[R-SIG-Finance] problem subsetting xts object with yearmon time index

Fri Mar 20 20:11:47 CET 2015

Thanks Josh for the quick reply. However, I am a bit puzzled by the problem. Why should a yearmon (or Date object) time index have a time zone attribute? Shouldn't time zone issues only affect time-date objects? It seems nutty that a date which represents a Year-month can be impacted by a time zone offset from UTC. I know this happens because the internal date for the yearmon object is the first day of the month. I guess this is one of the hidden dangers of using xts objects for calendar time series.

****************************************************************
*  Eric Zivot                  			               *
*  Robert Richards Chaired Professor of Economics              *
*  Department of Economics                                     *
*  Adjunct Professor of Finance                                *
*  Adjunct Professor of Statistics
*  Box 353330                  email:  ezivot at u.washington.edu *
*  University of Washington    phone:  206-543-6715            *
*  Seattle, WA 98195-3330                                      *                                                           *
*  www:  http://faculty.washington.edu/ezivot                  *
****************************************************************

On Fri, 20 Mar 2015, Joshua Ulrich wrote:

> On Fri, Mar 20, 2015 at 12:18 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
>> I can confirm this behavior with a simplified example using zoo 1.7-12
>> and the latest development xts.
>>
>>> data(sample_matrix)
>>> x <- as.xts(sample_matrix)
>>> y <- to.monthly(x)
>>> y['2007']
>>            x.Open   x.High    x.Low  x.Close
>> Feb 2007 50.22448 51.32342 50.19101 50.77091
>> Mar 2007 50.81620 50.81620 48.23648 48.97490
>> Apr 2007 48.94407 50.33781 48.80962 49.33974
>> May 2007 49.34572 49.69097 47.51796 47.73780
>> Jun 2007 47.74432 47.94127 47.09144 47.76719
>>
>>
>> Thanks for the report.  I'll investigate.
>>
> This is a timezone issue.  The solution is to ensure your
> daily/monthly/quarterly indexed objects have an indexTZ of "UTC".
>
>> indexTZ(msftMonthlyPrices) <- "UTC"
>> msftMonthlyPrices['2014']
>          MSFT
> Jan 2014 36.57
> Feb 2014 37.30
> Mar 2014 39.91
> Apr 2014 39.34
> May 2014 40.15
> Jun 2014 40.89
> Jul 2014 42.32
> Aug 2014 44.83
> Sep 2014 45.74
> Oct 2014 46.33
> Nov 2014 47.47
> Dec 2014 46.12
> Warning message:
> timezone of object (UTC) is different than current timezone ().
>
> You can safely ignore the warning.  There probably should be a warning
> for non-UTC timezones on objects with a date-based index (or any
> higher periodicity)...
>
>> Best,
>> Josh
>>
>>
>> On Fri, Mar 20, 2015 at 12:08 PM, Eric Zivot <ezivot at u.washington.edu> wrote:
>>> I seem to have a problem sub-setting an xts object with a yearmon time index. I have a xts object holding monthly returns where the time index is a yearmon object. When I subset the data for 2014 using “2014” within the xts object I don’t get the data for January. However, if I subset the data using window() I get all of the data for 2014. Below is the example (from Rstudio on windows 8) and output. Why is January missing when I subset using mydata.xts["2014"]????
