[R-SIG-Finance] Ranking XTS based on quantiles

Thu Oct 31 16:44:05 CET 2013

May use the cut function. Take a look at ?cut. From: Raghuraman
Ramachandran
Sent: 10/31/2013 10:09 AM
To: Joshua Ulrich
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Ranking XTS based on quantiles
Hi Josh

Thanks for looking. The following is the data. I want to bucket the vols in
to quantiles and then like to know which quantile does a particular vol
fall into.

dput(vols)
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1375657200, 1375743600, 1375830000, 1375916400, 1376262000, 1376348400,
1376434800), tzone = "", tclass = "Date"), .indexCLASS = "Date", .indexTZ =
"", tclass = "Date", tzone = "", class = c("xts",
"zoo"), na.action = structure(1:9, class = "omit", index = c(1309302000,
1309388400, 1309474800, 1309734000, 1309820400, 1309906800, 1309993200,
1310079600, 1310338800)))

Thanks
Raghu

On Thu, Oct 31, 2013 at 12:22 PM, Joshua Ulrich <josh.m.ulrich at gmail.com>wrote:

> On Thu, Oct 31, 2013 at 6:39 AM, Raghuraman Ramachandran
> <optionsraghu at gmail.com> wrote:
> >
> > R GuRus
> >
> > I have an xts object called vols
> >
> > head(vols)
> >                 [,1]
> > 2011-07-12 0.2985884
> > 2011-07-13 0.2873109
> > 2011-07-14 0.2780244
> > 2011-07-15 0.2739429
> > 2011-07-18 0.2609898
> > 2011-07-19 0.2868996
> >
> > and I wanted to have a column next to each in everyrow that ranks the
> vols
> > based on quantiles.
> >
> You haven't provided enough information. For a given row, which
> observations do you want to use to calculate quantiles?  Please
> provide a minimal reproducible example and the output you expect.
>
> > quantile(vols)
> >        0%       25%       50%       75%      100%
> > 0.0562344 0.1536431 0.2194198 0.3043755 1.3428146
> >
> > Can you help please?
> >
> > Thanks
> > Raghu
> >
>
> --
> Joshua Ulrich  |  about.me/joshuaulrich
> FOSS Trading  |  www.fosstrading.com
>

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