[R-SIG-Finance] [R-sig-finance] troubles with the weights in the VaR function

[Gabor Grothendieck]

On 4/26/07, genx <info at genetrix.se> wrote:
>
> I have the same problem with vectors of different length, most packages don't
> know how to scale and adjust timeseries / vectors of different length. It
> would be a welcome contribution to R Finance if any programmer out there
> could solve this problem in an easy way.
>

All of the major time series classes handle series of different lengths.

a <- ts(1:3); b <- ts(12:15, start = 2)
a + b
a == b

library(zoo)
az <- as.zoo(a); bz <- as.zoo(b)
az + bz
az == bz