[R-SIG-Finance] rollapply and cummin

[Achim Zeileis]

On Thu, 23 Aug 2007, Gabor Grothendieck wrote:

> 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 ...

Just a comment on using code from the R-Forge repository. Usually
  install.packages("zoo", repos = "http://R-Forge.R-project.org/")
would be the easiest way to obtain the latest development version. But
currently the "zoo" package is not being built, I'll try to fix that soon.
(I guess it is due to missing style files for the vignette but have to
check.)

Best wishes,
Z

>
>
> 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
> >
> >
> >
> >
> >
> > "EMF <kochind.com>" made the following annotations.
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