[R-SIG-Finance] problem aggregating daily series

[John C. Frain]

I am having problems converting daily returns to monthly.  The output of one of
the many various attempts that I have made is given below.  daily.csv is a csv
file with dates -in the format "$Y-$m-%d" with daily returns on 29 equities in
the columns.

I do not appear to be able to generate correct results.  In the final example
below the aggregated data for October to February are correct.  The aggregated
data for March to September exclude the last day of the month and give the
wrong answer (unless the return on that last day is zero or the last day is at
the weekend).  It is likely that the problem is caused by my not accounting for
summer time correctly.  I am probably missing something obvious and would be
delighted if someone could enlighten me.

<to = timeLastDayInMonth(as.character.timeDate(from))> as used below is one of
several formulations that give an error message with the applySeries. In
another formulations of the to dates adding or subtracting a second removed the
error.  My work around for this problem is to code the aggregation directly
using the applySeries function as a model.  Any suggestions would be welcome.

Ialso note that in example fCalender\demo\xmpZWChapter02.R in the Rmetrics
distribution Diethelm Wuertz mentions two arguements "include.from" and
"include.to" which determines if the start or end/date/time are included or not
with a default of including the start and excluding the end.  (Rmetrics
equivalent of material p. 34 of Zivot and Wang).  Including a logical
"include.to=TRUE" causes an error.  I have updated my fBasics and fCalendar
libraries recently.  Again any comments would be welcome

The output (with some material removed) of my most recent program is below.
Conversions were checked directly in R using instructions such as

sum(cutSeries(T.ts3,"1990-01-01","1990-01-31")@Data)

for a variety of series and then verified in RATS.

The output (with some material removed) of my most recent program is below.

R : Copyright 2006, The R Foundation for Statistical Computing
Version 2.3.1 (2006-06-01)
ISBN 3-900051-07-0


Loading required package: datasets
Loading required package: utils
Loading required package: grDevices
Loading required package: graphics
Loading required package: stats
Loading required package: methods
Loading required package: tcltk
Loading Tcl/Tk interface ... done
Loading required package: R2HTML
Loading required package: svMisc
Loading required package: svIO
Loading required package: svViews
During startup - Warning message:
use of NULL environment is deprecated
>
> library(fBasics)

Rmetrics, (C) 1999-2005, Diethelm Wuertz, GPL
fBasics: Markets and Basic Statistics
> library(fCalendar)

Rmetrics, (C) 1999-2005, Diethelm Wuertz, GPL
fCalendar: Time, Date and Calendar Tools
> myFinCenter="Europe/Dublin"
> #
> # read in data from csv file to timeseries object
> daily.ts=read.timeSeries(file="D:\\equities\\yahoo\\R\\daily_data\\daily.csv",
+   zone="GMT",FinCenter=myFinCenter,sep=",")
> #head(daily.ts)
> #tail(daily.ts)
> #
> #set up from and to series for aggregation
> y = c(rep(1990,12),rep(1991,12),rep(1992,12),rep(1993,12),rep(1994,12),
+ rep(1995,12),rep(1996,12),rep(1997,12),rep(1998,12),rep(1999,12),rep(2000,
12),
+ rep(2001, 12),rep(2002, 12),rep(2003, 12),rep(2004, 12),rep(2005, 12),
+   rep(2006, 9))
>   m = c(rep(1:12,16),1:9)
> from = timeCalendar(y, m,FinCenter=myFinCenter)[1:200]
> to = timeLastDayInMonth(as.character.timeDate(from))
> data.frame(from, to)[1:5,]
                 from                  to
1 1990-01-01 00:00:00 1990-01-31 00:00:00
2 1990-02-01 00:00:00 1990-02-28 00:00:00
3 1990-03-01 00:00:00 1990-03-31 00:00:00
4 1990-04-01 00:00:00 1990-04-30 01:00:00
5 1990-05-01 01:00:00 1990-05-31 01:00:00
> ndays=from at Dim
> data.frame(from,to)[(ndays-5):ndays,]
                   from                  to
195 2006-03-01 00:00:00 2006-03-31 00:00:00
196 2006-04-01 00:00:00 2006-04-30 01:00:00
197 2006-05-01 01:00:00 2006-05-31 01:00:00
198 2006-06-01 01:00:00 2006-06-30 01:00:00
199 2006-07-01 01:00:00 2006-07-31 01:00:00
200 2006-08-01 01:00:00 2006-08-31 01:00:00
>     # Aggregate to Monthly Means:
> monthly.ts=applySeries(daily.ts, from = from, to = to, FUN = colSums)
Error in if (timeTest == 0) iso.format = "%Y-%m-%d" :
        missing value where TRUE/FALSE needed
> #
>
write.csv(file="D:\\equities\\yahoo\\R\\daily_data\\monthly_normality.csv",monthly.ts at Data)
Error in inherits(x, "data.frame") : object "monthly.ts" not found
> #
> # Direct implementation apply Series
> #
> #
>     j.pos = as.POSIXct(seriesPositions(daily.ts))
>     j.from =as.POSIXct(from)
>     j.to = as.POSIXct(to)
>     y = daily.ts at Data
>     pos = seriesPositions(daily.ts)
>     rowNames = rownames(daily.ts at Data)
>     rowBind = NULL
>     for (i in 1:from at Dim) {
+         test = (j.pos >= j.from[i] & j.pos <= j.to[i])
+         cutted = as.matrix(y[test, ])
+         ans = colSums(cutted)
+ #        print(dim(ans))
+         rowBind = rbind(rowBind, ans)
+ #        print(dim(rowBind))
+     }
>     rownames(rowBind) = as.character(to)
>         units = daily.ts at units
>
> monthly.ts=timeSeries(data = rowBind, charvec = as.character(to), units =
units,
+          zone = "GMT", FinCenter = daily.ts at FinCenter,
+         title = daily.ts at title, documentation = daily.ts at documentation)
>
> write.csv(file="D:\\equities\\yahoo\\R\\agreg\\monthly.csv",monthly.ts at Data)
>
>

John C. Frain.
Economics Department
Trinity College Dublin
Dublin 2

www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj at tcd.ie