Using Sugar Function diff()

Ross Bennett — written Dec 23, 2012 — source

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.

#include <Rcpp.h>
using namespace Rcpp;
 
// [[Rcpp::export]]
NumericVector diff_sug(NumericVector x){
   return diff(x);
}

x <- rnorm(10)
diff_sug(x)

[1]  1.78889 -1.48820  0.05878  1.58578 -1.25415 -1.72598  0.57821  0.24119
[9]  1.66974

# base R function
diff(x)

[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.

// [[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;
}

# Close prices of S&P 500
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)

 [1]         NA  0.0065489  0.0004482 -0.0063214 -0.0041354  0.0118706
 [7]  0.0114866 -0.0075892  0.0054882 -0.0093787

tags: sugar

Extending R with C++ and Fortran — Dirk Eddelbuettel and JBrandon Duck-Mayr
Benchmarking Rcpp code with RcppClock — Zach DeBruine
Simulation Smoother using RcppArmadillo — Tomasz Woźniak

Using Sugar Function diff()

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