[R-SIG-Finance] Specifying data by date

[James]

Josh,

Thanks for the help.  That's exactly what I was looking for.  Thanks  
again.

James



On Jul 9, 2008, at 4:24 PM, Josh Ulrich wrote:

> Hi James,
>
> The xts package was created with this problem in mind.  You can index
> xts objects using POSIX-style character strings, with ranges separated
> by either ":" or "/".  period.apply can give you the standard
> deviation of a series by month.  The xts vignette describes all this -
> and much more - in thorough detail.
>
> require(fImport)
> require(xts)
>
>> df <- yahooSeries('QQQQ', returnClass=c("data.frame"))
> trying URL 'http://chart.yahoo.com/table.csv? 
> s=QQQQ&a=6&b=10&c=2007&d=6&e=09&f=2008&g=d&x=.csv'
> Content type 'text/csv' length 200 bytes
> opened URL
> downloaded 12 Kb
>
>> x <- as.xts(df)
>> sd(x['2008-01','QQQQ.Close'])
> QQQQ.Close
>    2.20967
>> sd(x['2008-01/2008-02','QQQQ.Close'])
> QQQQ.Close
>   2.110933
>> period.apply(x$QQQQ.Close, INDEX=endpoints(x,'months'),  
>> FUN=function(x) sd(x))
>                    x
> 2007-07-31 0.8553352
> 2007-08-31 0.8954604
> 2007-09-28 1.0446701
> 2007-10-31 0.8624363
> 2007-11-30 1.8838374
> 2007-12-31 0.8676462
> 2008-01-31 2.2096702
> 2008-02-29 0.6359294
> 2008-03-31 0.9582882
> 2008-04-30 1.0761549
> 2008-05-30 0.6399203
> 2008-06-30 1.3976623
> 2008-07-08 0.6155458
>>
>
> Best,
> Josh
>
> --
> http://quantemplation.blogspot.com
>
>
> On Wed, Jul 9, 2008 at 4:55 PM, James <j at jtoll.com> wrote:
>> Hi,
>>
>> I have a dataframe with data from the yahooSeries function, I am  
>> trying to
>> figure out if there is a way to calculate the standard deviation on a
>> specific time period by simply entering a beginning and end date.   
>> For
>> example, could I calculate the standard deviation for the month of  
>> March
>> 2007, by simply giving a beginning date and an end date?  Or  
>> better yet, the
>> SD for March for the past 20 years.
>>
>> Really, I guess I just need a way to coax the appropriate range of  
>> data from
>> the dataframe into a vector so that I can perform the necessary  
>> calculation.
>>  Any suggestions?  Thanks.
>>
>> James