| title | author | license | tags | summary | layout | src |
|---|---|---|---|---|---|---|
Using Sugar Function diff() |
Ross Bennett |
GPL (>= 2) |
sugar |
Illustrates the use of sugar function diff() |
post |
2012-12-23-sugar-diff.cpp |
The sugar function diff() computes the difference of consecutive elements (i.e. lag = 1) of the input vector. Note that the size of the vector returned is one less than the input vector. The sugar function diff() works the same way as the diff() function in base R, except the lag is not specified.
{% highlight cpp %} #include <Rcpp.h> using namespace Rcpp;
// [[Rcpp::export]] NumericVector diff_sug(NumericVector x){ return diff(x); } {% endhighlight %}
{% highlight r %} x <- rnorm(10) diff_sug(x) {% endhighlight %}
[1] 1.78889 -1.48820 0.05878 1.58578 -1.25415 -1.72598 0.57821 0.24119 [9] 1.66974
{% highlight r %}
diff(x) {% endhighlight %}
[1] 1.78889 -1.48820 0.05878 1.58578 -1.25415 -1.72598 0.57821 0.24119 [9] 1.66974
One can use the diff() function to compute one period simple returns of stock prices.
{% highlight cpp %} // [[Rcpp::export]] NumericVector ret_simple(NumericVector x) { NumericVector vec_diff = diff(x); NumericVector res(x.size()); // pad the front with an NA res[0] = NA_REAL; for(int i = 1; i < res.size(); i++) { res[i] = vec_diff[i-1] / x[i-1]; } return res; } {% endhighlight %}
{% highlight r %}
y <- c(1418.55, 1427.84, 1428.48, 1419.45, 1413.58, 1430.36, 1446.79, 1435.81, 1443.69, 1430.15) ret_simple(y) {% endhighlight %}
[1] NA 0.0065489 0.0004482 -0.0063214 -0.0041354 0.0118706 [7] 0.0114866 -0.0075892 0.0054882 -0.0093787