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

Thu Jan 10 16:31:34 CET 2008

You seem to have an answer for the computing question,
but weights do not remain constant -- they change as the
prices change.  It is positions, not weights, that are constants.

Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Murali Menon wrote:

>Hi,
> 
>Thanks, Robert, that works nicely. I'm trying to adapt it for quarterly.
> 
>Brian, I was not aware of the quantmod stuff: thanks for the pointer.
> 
>Cheers,
>Murali> From: robert at sanctumfi.com> To: feanor0 at hotmail.com; r-sig-finance at stat.math.ethz.ch> Date: Thu, 10 Jan 2008 13:06:41 +0000> Subject: RE: [R-SIG-Finance] business day to monthly or quarterly aggregation.> > Hi Murali,> > Does this help?> > dateparts <- function (x) {> + list(mday = as.POSIXlt(x)$mday, month = as.POSIXlt(x)$mon + > + 1, year = as.POSIXlt(x)$year + 1900, wday => as.POSIXlt(x)$wday)> + }> > > > 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", "19!
> 97-03-24", "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")> > > > n <- c(1, which(diff(dateparts(ourdates)$month) != 0) + 1,> length(ourdates))> > !
> newdates <- ourdates> > for(i in 1:(length(n) - 1)){> + newdates[n[i]:
>n[i+1]] <- ourdates[n[i]]> + }> > ## vector of start of months..> > newdates> [1] "1997-01-29" "1997-01-29" "1997-01-29" "1997-02-03" "1997-02-03"> "1997-02-03" "1997-02-03" "1997-02-03" "1997-02-03" "1997-02-03"> "1997-02-03"> [12] "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"> [23] "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"> [34] "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"> [45] "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"> [56] "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"> [67] "!
> 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"> [78] "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"> [89] "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"> [100] "1997-06-02"> > > > > > Robert Sams > > -----Original Message-----> From: r-sig-finance-bounces at stat.math.ethz.ch> [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Murali> Menon> Sent: 10 January 2008 11:14> To: r-sig-finance at stat.math.ethz.ch> Subject: [R-SIG-Finance] business day to monthly or quarterly> aggregation.> > > 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 th!
> e month (quarter) is copied to the rest of> the month (quarter). The i
>dea 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.> _________________________________________________________________> Share life as it happens with the new Windows Live.> > 08> _______________________________________________> R-SIG-Finance at stat.math.ethz.ch mailing list> https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. > -- If you want to post, subscribe first.
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