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

[Adrian Dragulescu]

You need a data.frame with the correspondece between your daily dates and
weekly dates.

week        day
1999-02-19  1999-02-15
1999-02-19  1999-02-16
... etc ...

than do: merge(correspondence.df, weekly.df, by="week", all.y=TRUE)

Adrian

On Wed, 14 Nov 2007, Ian Seow wrote:

> 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
>
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