[R-SIG-Finance] How to compare two asynchroneous xts time series?

[Joshua Ulrich]

Hi Anass,

Can you provide an example of what you're trying to do and what error
you are receiving?  I'm able to run the code below without error.

> require(xts)
>
> Lines <-
+ "2008-06-02 09:00:00,5007.0
+ 2008-06-02 09:01:00,5010.0
+ 2008-06-02 09:02:00,5014.0
+ 2008-06-02 09:03:00,5012.5
+ 2008-06-02 09:04:00,5013.5
+ 2008-06-02 09:05:00,5009.5
+ 2008-06-02 09:06:00,5007.0
+ 2008-06-02 09:07:00,5006.5
+ 2008-06-02 09:08:00,5008.5
+ 2008-06-02 09:09:00,5004.5"
>
> one <- read.zoo(textConnection(Lines),sep=',',FUN=as.POSIXct)
> one <- as.xts(one)
>
> Lines <-
+ "2008-06-02 09:01:00,7115.0
+ 2008-06-02 09:03:00,7117.0
+ 2008-06-02 09:05:00,7111.0
+ 2008-06-02 09:07:00,7107.0
+ 2008-06-02 09:09:00,7102.5"
>
> two <- read.zoo(textConnection(Lines),sep=',',FUN=as.POSIXct)
> two <- as.xts(two)
>
> one/two
                           e1
2008-06-02 09:01:00 0.7041462
2008-06-02 09:03:00 0.7042996
2008-06-02 09:05:00 0.7044719
2008-06-02 09:07:00 0.7044463
2008-06-02 09:09:00 0.7046111
> two/one
                          e1
2008-06-02 09:01:00 1.420160
2008-06-02 09:03:00 1.419850
2008-06-02 09:05:00 1.419503
2008-06-02 09:07:00 1.419555
2008-06-02 09:09:00 1.419223
>

Best,
Joshua
--
http://www.fosstrading.com



On Thu, Jun 11, 2009 at 6:11 AM, Anass Mouhsine<anass.mouhsine at gmail.com> wrote:
> Hi all,
>
> Suppose I have two xts time series with asynchroneous time index.
> I would like for example to calculate a ratio of those two series, but I
> don't know how to get an intersection of the two indices in order to avoid
> errors.
>
> an example of the data is the following
>
> series1
>
> 2008-06-02 09:00:00 5007.0
> 2008-06-02 09:01:00 5010.0
> 2008-06-02 09:02:00 5014.0
> 2008-06-02 09:03:00 5012.5
> 2008-06-02 09:04:00 5013.5
> 2008-06-02 09:05:00 5009.5
> 2008-06-02 09:06:00 5007.0
> 2008-06-02 09:07:00 5006.5
> 2008-06-02 09:08:00 5008.5
> 2008-06-02 09:09:00 5004.5
>
> Series2
>
> 2008-06-02 09:01:00 7115.0
> 2008-06-02 09:03:00 7117.0
> 2008-06-02 09:05:00 7111.0
> 2008-06-02 09:07:00 7107.0
> 2008-06-02 09:09:00 7102.5
>
> Any idea?
>
> Thanks in advance
>
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