[R-SIG-Finance] timeSeries 2 zoo convert

Costas Vorlow costas.vorlow at gmail.com
Tue Apr 17 19:27:17 CEST 2012


Hello,

What is the "best"   way to convert an timeSeries object to .zoo?

Say I have  the following timeSeries object:

> is(x)
[1] "timeSeries" "structure"  "vector"
> head(x)
GMT
            DAAA
1983-01-03 11.77
1983-01-04 11.79
1983-01-05 11.79
1983-01-06 11.74
1983-01-07 11.74
1983-01-10 11.75
>

When I try to convert it to zoo, I can not retain the dates info. I tried:

	a<-as.Date(index( x ))
	xz<-as.zoo(x)
	index(xz)<-a
	
but dates change.

 head(xz)
            DAAA
1970-01-02 11.77
1970-01-03 11.79
1970-01-04 11.79
1970-01-05 11.74
1970-01-06 11.74
1970-01-07 11.75

This used to work with last year's libraries but it seems it doesn't anymore:

	        a<-index(as.zoo(x))
		xz<-as.zoo(x)
		xnew<-aggregate(xz, as.Date, identity)

Error in as.Date.default(index(x)) :
  do not know how to convert 'index(x)' to class "Date"


Any help, extremely welcome.

thanks in advance,
Costas


> sessionInfo()
R version 2.13.0 (2011-04-13)
Platform: i386-pc-mingw32/i386 (32-bit)

locale:
[1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
States.1252
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
[5] LC_TIME=English_United States.1252

attached base packages:
[1] graphics  grDevices datasets  stats     utils     methods   base

other attached packages:
 [1] fImport_2110.79              timeSeries_2130.92
 [3] timeDate_2130.93             fMarkovSwitching_1.0
 [5] Rdonlp2_0.3-1                rcom_2.2-3.1
 [7] rscproxy_1.3-1               quantmod_0.3-17
 [9] TTR_0.21-0                   Defaults_1.1-1
[11] PerformanceAnalytics_1.0.3.2 xts_0.8-2
[13] zoo_1.7-4

loaded via a namespace (and not attached):
[1] grid_2.13.0     lattice_0.19-33 tools_2.13.0
>


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