[R-SIG-Finance] AsOf join in R

[Gabor Grothendieck]

On Wed, Oct 5, 2011 at 9:11 PM, Robert A'gata <rhelpacc at gmail.com> wrote:
> Hi Brian,
>
> Thanks for getting back. I'm afraid it's not doing what I intend. If
> you see value of B after asof join on 2011-09-09, cbind and na.locf
> will give you 1.5 as opposed to 1.1. I would like to have latest value
> available prior to 2011-09-09 from B which will be 1.1 on 2011-09-09.
> It's a strict inquality for this operation. Would you have any other
> recommendation? Thank you again.
>

Just add a small number to time(b), e.g. replace the first line of AsOf with:

AsOf <- function(a, b,
eps=min(diff(as.numeric(sort(unique(c(as.numeric(time(a)),
as.numeric(time(b))))))))/2) {
  time(b) <- time(b) + eps


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