[R-SIG-Finance] Interpolating/comparing two irregular time/price sequences?

[Achim Zeileis]

On Wed, 7 Nov 2007, Rory Winston wrote:

<snip>

> Has anyone done anything like this before? I'm looking at the zoo
> package to see if it can help me, but I havent quite figured out how
> to do this kind of thing yet.

<snip>

You can merge the two series and generate NAs for the missing time points
and then use a na.*() method to eliminate the NAs, e.g., by linear
interpolation or by carrying observations forward or backward.

A simple example is attached below. See Section 2.8 of
  vignette("zoo", package = "zoo")
for more details on NA methods.

  ## two time series
  x <- zoo(c(2.01, 2.54, 2.37),
           as.POSIXct("2007-11-07 18:47 GMT") + c(0, 125, 334))
  y <- zoo(c(2, 2.5, 2.35),
           as.POSIXct("2007-11-07 18:47 GMT") + c(2, 120, 339))

  ## the merged version
  xy <- merge(x, y)

  ## interpolate by linear approximation
  xy <- na.approx(xy, rule = 2)

  ## extract interpolated version of y at index of x
  y2 <- window(xy[,2], index(x))

hth,
Z