[R-SIG-Finance] rollapply and cummin
Gabor Grothendieck
ggrothendieck at gmail.com
Thu Aug 23 06:46:31 CEST 2007
The usual case is that the function used in rollapply returns a single
number; however, if you really want to return a vector of 5 numbers try
the latest version of rollapply which was fixed about 2 weeks ago and
is not yet on CRAN but can be downloaded from the development
repository. From within R:
library(zoo)
source("http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php/*checkout*/pkg/R/rollapply.R?rev=363&root=zoo")
# ... now run your commands ...
On 8/22/07, Voss, Kent <VOSSK at kochind.com> wrote:
> I am getting some unexpected results using rollapply and the cummin function that I am hoping someone can help me understand. I'm just trying to get a rolling cumulative minimum of a time series. Think of it as the maximum loss over a rolling window.
>
> Here's an example
> # Create a dummy sequence to use with a set of dates used to create a zoo object
> x <- c(0,rep(c(seq(1,5,by=1),seq(-1,-3, by=-1)),2))
> DateList <- as.Date(seq(ISOdate(1990,1,1), length.out=length(x), by="1 day"), '%Y-%m-%d')
>
> z <- zoo(x,DateList)
>
> # Doing the following gets expected results, a rolling 5 day sum. So far so good
> zl <- rollapply(z, 5, align='left',sum)
>
> # The following however creates an n x n matrix where n = the length of z, that I can't quite figure out
> zl <- rollapply(z, 5, align='left',cummin)
>
>
> Now I'm pretty new at this stuff, so I'm sure there's something I'm missing, but I can't make heads or tails around the results of the cummin. Any help would be greatly appreciated. Thanks in advance.
>
> Kent
>
>
>
>
>
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