Example data of a universe of assets over time

Description

Partially fictional data of a price matrix, a corresponding matrix of log returns, and a data frame giving country and sector classifications for the assets.

Usage

require(pprobeData)

Details

The objects are:

xassetPrices: a 1511 row (days) by 350 column (assets) matrix of prices. The dates are real, the prices and identifiers are fictional, but the underlying returns are real with some noise added.

xassetLogReturns: a 1510 row (days) by 350 column (assets) matrix of log returns – see the examples section.

xassetCountrySector: a 350 row (assets) by 2 data frame. The Country column is a randomly assigned, completely ficitional categorization. The Sector column is an actual classification, with enhanced naming.

Revision

This help file was last revised 2012 June 22.

Examples

all.equal(xassetLogReturns, diff(log(xassetPrices))) # TRUE