[R-SIG-Finance] Monthly Midpoint return

Brian G. Peterson brian at braverock.com
Wed Jun 17 14:37:31 CEST 2015

On Wed, 2015-06-17 at 12:10 +0000, Phil Steel wrote:
> Sorry for bothering you all with this idiotic question but I can't find a simple way to go forward.
> I can't manage to get the midpoint monthly returns from an daily price xts object.I know how to get monthly endpoints by using "to.monthly()"  but I can't figure how to transform the daily object to monthly midpoint. Lets say the midpoint is the first day trading day around the 15:th in a month or every 30:th day.
> Anybody have encounter this "problem" and/or have a solution.

I'm not entirely sure I understand your question.  

If you want the mean/median of the monthly series, or any other
calculable stat, you can use period.apply.

If you want a particular point in time, like the 15th of each month,
then use 'endpoints' or subset the index to get the points you're
looking for.



Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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