[R-SIG-Finance] Subsetting Second to Last Day of the Month

[Ilya Kipnis]

No. The output of the actual endpoints function is a set of numbered
indices specifying that particular day. E.g. if you look at JUST the output
of endpoints, before plugging it into your dataset, you'd see something
like 0, 10, 31, etc.

To get the second to last day, you just subtract 1 from that output and set
negatives to zero.
On Oct 28, 2015 12:40 PM, "Am Gut" <agquantr at gmail.com> wrote:

> Ilya,
>
> Thanks for such a fast reply. The output is the last day of each month in
> my dataset - so sometimes not necessarily the last day of each month - but
> the last day of the month within my dataset (which is just the business
> days):
>
> [image: Inline image 1]
>
> Please let me know if you have any suggestions on how I can progress along
> with this issue and thanks in advance.
>
> Kind Regards,
>
> AG
>
> On Wed, Oct 28, 2015 at 1:36 PM, Ilya Kipnis <ilya.kipnis at gmail.com>
> wrote:
>
>> Do you know what the output of the endpoints function is? It's trivial
>> from there.
>> On Oct 28, 2015 12:35 PM, "Am Gut" <agquantr at gmail.com> wrote:
>>
>>> Good Morning Everyone,
>>>
>>> I have essentially two questions. I am trying to subset a an existing
>>> dataset based on the last two business days of each month in the dataset. I
>>> am able to subset based on the last business day of each month (or the last
>>> day as I am only using business days in my dataset) via the following code:
>>>
>>> ##identify second to last business day of every month
>>> month_end = lookback_returns_nona[endpoints(lookback_returns_nona,
>>> on="months"),]
>>>
>>> However, I do not have to make this the second to last day instead. In
>>> addition, can someone help me understand how I could do the last business
>>> day of each month and the second to last business day of each month?
>>>
>>> My dataset simply contains a date index, and a few variables with daily
>>> returns:
>>>
>>>
>>> [image: Inline image 1]
>>>
>>> As a side note, I am new to the forum so please feel free to let me know
>>> if I am not observing proper posing rules. Thanks in advance as any help
>>> would be extremely useful.
>>>
>>> Kind Regards,
>>>
>>> AG
>>>
>>> _______________________________________________
>>> 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.
>>>
>>
>
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20151028/18305d30/attachment.html>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: image.png
Type: image/png
Size: 7735 bytes
Desc: not available
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20151028/18305d30/attachment.png>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: image.png
Type: image/png
Size: 5672 bytes
Desc: not available
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20151028/18305d30/attachment-0001.png>