我想复制赫尔的《期权与衍生品》一书中的下表。
我相信 dplyr 中的累积函数可能合适，但我无法重现它。
我的努力如下。
library(tidyverse)
initial_deposit = 12000
contract_value = 9000
closing_stock_indices = c(1250,1241,1238.3,1244.6,1241.3,1240.1, 1236.2, 1229.9,
1230.8,1225.4,1228.1,1211,1211,1214.3,1216.1,1223,1226.9)
(seq_along(closing_stock_indices) - 1) %>%
as.data.frame() %>%
setNames('Day') %>%
mutate(Closing_SI = closing_stock_indices,
Daily_change = c(0, diff(Closing_SI*200)),
Cum_gain = cumsum( Daily_change),
Margin_balance = accumulate(Cum_gain[-1], .init = initial_deposit,
~ if (.x >= initial_deposit).x + .y else initial_deposit + .y),
Variation_Margin = -1 * pmin(Margin_balance - initial_deposit, 0),
margin_call = c(0, Variation_Margin[-n()]))
或
tibble(closing_stock_indices)%>%
dplyr::mutate(Day = row_number())%>%
mutate(Close =closing_stock_indices )%>%
dplyr::mutate(y = as.numeric( Close - (dplyr::lag(Close, 1))))%>%
dplyr::select(-closing_stock_indices)%>%
dplyr::mutate(y = replace_na(y,0),
Cum_gain = 200*cumsum(y))%>%
dplyr::mutate(Margin_balance = initial_deposit+Cum_gain)
是否有使用 dplyr 中的 rowwise() 的其他替代方法？
如果有任何帮助，我将不胜感激。
最佳答案
您需要累积每日变化而不是累积变化，否则您将累积两次。为了表达能力，我使用了一个基本 lambda 函数而不是 purrr 函数:
library(tidyverse)
initial_deposit = 12000
contract_value = 9000
closing_stock_indices = c(1250,1241,1238.3,1244.6,1241.3,1240.1, 1236.2, 1229.9,
1230.8,1225.4,1228.1,1211,1211,1214.3,1216.1,1223,1226.9)
(seq_along(closing_stock_indices) - 1) %>%
as.data.frame() %>%
setNames('Day') %>%
mutate(
Closing_SI = closing_stock_indices,
Daily_change = c(0, diff(Closing_SI*200)),
Cum_gain = cumsum(Daily_change),
Margin_balance = accumulate(
Daily_change[-1],
.init = initial_deposit,
\(bal, gain) if (bal > contract_value) bal + gain
else initial_deposit + gain
),
margin_call = ifelse(Margin_balance < contract_value,
initial_deposit - Margin_balance,
0)
)
#> Day Closing_SI Daily_change Cum_gain Margin_balance margin_call
#> 1 0 1250.0 0 0 12000 0
#> 2 1 1241.0 -1800 -1800 10200 0
#> 3 2 1238.3 -540 -2340 9660 0
#> 4 3 1244.6 1260 -1080 10920 0
#> 5 4 1241.3 -660 -1740 10260 0
#> 6 5 1240.1 -240 -1980 10020 0
#> 7 6 1236.2 -780 -2760 9240 0
#> 8 7 1229.9 -1260 -4020 7980 4020
#> 9 8 1230.8 180 -3840 12180 0
#> 10 9 1225.4 -1080 -4920 11100 0
#> 11 10 1228.1 540 -4380 11640 0
#> 12 11 1211.0 -3420 -7800 8220 3780
#> 13 12 1211.0 0 -7800 12000 0
#> 14 13 1214.3 660 -7140 12660 0
#> 15 14 1216.1 360 -6780 13020 0
#> 16 15 1223.0 1380 -5400 14400 0
#> 17 16 1226.9 780 -4620 15180 0
关于r - 如何使用 dplyr 中的累积函数在 R 中按行重现数据帧或 tibble？，我们在Stack Overflow上找到一个类似的问题： https://stackoverflow.com/questions/73909489/