[R-SIG-Finance] Applying transformations to timeSeries objects
nacho
ignacio.rodrigo at gmx.com
Fri Jun 20 14:14:56 CEST 2014
Hi guys,
First of all, apologies for the simplicity of the question, I am a complete
R and Rmetrics newbie so I am just trying to learn. I have searched forums
and the internet in general for the answer but I have found none that I
could understand or matched my query.
So, using the Rmetrics package, I created a timeSeries object with a set of
closing prices, e.g.
> data
GMT
Close
1974-12-31 191
1975-01-02 184
1975-01-03 173
1975-01-06 172
1975-01-07 171
1975-01-08 176
1975-01-09 179
1975-01-10 177
1975-01-13 181
1975-01-14 177
My first question is how to apply a transformation of one row relative to
the previous row to the 'data' timeSeries object and store it in a new
timeSeries object. I am aware that you can simply run:
> returns(data)
...and it will generate a returns timeSeries object. However, what if I want
to create a new timeSeries object from 'data' that applies a more custom
transformation that references other rows? e.g. one that subtracts the
previous observation from the current one
GMT
Close
1975-01-02 -7
1975-01-03 -11
1975-01-06 -1
1975-01-07 -1
1975-01-08 5
1975-01-09 3
1975-01-10 -2
1975-01-13 4
1975-01-14 -4
I have tried doing it writing a for-loop but something tells me that it is
possible to do it in a much simpler way through timeSeries' fapply() or
applySeries() functions. Would anyone know how to do it?
Thanks a lot for taking the time to read this and for your help in advance,
much appreciated!
--
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