[R-SIG-Finance] quantmod package using "convert.time.series" function

[Jeff Ryan]

Hi Tom,

The function is internal to quantmod, as such undocumented and ugly :)

> quantmod:::convert.time.series
function (fr, return.class)
{
    if ("quantmod.OHLC" %in% return.class) {
        class(fr) <- c("quantmod.OHLC", "zoo")
        return(fr)
    }
    else if ("xts" %in% return.class) {
        return(fr)
    }
    if ("zoo" %in% return.class) {
        return(as.zoo(fr))
    }
    else if ("ts" %in% return.class) {
        fr <- as.ts(fr)
        return(fr)
    }
    else if ("data.frame" %in% return.class) {
        fr <- as.data.frame(fr)
        return(fr)
    }
    else if ("matrix" %in% return.class) {
        fr <- as.data.frame(fr)
        return(fr)
    }
    else if ("its" %in% return.class) {
        if ("package:its" %in% search() || suppressMessages(require("its",
            quietly = TRUE))) {
            fr.dates <- as.POSIXct(as.character(index(fr)))
            fr <- its::its(coredata(fr), fr.dates)
            return(fr)
        }
        else {
            warning(paste("'its' from package 'its' could not be loaded:",
                " 'xts' class returned"))
        }
    }
    else if ("timeSeries" %in% return.class) {
        if ("package:fSeries" %in% search() ||
suppressMessages(require("fSeries",
            quietly = TRUE))) {
            fr <- timeSeries(coredata(fr), charvec = as.character(index(fr)))
            return(fr)
        }
        else {
            warning(paste("'timeSeries' from package 'fSeries' could
not be loaded:",
                " 'xts' class returned"))
        }
    }
}
<environment: namespace:quantmod>

Much better conversion (though slightly different form) can be found in xts

?try.xts, reclass, and Reclass.

HTH,
Jeff

R/Finance 2009: Applied Finance with R
April 24 and 25th 2009, Chicago, IL, USA
http://www.RinFinance.com




On Mon, Mar 16, 2009 at 12:54 PM, Tom H <tom at limepepper.co.uk> wrote:
> Hi,
>
> I was having a look at the quantmod function for getSymbols.MySQL, and
> it uses a "convert.time.series()" function. I had a search for a
> reference on it, but I can't find anything. What am I doing wrong?
>
>> ?convert.time.series
> No documentation for 'convert.time.series' in specified packages and
> libraries:
> you could try '??convert.time.series'
>> ??convert.time.series
>
> and nothing there as well, but the function executes, so something must
> understand what it is...;
>
>                        fr <- convert.time.series(fr = fr, return.class = return.class)
>
> Any ideas?
>
> Cheers,
>
> T
>
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com