[R] quarter end dates between two date strings

[Gabor Grothendieck]

On Wed, Apr 18, 2012 at 12:58 PM, Ben quant <ccquant at gmail.com> wrote:
> Hello,
>
> I have two date strings, say "1972-06-30" and "2012-01-31", and I'd like to
> get every quarter period end date between those dates? Does anyone know how
> to do this? Speed is important...
>
> Here is a small sample:
>
> Two dates:
> "2007-01-31"
>
> "2012-01-31"
>
> And I'd like to get this:
>
> [1] "2007-03-31" "2007-06-30" "2007-09-30" "2007-12-31" "2008-03-31"
> "2008-06-30" "2008-09-30" "2008-12-31"
>  [9] "2009-03-31" "2009-06-30" "2009-09-30" "2009-12-31" "2010-03-31"
> "2010-06-30" "2010-09-30" "2010-12-31"
> [17] "2011-03-31" "2011-06-30" "2011-09-30" "2011-12-31"

The "yearqtr" class in zoo represents quarters directly

1a. This solution calculates d which is all the days between the two
dates inclusive. It then calculates dq which are the unique end of
quarters corresponding to those dates.  Finally it keeps only the end
of quarters between the dates. We know all the end of quarters must be
at least as large as the first date so keeping the right end of
quarters only involves comparing them to the last date.  The approach
is rather brute force-ish but does have the advantage of not requiring
any date arithmetic and is relatively straight-forward in concept:

library(zoo)
d <- seq(as.Date("2007-01-31"), as.Date("2012-01-31"), "day")
dq <- as.Date(unique(as.yearqtr(d)), frac = 1)
dq[dq <= max(d)]

1b. You might also consider whether it would actually be better to
represent your quarter ends as yearqtr objects instead.  That could be
done with this variation:

d <- seq(as.Date("2007-01-31"), as.Date("2012-01-31"), "day")
qq <- unique(as.yearqtr(d))
qq[as.Date(qq, frac = 1) <= max(d)]

2a. This is a variation of David's solution returning a vector of
yearqtr class vector:

seq(as.yearqtr(as.Date("2007-01-31")),
as.yearqtr(as.Date("2012-01-31")+1)-1/4, 1/4)

2b. or to return a Date class vector:

as.Date(seq(as.yearqtr(as.Date("2007-01-31")),
as.yearqtr(as.Date("2012-01-31")+1)-1/4, 1/4), frac = 1)


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