The Big R-Book

♣26♣Labs

26.1 Financial Analysis with quantmod

The quantmod package for R is directly helpful for financial modelling. It is “designed to assist the quantitative trader in the development, testing, and deployment of statistically based trading models” (see https://www.quantmod.com). It allows the user to build financial models, has a simple interface to get data, and has a suite of plots that not only look professional but also provide insight for the trader.

quantmod

Its website is https:\\www.quantmod.com.

Also note that this section uses concepts of financial markets. It is best to understand at least the difference between bonds and stocks before going through this section. If these concepts are new, we recommend Chapter 30 “Asset Valuation Basics” on page 597.

26.1.1 The Basics of quantmod

The package quantmod can be installed as any other package. In the following code, we check if it is already installed and do so if it is not in our local library. An important function in quantmod is getSymbols(). This function allows to download historic data about financial instruments with just one line of code.

library()

install.packages()

if()

grepl()

getSymbols()

# Install quantmod: 
if(!any(grepl(“quantmod”, installed.packages()))){ 
  install.packages(“quantmod”)}

# Load the library: 
library(quantmod) 

Now, we are ready to use quantmod. For example, we can start downloading some data with the function getSymbols():

getSymbols()

# Download historic ...