[R-SIG-Finance] Combining XTS objects with unmatched but regular dates

[Jeff Ryan]

Merging inconsistent dates is obviously 'tricky' at best.  Since you
are no longer using your data, but rather altering it.

An option or four you can consider:

# note that to_period is a experimental version of to.period that is
temporarily renamed to allow
# for testing.  It is exported in the CRAN xts, and is much faster
(300x) than the old version. It
# also supports OHLC=FALSE.

> to_period(merge(a,b,fill=na.locf),'months',OHLC=FALSE,name='a')
                  a    b
2008-12-31 16061.73 0.13
2009-01-31 14709.56 0.30
2009-02-28 13148.36 0.21
2009-03-31 14298.04 0.16
2009-04-30 15665.30 0.18
2009-05-31 16540.47 0.18

# using the dates from 'a'
> merge(a,coredata(b))
                  a    b
2008-12-30 16061.73 0.13
2009-01-29 14709.56 0.30
2009-02-26 13148.36 0.21
2009-03-30 14298.04 0.16
2009-04-29 15665.30 0.18
2009-05-28 16540.47 0.18

# using the dates from 'b'.  Alternately you could call merge.xts
explicitly: > merge.xts(coredata(a),b)
 > merge(b,coredata(a))[,2:1]
                  a    b
2008-12-31 16061.73 0.13
2009-01-31 14709.56 0.30
2009-02-28 13148.36 0.21
2009-03-31 14298.04 0.16
2009-04-30 15665.30 0.18
2009-05-31 16540.47 0.18

And finally:

> index(a) <- index(b)
> merge(a,b)
                  a    b
2008-12-31 16061.73 0.13
2009-01-31 14709.56 0.30
2009-02-28 13148.36 0.21
2009-03-31 14298.04 0.16
2009-04-30 15665.30 0.18
2009-05-31 16540.47 0.18

Of course there are many, many more ways to do this...

HTH
Jeff

On Tue, Aug 17, 2010 at 11:34 PM, Worik <worik.stanton at gmail.com> wrote:
> I have two xts objects
>> head(a)
>                  a
> 2008-12-30 16061.73
> 2009-01-29 14709.56
> 2009-02-26 13148.36
> 2009-03-30 14298.04
> 2009-04-29 15665.30
> 2009-05-28 16540.47
>> head(b)
>              b
> 2008-12-31 0.13
> 2009-01-31 0.30
> 2009-02-28 0.21
> 2009-03-31 0.16
> 2009-04-30 0.18
> 2009-05-31 0.18
>
> I would like to merge them combining the entries on common dates.  Just
> removing the days would be enough.
>
>> head(merge(a,b))
>                  a    b
> 2008-12-30 16061.73   NA
> 2008-12-31       NA 0.13
> 2009-01-29 14709.56   NA
> 2009-01-31       NA 0.30
> 2009-02-26 13148.36   NA
> 2009-02-28       NA 0.21
>
> That is no good.
>
> How can I do this?
>
> cheers
> Worik
>
> --
> You do not have to be blind to not see what is going on right in front of
> you if it is behind your back
> Pascall West
> --
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>



-- 
Jeffrey Ryan
jeff.a.ryan at gmail.com