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

Joshua Ulrich josh.m.ulrich at gmail.com
Fri Mar 20 20:28:24 CET 2015 

On Fri, Mar 20, 2015 at 2:11 PM, Eric Zivot <ezivot at u.washington.edu> wrote:
> 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.
>
The timezone matters because xts objects always store the index as
POSIXct.  So, internally, there's always a time component.

How did you construct the msftMonthlyPrices data?  The xts constructor
will throw a warning if you try to supply a timezone with a
Date-classed index, but does not if the class is yearmon or yearqtr
(though it should).

>
>
> 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.
>>>>
>>>>
>>>>
>>>>
>>>>
>>>> _______________________________________________
>>>> R-SIG-Finance at r-project.org mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>>>> -- Also note that this is not the r-help list where general R questions
>>>> should go.
>>>
>>>
>>>
>>>
>>> --
>>> 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
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.



-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com

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