[R] Finding the nearest data in intraday data from two zoo objects

[Gabor Grothendieck]

On Wed, Nov 24, 2010 at 11:04 AM, Santosh Srinivas
<santosh.srinivas at gmail.com> wrote:
> Hello Group,
>
> I have the following options and future data in zoo objects
>
>> head(optData.z)
>                       ExpDt OptTyp Strike TrdPrice TotTrdQty
> 2009-01-01 09:55:03 20090129      1   2900 180.0000        50
> 2009-01-01 09:55:31 20090129      1   2900 188.0000        50
> 2009-01-01 09:55:37 20090129      1   2900 185.0000       500
> 2009-01-01 09:55:39 20090129      1   2900 185.0000       500
> 2009-01-01 09:55:47 20090129      1   2900 185.1125       600
> 2009-01-01 09:55:48 20090129      1   2900 185.2500        50
>
>> head(futData.z)
>                       ExpDt OptTyp Strike TrdPrice TotTrdQty
> 2009-01-01 09:55:09 20090129      2      0 2979.000       900
> 2009-01-01 09:55:11 20090129      2      0 2976.633       600
> 2009-01-01 09:55:12 20090129      2      0 2977.211       900
> 2009-01-01 09:55:14 20090129      2      0 2977.750       800
> 2009-01-01 09:55:15 20090129      2      0 2977.019      4300
> 2009-01-01 09:55:16 20090129      2      0 2977.050       800
>
> I want to get the closest available futures price for every option ... Is
> there any function like the excel equivalent of approximate VLOOKUP of excel
> using date time?
>

See this:

https://stat.ethz.ch/pipermail/r-sig-finance/2010q2/006077.html

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