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

[Gabor Grothendieck]

The last line should have been

z <- aggregate(zd, as.yearmon, tail, 1)

On Mon, Mar 24, 2008 at 8:04 AM, Gabor Grothendieck
<ggrothendieck at gmail.com> wrote:
> Your file is not a csv file so I would not name it *.csv.
> Try this.
>
> library(zoo)
> Lines <- "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
> "
> zd <- read.zoo(textConnection(Lines), # change to "myfile.txt"
>    colClasses = c("NULL", "character", "numeric", "NULL"),
>    header = TRUE, format = "%Y/%m/%d")
> z <- aggregate(z, as.yearmon, tail, 1)
>
>
>
> On Mon, Mar 24, 2008 at 7:26 AM, Ravi S. Shankar <ravis at ambaresearch.com> wrote:
>
> > 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
> >
> >
> > This e-mail may contain confidential and/or privileged i...{{dropped:10}}
> >
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