[R-SIG-Finance] using "to.weekly" on a zoo object
Brian G. Peterson
brian at braverock.com
Wed Apr 7 11:12:46 CEST 2010
Hodgess, Erin wrote:
> Dear Finance People:
>
> I used the "get.hist.quote" to get the S&P as seen below:
>
>> spc <- get.hist.quote(instrument = "^gspc", start = "1998-01-01",
> + quote = "Close")
> trying URL 'http://chart.yahoo.com/table.csv?s=^gspc&a=0&b=01&c=1998&d=3&e=05&f=2010&g=d&q=q&y=0&z=^gspc&x=.csv'
> Content type 'text/csv' length unknown
> opened URL
> .......... .......... .......... .......... ..........
> .......... .......... .......... .......... ..........
> .......... .......... .......... .......... ..........
> .......... .......... .......... ...
> downloaded 183 Kb
>
> time series starts 1998-01-02
>
>
> Then I use the to.weekly to convert to weekly data:
>
>> spc.w <- to.weekly(spc)
>> str(spc.w)
> An ‘xts’ object from 1998-01-02 to 2010-04-05 containing:
> Data: num [1:641, 1:4] 975 977 939 979 957 ...
> - attr(*, "dimnames")=List of 2
> ..$ : NULL
> ..$ : chr [1:4] "spc.Open" "spc.High" "spc.Low" "spc.Close"
> Indexed by objects of class: [Date] TZ:
> Original class: 'zoo'
> xts Attributes:
> NULL
>
> My question is: I only need the "Close" section. The other ones (Open, High, Low) are duplicates. Is there a way just to return the Close component, please?
spc.wc <- Cl(to.weekly(spc))
?Cl
# or
spc.wc <- to.weekly(spc)[,"spc.Close"]
# or
spc.wc <- Cl(spc[endpoints(spc,on='weeks'),])
?endpoints
There is quite a lot of data in the list archives on to.period and endpoints.
Also, subsetting R objects is a FAQ, covered in any good introduction to R.
Regards,
- Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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