[R-sig-finance] How can I do this better? (Filling in last traded price for NA)

[Ajay Shah]

I have 3 different daily time-series. Using union() in the "its"
package, I can make a long matrix, where rows are created when even
one of the three time-series is observed:

massive <- union(nifty.its, union(inrusd.its, infosys.its))

Now in this, I want to replace NA values for prices by the
most-recently observed price. I can do this painfully --

for (i in 2:nrow(massive)) {
  for (j in 1:3) {
    if (is.na(massive[i,j])) {
      massive[i,j] = massive[i-1,j]
    }
  }
}

But this is horribly slow. Is there a more clever way?

-- 
Ajay Shah                                                   Consultant
ajayshah at mayin.org                      Department of Economic Affairs
http://www.mayin.org/ajayshah           Ministry of Finance, New Delhi