[R-SIG-Finance] disaggregating weekly to daily series

[Ian Seow]

Hi guys, was wondering if there was any elegant function to transform
a weekly financial timeseries into a daily series. The tricky part
about the daily series is that it is irregular - it doesn't include
trading holidays and weekends. Both date vectors weekly and daily are
given.

For instance:

Weekly series:-

1999-02-19    128.72
1999-02-26    129.15
1999-03-05    131.76
... etc ...

To this

Daily series:-

1999-02-15    128.72
1999-02-16    128.72
1999-02-17    128.72
1999-02-18    128.72
1999-02-19    128.72
1999-02-22    129.15
1999-02-23    129.15
1999-02-24    129.15
... etc ...

Thanks.

Rgds
Ian Seow