[R-SIG-Finance] timeSeries Error
Diethelm Wuertz
wuertz at itp.phys.ethz.ch
Thu Apr 22 00:53:30 CEST 2010
Attiglah, Mama wrote:
> Is anyone successful in using timeSeries function ?
>
> All the R examples are not working, see the print below.
>
> Anyone has experienced and fixed the pb?
>
> Thanks
>
>
>
>
>> LPP = 100 * as.timeSeries(data(LPP2005REC))[, 1:3]
>>
> Error in .local(.Object, ...) :
> unused argument(s) (Data = c(-0.000612745, -0.002762009, -0.001153092,
> -0.00323575, 0.00131097, 0.000539312, -0.002545021, 0.001003358,
> 0.000616951, 0.000693615, 0.000154071, 0.002999656, -0.001306436,
> -0.002232573, 0.001155402, -0.000230974, 0.000692761, 0.002075407,
> -0.000614487, -0.000307385, 0.001228973, 0.000613921, -0.000230176,
> -0.000537284, -0.001536689, 0.00307102, -0.000690158, 0.00176279,
> -0.000612792, 0.000765931, -0.000689312, -0.003223086, 0.00145935,
> 0.001303931, 0.000153292, 0.000689523, 0.000689048,
>
>> data(DowJones30)
>> DowJones.ts = as.timeSeries(DowJones30)[, c("CAT", "GE", "IBM",
>>
> "JPM", )]
> Error in .local(.Object, ...) :
> unused argument(s) (Data = c(5.92, 5.92, 5.88, 5.76, 5.72, 5.63, 5.53,
> 5.67, 5.68, 5.68, 5.7, 5.7, 5.97, 6.1, 6.14, 5.97, 6.1, 6.02, 6.05,
> 6.12, 6.31, 6.7, 6.64, 6.73, 6.87, 6.8, 6.75, 6.66, 6.73, 7.05, 6.88,
> 7.19, 6.97, 7.01, 6.97, 6.84, 6.74, 6.68, 6.55, 6.69, 6.6, 6.61, 6.78,
> 6.89, 6.98, 7.1, 6.98, 6.96, 6.92, 6.93, 7.11, 7.1, 7, 6.97, 6.83, 6.82,
> 6.71, 6.77, 6.79, 6.88, 6.86, 6.75, 6.65, 6.79, 6.75, 6.71, 6.69, 6.68,
> 6.62, 6.53, 6.5, 6.42, 6.74, 6.74, 7.01, 6.98, 6.95, 6.91, 7.02, 7.22,
> 7.02, 6.91, 6.97, 7.01,
>
>
>
Try
libray(fPortfolio)
> LPP = 100 * as.timeSeries(data(LPP2005REC))[, 1:3]
> head(LPP)
GMT
SBI SPI SII
2005-11-01 -0.0612745 0.8414595 -0.3190926
2005-11-02 -0.2762009 0.2519342 -0.4117638
2005-11-03 -0.1153092 1.2707292 -0.5209409
2005-11-04 -0.3235750 -0.0702757 -0.1127165
2005-11-07 0.1310970 0.6205226 -0.1795839
2005-11-08 0.0539312 0.0329260 0.2103374
or just
> LPP = LPP2005REC
> head(LPP[, 1:3])
GMT
SBI SPI SII
2005-11-01 -0.000612745 0.008414595 -0.003190926
2005-11-02 -0.002762009 0.002519342 -0.004117638
2005-11-03 -0.001153092 0.012707292 -0.005209409
2005-11-04 -0.003235750 -0.000702757 -0.001127165
2005-11-07 0.001310970 0.006205226 -0.001795839
2005-11-08 0.000539312 0.000329260 0.002103374
# DowJones30 is in fEcofin
> library(fEcofin)
> data(DowJones30)
> names(DowJones30)
[1] "X.Y..m..d" "AA" "AXP" "T" "BA"
"CAT" [7] "C" "KO" "DD" "EK"
"XOM" "GE" [13] "GM" "HWP" "HD"
"HON" "INTC" "IBM" [19] "IP" "JPM"
"JNJ" "MCD" "MRK" "MSFT" [25] "MMM"
"MO" "PG" "SBC" "UTX" "WMT" [31] "DIS"
> DowJones.ts = as.timeSeries(DowJones30)
> head(DowJones.ts[, c("CAT", "GE", "IBM", "JPM")])
GMT
CAT GE IBM JPM
1990-12-31 9.30 4.63 27.86 2.67
1991-01-02 9.30 4.63 27.86 2.67
1991-01-03 9.15 4.53 27.95 2.67
1991-01-04 9.00 4.47 27.86 2.69
1991-01-07 8.87 4.40 27.39 2.58
1991-01-08 9.05 4.44 27.08 2.58
seems to work, at least for me.
listDescription(fPortfolio)
fPortfolio Description:
Package: fPortfolio
Version: 2100.78
Revision: 4422
Date: 2009-09-28
Title: Rmetrics - Portfolio Selection and Optimization
Author: Rmetrics Core Team, Diethelm Wuertz
Depends: R (>= 2.7.0), methods, MASS, quadprog, robustbase,
timeDate, timeSeries, fBasics, fAssets (>=
2100.78), Rglpk
Suggests: RUnit, tcltk
Maintainer: Rmetrics Core Team <Rmetrics-core at r-project.org>
Description: Environment for teaching "Financial Engineering
and Computational Finance"
NOTE: SEVERAL PARTS ARE STILL PRELIMINARY AND MAY BE
CHANGED IN THE FUTURE. THIS TYPICALLY INCLUDES
FUNCTION AND ARGUMENT NAMES, AS WELL AS DEFAULTS
FOR ARGUMENTS AND RETURN VALUES.
LazyLoad: yes
LazyData: yes
License: GPL (>= 2)
URL: http://www.rmetrics.org
Packaged: 2009-09-28 12:27:30 UTC; yankee
Repository: CRAN
Date/Publication: 2009-09-28 14:10:22
Built: R 2.9.2; ; 2010-01-17 17:15:20 UTC; windows
> listDescription(fEcofin)
fEcofin Description:
Package: fEcofin
Version: 2100.77
Revision: 4033
Date: 2009-04-15
Title: Economic and Financial Data Sets
Author: Diethelm Wuertz and many others. See the SOURCE file
Depends: R (>= 2.6.0), utils
Suggests: RUnit
Maintainer: Rmetrics Core Team <Rmetrics-core at r-project.org>
Description: Environment for teaching "Financial Engineering and
Computational Finance"
NOTE: SEVERAL PARTS ARE STILL PRELIMINARY AND MAY BE CHANGED
IN THE FUTURE. THIS TYPICALLY INCLUDES FUNCTION AND
ARGUMENT NAMES, AS WELL AS DEFAULTS FOR ARGUMENTS AND
RETURN VALUES.
LazyLoad: yes
LazyData: yes
License: GPL (>= 2)
URL: http://www.rmetrics.org
Built: R 2.9.1; ; 2009-09-24 05:44:53 UTC; windows
does this help?
If you have further questions do not hesitate to contact me.
Have you heard from the Rmetrics Meielisalp Workshop?
Register at: www.rmetrics.org
kind regards
Diethelm Wuertz
> ----------
> Mama Attiglah, PhD
> Quantitative Strategist
> Muli Asset Class Solution &
> Liability Driven Investment
> State Street Global Advisors
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