[R-sig-finance] Re: average values for time series

[Achim Zeileis]

On Fri, 29 Apr 2005 09:01:33 +0200 Massimo Sabbatini wrote:

> Dear all,
> I followed Dirk's suggestions and got:
> 
>  > IBM <- priceIts("IBM",quote="Close")
> Errore in validObject(.Object) : invalid class "its" object: Missing 
> values in dates
> 
> I tried with other securities but I get the same error.
> 
> x1 <- priceIts(instrument=c("^ftse"), start="1998-01-01", quote =
> "Close") Errore in validObject(.Object) : invalid class "its" object:
> Missing values in dates
> 
> I would appreciate if you could give me any hints.

I cannot reproduce the error above using its 1.0.4 and R 2.1.0. For me
the above works smoothly.
Z

> Best regards,
> Massimo
> 
> 
> 
> Dirk Eddelbuettel wrote:
> > On 27 April 2005 at 06:37, Jonathan Q. wrote:
> > | New to R, currently use FAME.  One of the things I like about FAME
> > | is that if I have a series, say the near month for a commodity, I
> > | can set the series property so when i view weekly data, the data
> > | is the average of the daily data.  alternatively, for other series
> > | like stock
> > 
> > There are probably several ways to do that. 
> > 
> > | prices I can have the series always display the last value (i.e.,
> > | monthly would take last value in month vs the average).  also able
> > | to
> > 
> > The its package does that pretty well:
> > 
> > 
> >>library(its)				## verbose output suppressed here
> >>IBM<-priceIts("IBM",quote="Close")	## fetches from Yahoo!
> >>head(IBM)
> > 
> >            IBM Close
> > 1991-01-02    112.12
> > 1991-01-03    112.50
> > 1991-01-04    112.12
> > 1991-01-07    110.25
> > 1991-01-08    109.00
> > 1991-01-09    106.87
> > 
> >>head(extractIts(IBM, find="last", period="week"))
> > 
> >            IBM Close
> > 1991-01-04    112.12
> > 1991-01-11    108.12
> > 1991-01-18    117.62
> > 1991-01-25    122.62
> > 1991-02-01    126.87
> > 1991-02-08    129.50
> > 
> >>head(extractIts(IBM, find="last", period="month"))
> > 
> >            IBM Close
> > 1991-01-31    126.75
> > 1991-02-28    128.75
> > 1991-03-28    113.87
> > 1991-04-30    103.00
> > 1991-05-31    106.12
> > 1991-06-28     97.12
> > 
> > I just taught myself how to the other part with zoo -- pretty slick:
> > 
> > 
> >>library(zoo)				## once again verbose output nixed
> >>IBMzoo <- zoo(IBM)			## turn its object into zoo object
> >>head(aggregate(IBMzoo, format(dates(IBM), "%Y-%m"), mean))
> > 
> > 
> > 1991-01 115.4127
> > 1991-02 132.2053
> > 1991-03 123.3240
> > 1991-04 109.6800
> > 1991-05 104.2241
> > 1991-06 100.8970
> > 
> > 
> > This runs aggregate() over the zoo() object where the on-the-fly
> > factor is computed from the underlying POSIXt date representation,
> > and the aggregating function, here mean, is then passed over each
> > unique factor set.
> > 
> > Hope this helps,  Dirk
> >
> 
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