[R-SIG-Finance] Ops on zoo objects

[Gabor Grothendieck]

On Jan 7, 2008 6:12 AM, Ian Seow <ianseow at gmail.com> wrote:
> Hi guys, currently the zoo package extends the group generic functions
> Ops to perform operations only for the **intersection** of the indexes
> of the objects. Was just wondering if anyone has came across an
> elegant/simple solution for operations on the union of the indexes?
> I'm trying to look for a clean way of adding the signals of my
> different trading models which return zoo time-series with indexes
> which are not necessary the same. Unfortunately, the only way I can
> think of is to merge the zoo objects, obtain the union of the indexes,
> prepend / append each zoo object with zeros, and then add them. This
> looks really ugly especially when there are many objects to be added
> :(
>
> Brief example:
>
> > model1.output
>
>               EURUSD   USDJPY
> 2007-12-27 -19.470868 32.79096
> 2007-12-28 -17.159300 32.79096
> 2008-01-02 -17.162815 32.79096
> 2008-01-03  -5.701861 10.93032
> 2008-01-04  -5.701861 10.93032
>
> > model2.output
>
>               EURUSD   USDJPY
> 2007-12-27 -20.470868 11.79096
> 2007-12-28 -20.159300 11.79096
> 2008-01-02 -20.162815 11.79096
>
> model1.output + model2.output would return a zoo object starting from
> 2007-12-27 to 2008-01-02. :(
> Any tips on this would be greatly appreciated!
> Thanks!

It would be enough to define a subclass of zoo with its own
constructor function and
an as function for conversions:

> Ops.zooall <- function (e1, e2)
+ {
+     e <- if (missing(e2)) {
+         NextMethod(.Generic)
+     }
+     else if (any(nchar(.Method) == 0)) {
+         NextMethod(.Generic)
+     }
+     else {
+ merge(e1, e2, all = TRUE, fill = 0, retclass = NULL)
+         NextMethod(.Generic)
+     }
+     if (is.null(attr(e, "index")))
+ zooall(e, index(e1), attr(e1, "frequency"))
+     else
+ e
+ }
>
> zooall <- function(x = NULL, order = index(x), frequency = NULL) {
+ structure(zoo(x = x, order = order, frequency = frequency),
+ class = c("zooall", "zoo"))
+ }
>
> as.zooall <- function(x, ...) UseMethod("as.zooall")
> as.zooall.zoo <- function(x, ...) structure(x, class = c("zooall", "zoo"))
>
> # now using your zoo data:
>
> model1.output <-
+ structure(c(-19.470868, -17.1593, -17.162815, -5.701861, -5.701861,
+ 32.79096, 32.79096, 32.79096, 10.93032, 10.93032), .Dim = c(5L,
+ 2L), .Dimnames = list(NULL, c("V2", "V3")), index = structure(c(13874,
+ 13875, 13880, 13881, 13882), class = "Date"), class = "zoo")
>
> model2.output <-
+ structure(c(-20.470868, -20.1593, -20.162815, 11.79096, 11.79096,
+ 11.79096), .Dim = c(3L, 2L), .Dimnames = list(NULL, c("V2", "V3"
+ )), index = structure(c(13874, 13875, 13880), class = "Date"), class = "zoo")
>
> model1.output.all <- as.zooall(model1.output)
> model2.output.all <- as.zooall(model2.output)
> model1.output.all + model2.output.all

2007-12-27 -39.941736 44.58192
2007-12-28 -37.318600 44.58192
2008-01-02 -37.325630 44.58192
2008-01-03  -5.701861 10.93032
2008-01-04  -5.701861 10.93032
>
> model1.output + model2.output
                  V2       V3
2007-12-27 -39.94174 44.58192
2007-12-28 -37.31860 44.58192
2008-01-02 -37.32563 44.58192