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

Gabor Grothendieck ggrothendieck at gmail.com
Fri Apr 27 13:29:20 CEST 2007


the code shows two examples.  The first using "ts" class series and the
second with "zoo" series.

On 4/27/07, genx <info at genetrix.se> wrote:
>
> Thank you for you reply,
>
> i am a novice when it comes to CRAN R, i haven't looked much outside
> rMetrics so far.
> My recurring problem is daily financial data of different length, the
> procedure you
> describe below are two separate ways to align timeseries or should it be
> done as one
> command? If it has to be done in two stages as you describe it is a very
> time consuming
> way to handle all the financial data that, i guess anyone, would put to use
> in finance R.
>
> Kind regards
>
>
> Gabor Grothendieck wrote:
> >
> > 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
> >
> > _______________________________________________
> > R-SIG-Finance at stat.math.ethz.ch mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only.
> > -- If you want to post, subscribe first.
> >
> >
>
> --
> View this message in context: http://www.nabble.com/troubles-with-the-weights-in-the-VaR-function-tf2785155.html#a10215187
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>



More information about the R-SIG-Finance mailing list