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

[Dirk Eddelbuettel]

Great email thread in response to Ajay's question! [ I am having some mail
delays at one of the @debian.org mail hosts so I may not have seen all
posts, but I did check the web archive of the list. ]

What is surprising, though, is that nobody looked at _sources_ of its which
has a function locf() to do just this:

#locf-function---------------------------------------------------
locf <- function(x)
    {
    if (!inherits(x, "its")) stop("function is only valid for objects of class 'its'")
    y <- x
    jna <- which(apply(is.na(x),2,any))
    for(j in jna)
        {
        y[,j] <- y[most.recent(!is.na(y[,j])),j]
        }
    return(y)
    }
					    
It uses this function

#most.recent-function--------------------------------------------
most.recent <- function(x) 
    {
    # return a vector of indices of the most recent TRUE value (thanks to Tony Plate)
    if (!is.logical(x)) stop("x must be logical")
    x.pos <- which(x)
    if (length(x.pos)==0 || x.pos[1] != 1) x.pos <- c(1, x.pos)
    rep(x.pos, c(diff(x.pos), length(x) - x.pos[length(x.pos)] + 1))
    }

Would anybody care to time the different approaches we've seen submitted?


Regards,

Dirk
(who, before the list existed, had asked Giles about this)

-- 
Those are my principles, and if you don't like them... well, I have others.
                                                -- Groucho Marx