On Mar 7, 2011, at 12:34 AM, rivercode wrote:
Hi,
I am missing something obvious.
Need to create vector as:
(0, i-1 + TheoP(i) - TheoP(i-1), repeat....) Where i is the index
position
in the vector and i[1] is always 0.
I think your prototype is not agreeing with the code below. Is "i"
suppose to be the index (as suggested above) or the prior term (as
implied below)?
Found myself having to use a For Loop because I could not get sapply
working. Any suggestions ?
Assuming the code below, you construct the first three or four values
by hand I think you will find that the intermediate values of TheoP
will have alternating signs.
term2 = 2-1 + TheoP(2) - TheoP(1)
term3 = 3-1 + TheoP(3) - (2-1 + TheoP(2) - TheoP(1))
term4 = 4-1 + TheoP(4) - (3-1 + TheoP(3) - (2-1 + TheoP(2) - TheoP(1)) )
The answer to the first question will determine how you proceed. If
the index is being used then there are two series of cumulative sums
and perhaps you can construct an expression that can be fed to the
cumsum function.
The diff function is also available and if the index version is
correct, then it might even be as simple as c(0,
((1:len)-1)+diff(TheoP) )
So clarify what is intended.
--
David.
delta <- function(x) {
start = index[x]
end = index[x+1] - 1
iTheo = start:end
len = length(iTheo)
theoP = as.numeric(TheoBA$Bid[iTheo])
d = vector(mode = "numeric", length= len)
d[1] = 0
if (len>1) for (i in 2:len) { d[i] = d[i-1] + theoP[i] - theoP[i-1] }
return(d)
}
Thanks,
Chris
--
David Winsemius, MD
West Hartford, CT
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