[R-SIG-Finance] re-indexing data under the zoo package

[Gabor Grothendieck]

On Mon, Feb 28, 2011 at 12:36 PM, Aidan Corcoran
<aidan.corcoran11 at gmail.com> wrote:
> Dear all,
>
> I was hoping someone could help me to generate an index based on data
> in zooreg format. The data are of the form
>
>> head(dq)
>        sphsxs eunrfi irhont
> 1995(1)  670.8   82.9     NA
> 1995(2)  686.0   82.9     NA
> 1995(3)  682.6   83.0     NA
> 1995(4)  692.7   82.7     NA
> 1996(1)  686.0   81.5   33.6
> 1996(2)  697.8   82.0   34.6
>
> and I would like to index each of the three variables to 100 in
> 1996(1). I have made a few failed attempts based on extracting the
> values at that date
>
>> dq[index(dq)==1996.00]
>        sphsxs eunrfi irhont
> 1996(1)    686   81.5   33.6
>
> and then trying to divide the series by those values
>
>> dq/dq[index(dq)==1996.00]
>     sphsxs eunrfi irhont
> 1996      1      1      1
>
> but this results in a single row. One option might be to replicate the
> 1996 row using rep, but
>
>> rep(dq[index(dq)==1996.00],2)
> [1] 686.0  81.5  33.6 686.0  81.5  33.6
>
> seems to repeat the data within a single vector, and I'm not sure how
> to get it to repeat the row down through a zoo object (and suspect
> there might be an easier way).
>
> Any help much appreciated.
>

Any of these will refer to the data at 1996:

library(zoo)
# dq <- ... shown at end ...

dq[ I(1996) ]
dq[ "1996" ]
window(dq, 1996, 1996)

1. Here is a slight variation of Arun.stat's solution that will
produce values relative to 1996:

dq100 <- dq
dq100[] <- t(apply(dq, 1, "/", coredata(dq["1996"])))

> dq100
           sphsxs   eunrfi   irhont
1995(1) 0.9778426 1.017178       NA
1995(2) 1.0000000 1.017178       NA
1995(3) 0.9950437 1.018405       NA
1995(4) 1.0097668 1.014724       NA
1996(1) 1.0000000 1.000000 1.000000
1996(2) 1.0172012 1.006135 1.029762

2. Another thing you might consider would be to use "yearqtr" class for dq:

# convert time to yearqtr
dq.yq <- dq
time(dq.yq) <- as.yearqtr(time(dq.ym))

# index relative to 1996 Q1
dq.yq100 <- dq.ym
dq.yq100 <- t(apply(dq.yq, 1, "/", coredata(dq[as.yearqtr("1996 Q1")])))

> dq.yq100
             [,1]     [,2]     [,3]
1995 Q1 0.9778426 1.017178       NA
1995 Q2 1.0000000 1.017178       NA
1995 Q3 0.9950437 1.018405       NA
1995 Q4 1.0097668 1.014724       NA
1996 Q1 1.0000000 1.000000 1.000000
1996 Q2 1.0172012 1.006135 1.029762

3. ts class would work here too since its regularly spaced:

tt <- as.ts(dq)
tt[] <- t(apply(tt, 1, "/", window(tt, 1996, 1996)))
tt

Here is the dq used above:

dq <-
structure(c(670.8, 686, 682.6, 692.7, 686, 697.8, 82.9, 82.9,
83, 82.7, 81.5, 82, NA, NA, NA, NA, 33.6, 34.6), .Dim = c(6L,
3L), .Dimnames = list(NULL, c("sphsxs", "eunrfi", "irhont")), index = c(1995,
1995.25, 1995.5, 1995.75, 1996, 1996.25), class = c("zooreg",
"zoo"), frequency = 4)

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