>>>
>>>
>>>
>>>> options(digits=3, width=70)
>>>
>>>> # IntroCompFinR available from R-forge
>>>
>>>> # install.packages("IntroCompFinR", repos="http://R-Forge.R-project.org")
>>>
>>>> library(IntroCompFinR)
>>>
>>>> library(PerformanceAnalytics)
>>>
>>>>
>>>
>>>> #
>>>
>>>> # load data and compute returns - MSFT
>>>
>>>> #
>>>
>>>>
>>>
>>>> data(msftMonthlyPrices)
>>>
>>>> msftRetC = na.omit(Return.calculate(msftMonthlyPrices,
>>>
>>> +                                     method="log"))
>>>
>>>> head(msftRetC, n=3)
>>>
>>>             MSFT
>>>
>>> Feb 1993 -0.0371
>>>
>>> Mar 1993  0.1075
>>>
>>> Apr 1993 -0.0809
>>>
>>>> tail(msftRetC, n=3)
>>>
>>>             MSFT
>>>
>>> Oct 2014  0.0128
>>>
>>> Nov 2014  0.0243
>>>
>>> Dec 2014 -0.0289
>>>
>>>> class(index(msftRetC))
>>>
>>> [1] "yearmon"
>>>
>>>> # restric returns to last year
>>>
>>>> msftRetC2014 = msftRetC["2014"]
>>>
>>>> msftRetC2014
>>>
>>>             MSFT
>>>
>>> Feb 2014  0.0198
>>>
>>> Mar 2014  0.0676
>>>
>>> Apr 2014 -0.0144
>>>
>>> May 2014  0.0204
>>>
>>> Jun 2014  0.0183
>>>
>>> Jul 2014  0.0344
>>>
>>> Aug 2014  0.0576
>>>
>>> Sep 2014  0.0201
>>>
>>> Oct 2014  0.0128
>>>
>>> Nov 2014  0.0243
>>>
>>> Dec 2014 -0.0289
>>>
>>>> # why is January missing?????
>>>
>>>> as.Date(index(msftRetC2014))
>>>
>>> [1] "2014-02-01" "2014-03-01" "2014-04-01" "2014-05-01" "2014-06-01"
>>>
>>> [6] "2014-07-01" "2014-08-01" "2014-09-01" "2014-10-01" "2014-11-01"
>>>
>>> [11] "2014-12-01"
>>>
>>>> # I get the right data using window()
>>>
>>>> window(msftRetC, start=as.yearmon("Jan 2014"), end=as.yearmon("Dec 2014"))
>>>
>>>             MSFT
>>>
>>> Jan 2014  0.0113
>>>
>>> Feb 2014  0.0198
>>>
>>> Mar 2014  0.0676
>>>
>>> Apr 2014 -0.0144
>>>
>>> May 2014  0.0204
>>>
>>> Jun 2014  0.0183
>>>
>>> Jul 2014  0.0344
>>>
>>> Aug 2014  0.0576
>>>
>>> Sep 2014  0.0201
>>>
>>> Oct 2014  0.0128
>>>
>>> Nov 2014  0.0243
>>>
>>> Dec 2014 -0.0289
>>>
>>>> sessionInfo()
>>>
>>> R version 3.1.2 (2014-10-31)
>>>
>>> Platform: x86_64-w64-mingw32/x64 (64-bit)
>>>
>>>
>>>
>>> locale:
>>>
>>> [1] LC_COLLATE=English_United States.1252
>>>
>>> [2] LC_CTYPE=English_United States.1252
>>>
>>> [3] LC_MONETARY=English_United States.1252
>>>
>>> [4] LC_NUMERIC=C
>>>
>>> [5] LC_TIME=English_United States.1252
>>>
>>>
>>>
>>> attached base packages:
>>>
>>> [1] stats     graphics  grDevices utils     datasets  methods
>>>
>>> [7] base
>>>
>>>
>>>
>>> other attached packages:
>>>
>>> [1] boot_1.3-13                   PerformanceAnalytics_1.4.3541
>>>
>>> [3] IntroCompFinR_1.0             xts_0.9-7
>>>
>>> [5] zoo_1.7-11
>>>
>>>
>>>
>>> loaded via a namespace (and not attached):
>>>
>>> [1] digest_0.6.8    grid_3.1.2      htmltools_0.2.6 lattice_0.20-29
>>>
>>> [5] rmarkdown_0.5.1 tools_3.1.2     yaml_2.1.13
>>>
>>>
>>>
>>> Thanks in advance for any insight.
>>>
>>>
>>>
>>>
>>>
>>> _______________________________________________
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>>
>>
>>
>> --
>> Joshua Ulrich  |  about.me/joshuaulrich
>> FOSS Trading  |  www.fosstrading.com
>
>
>
> -- 
> Joshua Ulrich  |  about.me/joshuaulrich
> FOSS Trading  |  www.fosstrading.com
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
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