[R] Is there simple code for this simple financial time series task?

[Gabor Grothendieck]

Assuming the time values are in ascending order within date:

ts$prices <- ave(ts$prices, dates, FUN = function(x) tail(x, 1))


On Feb 19, 2008 8:41 PM, Edwin Hoyle <edwinhoyle at yahoo.com> wrote:
> My code below makes a data frame with columns for
> date, time, and price.  Time on each date runs from 1
> to 4.
>
> I'd like to add a new column "ts$closingprice", which
> would have the closing price for that date.  To find
> the closing price, I'd like to take the price in the
> row having the greatest time value for each date.
> Then I'd like to fill that closing price into the
> $closingprice column for all other rows having the
> same date.
>
> --This appears to be such an easy task, yet is there a
> simple way to do it that doesn't require a lot of
> cleverness?
>
> dates<-c(1,1,1,1,2,2,2,2,3,3,3,3,4,4,4,4)
> times<-c(1,2,3,4)
> prices<-c(14,15,16,15,15.5,16,14,13,13,11,12,13,14,15,16,15)
> ts<-matrix(nrow=16,ncol=3)
> ts[,1]<-dates;ts[,2]<-times;ts[,3]<-prices;ts
> ts<-as.data.frame(ts);
> names(ts)<-c("dates","times","prices");ts
>
>  dates times prices
> 1      1     1   14.0
> 2      1     2   15.0
> 3      1     3   16.0
> 4      1     4   15.0
> 5      2     1   15.5
> 6      2     2   16.0
> 7      2     3   14.0
> 8      2     4   13.0
> 9      3     1   13.0
> 10     3     2   11.0
> 11     3     3   12.0
> 12     3     4   13.0
> 13     4     1   14.0
> 14     4     2   15.0
> 15     4     3   16.0
> 16     4     4   15.0
>
>
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