[R-SIG-Finance] xts to timeSeries conversion

[Golam Sakline]

Thank you all for your comments. I am actually trying to produce beta hedged spread charts between two cointegrated ticker. I have the tickers that are cointegrated and their half life. I am trying to fetch the data through getSymbols then apply the hedge ratio and then chart the spread in chartSeries. Apologies for not providing the code as away from my PC at the moment

Kind regards

Riskmaverick 

Sent from my iPhone

On 24 Mar 2012, at 14:08, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:

> as.XXXXXX is the R way to coerce objects, and xts follows this (as do
> most of the time series classes)
> 
> One of the original design goals of xts was to remove the issues
> surrounding all of the different time series classes that may be in R.
> R developers can convert to xts internally via try.xts and return
> original object classes with "reclass".  PeformanceAnalytics does this
> quite well, which makes it easy for users to pass in any time series
> object - regardless of class.
> 
> At the user level, as.xts or as.XXXXX is all that is needed if you are
> forced to convert, but as Brian points out - this isn't needed in PA
> or other packages that use the xts methodology for internally
> consistent conversions.
> 
> In short, it should (does) just work.  If it isn't, your data is
> likely different than what you are telling us, but we'd need example
> code as requested in the posting guides to be more helpful.
> 
> Best,
> Jeff
> 
> On Sat, Mar 24, 2012 at 8:58 AM, Golam Sakline <golam.sakline at gmail.com> wrote:
>> Hi Michael,
>> 
>> Thank you for you reply, but in general are you aware of any ways to convert xts date to timeSeries date using intermediate data.frame conversion in between.
>> 
>> Thank you in advance.
>> 
>> Golam
>> 
>> Sent from my iPhone
>> 
>> On 24 Mar 2012, at 13:13, "R. Michael Weylandt" <michael.weylandt at gmail.com> wrote:
>> 
>>> I'm not sure I understand. PerformanceAnalytics is part of the
>>> "xts-family" (as opposed to the Rmetrics family) of finance packages.
>>> Your problem may be that it requires returns, but consider this
>>> (somewhat opaque) one liner.
>>> 
>>> charts.PerformanceSummary(ROC(Cl(to.weekly(Ad(getSymbols("IBM",auto.assign
>>> = F))))))
>>> 
>>> which works just fine (using 3 packages explicitly and two major dependencies!)
>>> 
>>> Michael
>>> 
>>> On Sat, Mar 24, 2012 at 9:01 AM, Golam Sakline <golam.sakline at gmail.com> wrote:
>>>> How is it possible to get getSymbol object like IBM stock converted to timeSeries object so that it can be plotted in charts.PerformanceSummary() of PerformanceAnalytics in few lines of code. The problem I am having is with the Date column. Please help.
>>>> 
>>>> Thanks
>>>> 
>>>> Riskmaverick
>>>> 
>>>> Sent from my iPhone
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> 
> 
> 
> -- 
> Jeffrey Ryan
> jeffrey.ryan at lemnica.com
> 
> www.lemnica.com
> www.esotericR.com
> 
> R/Finance 2012: Applied Finance with R
> www.RinFinance.com
> 
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