relativeWeights {IndexConstruction} | R Documentation |
relativeWeights
retrieves the relative weights of the assets in the index from the absolute weights expressed in shares of the assets. The latter is a direct output of indexComp
.
relativeWeights(price, index.weights)
price |
An xts object with the price data. An entry is always required. |
index.weights |
A vector with the absolute weights expressed as number of shares of each asset. The weights are provided by |
The relative weights of the assets in the Index.
Trimborn, S. and Haerdle, W.K. (2018). CRIX an Index for cryptocurrencies, Journal of Empirical Finance 49, pp. 107-122. https://doi.org/10.1016/j.jempfin.2018.08.004
data(CryptoData)
const.names = c("btc", "eth", "xrp", "ltc", "xmr")
index.weights = c(16136712, 88440036, 36856524148, 49589181, 13859864)
relativeWeights(price = price["2017-02-01", const.names], index.weights = index.weights)