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

[Gabor Grothendieck]

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
> >
> > _______________________________________________
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