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

[Gabor Grothendieck]

The zoo package can do that in one line but first read the weekly data
into a zoo object, w, and the dates into a one-column data frame d.

library(zoo)

Lines <- "1999-02-19    128.72
1999-02-26    129.15
1999-03-05    131.76
"
w <- read.zoo(textConnection(Lines))

Lines <- "1999-02-15
1999-02-16
1999-02-17
1999-02-18
1999-02-19
1999-02-22
1999-02-23
1999-02-24
"
d <- read.table(textConnection(Lines), colClasses = "Date")


# Now create a 0-width zoo object from the dates, d, and merge it with the
# weekly zoo object.  Then use na.locf to fill in NAs with Last Observation
# Carried Forward.

na.locf(merge(w, zoo(, d[[1]])))



On Nov 13, 2007 10:22 PM, Ian Seow <ianseow at gmail.com> 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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