[R-SIG-Finance] Simple and fast date format conversion

Brian G. Peterson brian at braverock.com
Mon Aug 10 20:18:06 CEST 2009

Zanella Marco wrote:
> Gentleman,
> I have to convert a date to this format: nov 2009
> A) I've loaded a daily dataset of returns like this:
>> ret[1,]
>         Date Ret
> 1 20090729  3.08
> B) Naturally, I've transformed Date with as.Date() and now I have:
>> ret[1,]
>         Date Ret
> 1 2009-07-29 3.08
> Ok, now I want to analyse data also accorpated for months, and weeks, not only daily.
> I think the ways to do this can be various:
> 1) In A), where Date is simply a number, truncate the last two digits of Date (es. 200907). Then I can subset data for month thanks to new Date's format.
> 2) In B), after Date conversion to date format, proceed with a new format conversion (es. lug 2009)
> But, how I can do this with R? I tried with truncate() and strptime() but failed.
You're working with returns, so you need to aggregate your returns.  You 
can't treat them like prices and simply grab the last price in your 
observation period.

Do you have a price (value) series available?  If not, convert it to a 
wealth index first.

With either price data or a wealth index, you can use to.period in xts 
to convert.  If you need returns for your analysis, the wealth index is 
fungible back to returns.

Further clarification would benefit from a sample data series.


    - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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