.3,
                 basket_2 = 0.7),
               basket_1 = c(a = 0.1, b = 0.4, c = .5),
               basket_2 = c(x = 0.1, y = 0.4, z = .5),
               basket_3 = c(X = 0.5, Z = 0.5),
               sep = "|")

PMwR

Portfolio Management with R

v0.16-0

GPL-3

Authors

Enrico Schumann [aut, cre] (<https://orcid.org/0000-0001-7601-6576>)

Initial release

2021-01-19

rebalance

Description

Usage

Arguments

Details

Value

Author(s)

References

See Also

Examples

PMwR

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