[R-SIG-Finance] align time series correctly

[Joshua Ulrich]

Use merge.xts:

require(quantmod)
getSymbols("^IRX;^VIX;SPY", from="1994-01-01")
Data <- merge(IRX,VIX,SPY)

# Note that there will be some NAs
# e.g. 1994-01-17 for IRX
head(Data,20)

# use na.omit to drop them
Data <- na.omit(Data)
nrow(Data)  # 4256

# or use merge's 'all' arg
Data <- merge(IRX,VIX,SPY,all=FALSE)
nrow(Data)  # same as na.omit


Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



On Wed, Dec 29, 2010 at 1:53 PM, Lei Jin <leijin56 at gmail.com> wrote:
> I am trying to create a data frame that includes data from 3 time series.
> (^IRX, ^VIX, SPY).  I noticed that getSymbols() from yahoo (default) seems
> to retrieve different rows for the 3 time series for the same time window I
> specified.  So, I got an "arguments imply differing number of rows".  My
> simple questions is how do I set # of rows for all 3 time series to be equal
> and aligned by date correctly.
>
>
> ==============================================================
>  arguments imply differing number of rows: 4279, 4277, 4258
> In addition: Warning message:
> In log(x) : NaNs produced
>> print(NROW(IRX))
> [1] 4258
>> print(NROW(VIX))
> [1] 4277
>> print(NROW(SPY))
> [1] 4279
>
> --
> Thank you,
>
>        [[alternative HTML version deleted]]
>
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