[R-SIG-Finance] Dates manipulation
ggrothendieck at gmail.com
Mon Apr 27 16:13:56 CEST 2009
zoo objects represent time series and that is not a time series
in its current form but you could read it in using read.table and
then its only one line of code to transform it to one.
"Date Ticker Price
2009-04-21 X 2.32
2009-04-22 X 2.35
2009-04-23 X 2.34
2009-04-21 Y 10.2
2009-04-22 Y 10.32
2009-04-23 Y 10.15"
DF <- read.table(textConnection(Lines), header = TRUE)
DF$Date <- as.Date(DF$Date)
do.call(merge, by(DF[-2], DF, function(d) zoo(d$Price, d$Date)))
# Using read.zoo from the development version of zoo
# the last line could even be reduced to this:
do.call(merge, by(DF[-2], DF, read.zoo))
Make sure you have a sufficiently recent version of zoo since
On Mon, Apr 27, 2009 at 9:34 AM, Manoj <manojsw at gmail.com> wrote:
> Hi All,
> I am using version 2,8,1 and working with zoo library.
> The sample/dummy data-set i am working off takes the following structure:
> Date Ticker Price
> 2009-04-21 X 2.32
> 2009-04-22 X 2.35
> 2009-04-23 X 2.34
> 2009-04-21 Y 10.2
> 2009-04-22 Y 10.32
> 2009-04-23 Y 10.15
> The data-frame consist of Date as a Date object, Ticker and Price.
> Price can be uniquely identified by Date & Ticker.
> One of the issues with creating a zoo object with above data-set is
> the fact that the unique key is basically a composite key so it's not
> purely time-series data but does take the format of panel data.
> I want to be able to perform normal data function (lag,time etc) on
> the above data-set for example, lag would return all the rows except
> for ticker X&Y for 2009-04-23.
> Is there anyway, i can sub-class zoo object to achieve this functionality?
> Any suggestions would be greatly appreciated - thanks in advance.
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