[R-SIG-Finance] Convertion of a zoo object to a ts object

[Sylvain BARTHELEMY]

Exactly what I needed !
Thanks.

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Sylvain Barthélémy
Head of Quantitative Research, TAC
www.tac-financial.com | www.sylbarth.com
 
-----Message d'origine-----
De : Achim Zeileis [mailto:Achim.Zeileis at wu-wien.ac.at] 
Envoyé : jeudi 24 mai 2007 11:28
À : Sylvain BARTHELEMY
Cc : r-sig-finance at stat.math.ethz.ch
Objet : Re: [R-SIG-Finance] Convertion of a zoo object to a ts object

Sylvain:

> I use get.hist.quote to read historical prices on various quotes from 
> Finance Yahoo. It works fine on daily prices and most of the time on 
> monthly prices but it is sometimes difficult to synchronize monthly 
> data without duplicating months when extracting more than one quote.

OK, there are some useful tools in this situation. Which you want to use
depends what exactly what to end up with.

## obtain series
x <- get.hist.quote("^FCHI", compression = "m", start = as.Date(0),
   quote = "Close")
y <- get.hist.quote("CS.PA", compression = "m", start = as.Date(0),
   quote = "Close")

## merge based on "Date" time stamps (which might not match) xy <- merge(x,
y)

## remove NAs by averaging in each month
xy1 <- aggregate(xy, as.yearmon, mean, na.rm = TRUE) ## (which gives NaN
rather NA for the first "y" observations)

## alternatively: first go to "yearmon" scale and then merge
x2 <- aggregate(x, as.yearmon, mean)
y2 <- aggregate(y, as.yearmon, mean)
xy2 <- merge(x2, y2)

## to convert to "ts", you can simply do xy1ts <- as.ts(xy1) xy2ts <-
as.ts(xy2)

## Of course, you could also keep the merged series with "Date" time ##
stamp, e.g., using the first of the month xy2d <- xy2
time(xy2d) <- as.Date(time(xy2))

hth,
Z

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