I have a data frame df1 like this:

# Log return
prices <- df1$close
log_returns <- diff(log(prices), lag=1)
df1$logreturns <- log_returns 

returns the error:

Fehler in `$<-.data.frame`(`*tmp*`, logreturns, value = c(0.000187952260679136,  :
  Ersetzung hat 2219 Zeilen, Daten haben 2220

Do you have any ideas how to fix that?

CodePudding user response：

When you do

y <- diff(x, lag = m, differences = k)

the resulting vector y has m * k fewer elements than x. If you want to have both x and y as data.frame/matrix columns, you need to pad m * k number of leading NAs to y.

In your case, m = 1 and k = 1, so you need to pad one NA:

df1$logreturns <- c(NA, log_returns)

More concisely, we can pack your 3 lines of code into 1:

df1$logreturns <- c(NA, diff(log(df1$close)))

Remark:

If you want to know how to do mutate() diff() in dplyr, then maybe something like:

df1 %>% mutate(logreturns = c(NA, diff(log(close))))

Here is another possibly related Q & A: Error when using "diff" function inside of dplyr mutate.