[R-SIG-Finance] timeSeries 2 zoo convert

[Joshua Ulrich]

On Tue, Apr 17, 2012 at 12:27 PM, Costas Vorlow <costas.vorlow at gmail.com> wrote:
> Hello,
>
> What is the "best"   way to convert an timeSeries object to .zoo?
>
Generally, as.zoo is preferred.

> 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
>
That's because you changed the dates.  Look at the output of:

R> index(x)
 [1]  1  2  3  4  5  6  7  8  9 10

There's no index.timeSeries method, so index.default is dispatched.
xz <- as.zoo(x) should be sufficient.


> 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"
>
This is different from your example above.  Further, this works for me
on R-2.15.0 with timeSeries_2130.92, timeDate_2131.00, and zoo_1.7-7.
Your R version is a year old and timeDate and zoo are a couple minor
versions behind.  Maybe updating will solve your problem?

>
> 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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--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com

R/Finance 2012: Applied Finance with R
www.RinFinance.com