[R-SIG-Finance] Fill values in a zoo object

[Gabor Grothendieck]

On Sun, Sep 5, 2010 at 6:46 PM, Wilfred Daye <wdaye01 at gmail.com> wrote:
> Hi, I have a tmp object which is stream of numbers of -1, 0, 1, 2.  I want
> to make values from 2007-09-05 to 2007-09-13 to be 0, and from 2007-09-14 to
> 2007-09-27 to be 1, and 2007-09-28 to 2007-10-03 to be 0 again.  To logic is
> that suppose t(i)=1, then t(i+n)=1 if t(i+n) already is {0 or 1}, but not
> 2.  However, if i(i) is already {0 or 2}, then t(i+n) = 0, where n represent
> the next n days.  What is the best approach without loops?  Thank you.
>
>> class(tmp)
> [1] "xts" "zoo"
>> tmp[40:60]
>           Tmp
> 2007-09-05             2
> 2007-09-06             0
> 2007-09-07             2
> 2007-09-10             0
> 2007-09-11             0
> 2007-09-12             0
> 2007-09-13             0
> 2007-09-14             1
> 2007-09-17             0
> 2007-09-18             0
> 2007-09-19             0
> 2007-09-20             0
> 2007-09-21             0
> 2007-09-24             1
> 2007-09-25             0
> 2007-09-26             0
> 2007-09-27             0
> 2007-09-28             2
> 2007-10-01             0
> 2007-10-02             0
> 2007-10-03             2

Try na.locf:

library(zoo)
z <- structure(c(0, NA, 0, NA, NA, NA, NA, 1, NA, NA, NA, NA, NA,
1, NA, NA, NA, 0, NA, NA, 0), index = structure(c(13761, 13762,
13763, 13766, 13767, 13768, 13769, 13770, 13773, 13774, 13775,
13776, 13777, 13780, 13781, 13782, 13783, 13784, 13787, 13788,
13789), class = "Date"), class = "zoo")

z[z == 0] <- NA
z[z == 2] <- 0
na.locf(z)


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