[R-SIG-Finance] timeSeries 2 zoo convert

[Costas Vorlow]

Thanks for the reply.  The problem is that when I try to plot the zoo
object, I get numbers instead of dates on the x-axis. I manages to
correct it with the following function:



ConvertTimeFormat <- function(x) {
		require(zoo)
		require(timeDate)
		temp<-(as.zoo(as.timeSeries(x))
 		index(temp)<-as.Date(index(temp))
		return(temp)
}

Is this a "good" way to do it?



On 17 April 2012 20:39, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> 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
>>>
>>
>>
>> --
>>
>> +-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
>> |c|o|s|t|a|s|@|v|o|r|l|o|w|.|o|r|g|
>> +-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
>>
>
>
> --
> Joshua Ulrich  |  FOSS Trading: www.fosstrading.com
>
> R/Finance 2012: Applied Finance with R
> www.RinFinance.com



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