[R-SIG-Finance] Monthly returns from Daily prices

[Ravi S. Shankar]

Hi,

I have the daily data in the following format

	RIC 	Trade.Date 	Close.Price Currency.Code
 ABCd.xx	2008/02/29        15.3           CNY
 ABCd.xx	2008/02/28        15.1           CNY
 ABCd.xx	2008/02/27       15.28           CNY
 ABCd.xx	2008/02/26       15.26           CNY
 ABCd.xx	2008/02/25       14.88           CNY
 ABCd.xx	2008/02/22       15.64           CNY


I have about 1000 rics and one year daily price history for each of the
rics. I need to compute the monthly returns for this data.

I tried the following code to get the monthly data from the daily prices
library(zoo)
ss=read.csv("C:\\Documents and
Settings\\ravis\\Desktop\\ravi.csv",header=T)
ss$Trade.Date=as.Date(ss$Trade.Date,"%Y/%m/%d")
ss$ym=as.yearmon(ss$Trade.Date)
ss.mon=aggregate(ss$Close.Price,list(RIC=ss$RIC,Month_Year=ss$ym),functi
on(x) tail(x,1))

I am interested in an alternate way of doing this.
Any help would be appreciated.

Thank you,
Regards,

Ravi Shankar S 
 

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