[R-SIG-Finance] business day to monthly or quarterly aggregation.

[Murali Menon]

Folks,

I have a matrix of portfolio weights whose rownames are daily dates (weekends elided).
I'd like to create a new matrix of portfolio weights such that the weight on the first
day of the month (quarter) is copied to the rest of the month (quarter). The idea is 
that I rebalance my portfolio only on the first of the month (quarter). Is there a 
neat way to do this?

The reason I'm thinking of copying weights till the end of each period is that then,
in order to compute rebalancing costs, I just need to do a abs(diff) on the weights matrix and multiply by the transaction cost.

I guess if I can just convert the vector of dates into a vector of repeated first-of-period
dates, I can use this vector to index into the portfolio weights matrix. But I can't
think how I could achieve this vector conversion either.

Any suggestions?

Thanks,
Murali


ourdates <- c("1997-01-29", "1997-01-30", "1997-01-31", "1997-02-03", "1997-02-04", 
"1997-02-05", "1997-02-06", "1997-02-07", "1997-02-10", "1997-02-11", 
"1997-02-12", "1997-02-13", "1997-02-14", "1997-02-17", "1997-02-18", 
"1997-02-19", "1997-02-20", "1997-02-21", "1997-02-24", "1997-02-25", 
"1997-02-26", "1997-02-27", "1997-02-28", "1997-03-03", "1997-03-04", 
"1997-03-05", "1997-03-06", "1997-03-07", "1997-03-10", "1997-03-11", 
"1997-03-12", "1997-03-13", "1997-03-14", "1997-03-17", "1997-03-18", 
"1997-03-19", "1997-03-20", "1997-03-21", "1997-03-24", "1997-03-25", 
"1997-03-26", "1997-03-27", "1997-03-28", "1997-03-31", "1997-04-01", 
"1997-04-02", "1997-04-03", "1997-04-04", "1997-04-07", "1997-04-08", 
"1997-04-09", "1997-04-10", "1997-04-11", "1997-04-14", "1997-04-15", 
"1997-04-16", "1997-04-17", "1997-04-18", "1997-04-21", "1997-04-22", 
"1997-04-23", "1997-04-24", "1997-04-25", "1997-04-28", "1997-04-29", 
"1997-04-30", "1997-05-01", "1997-05-02", "1997-05-05", "1997-05-06", 
"1997-05-07", "1997-05-08", "1997-05-09", "1997-05-12", "1997-05-13", 
"1997-05-14", "1997-05-15", "1997-05-16", "1997-05-19", "1997-05-20", 
"1997-05-21", "1997-05-22", "1997-05-23", "1997-05-26", "1997-05-27", 
"1997-05-28", "1997-05-29", "1997-05-30", "1997-06-02", "1997-06-03", 
"1997-06-04", "1997-06-05", "1997-06-06", "1997-06-09", "1997-06-10", 
"1997-06-11", "1997-06-12", "1997-06-13", "1997-06-16", "1997-06-17"
)

set.seed(123)

pWt <- matrix(rnorm(1000), ncol = 10)

somehow create new vector newdates: ("1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-02-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-03-03", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-04-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-05-01", "1997-06-02", "1997-06-02", "1997-06-02", "1997-06-02", "1997-06-02", "1997-06-02", "1997-06-02", "1997-06-02", "1997-06-02", "1997-06-02", "1997-06-02", "1997-06-02")

pWt[newdates, ] will give me the repeated monthly weights that I want.

And similarly for repeated quarterly weights.
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