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

[Ilya Kipnis]

Use two different data sets and then cabins them. Its will figure it out,
if you need to combine them.
On Oct 28, 2015 2:35 PM, "Am Gut" <agquantr at gmail.com> wrote:

> Illya,
>
> Thanks for the help as I was able to get the intended result with the
> following code (still one question remains):
>
> ##identify second to last business day of every month
> month_end_rank = endpoints(matrix_rank, on ="months")
> month_end_rank_minus = month_end_rank - 1
> month_end_rank_minus = rbind(month_end_rank_minus)
> for (i in 1:nrow(month_end_rank_minus))
> {
>     if (month_end_rank_minus[i]< 0)
>     {
>         month_end_rank_minus = month_end_rank_minus[-i]
>     }
> }
> matrix_rank_minus = matrix_rank[month_end_rank_minus,]
>
>
> However, if I wanted the second to last business day of each month and all
> days of the year were loaded in the dataset, how would I communicate with R
> that I want the second to last *business* day now that business days and
> non-business days are loaded in the dataset. I would be going back a
> different number of days different times. I have been looking through the
> packages and still was unable to find an application. If you know of how, I
> would also appreciate that insight.
>
> Thanks for all of your help today. I am up and running for now.
>
> AG
>
> On Wed, Oct 28, 2015 at 1:43 PM, Ilya Kipnis <ilya.kipnis at gmail.com>
> wrote:
>
>> As for the last day of each month as opposed to business day, then you
>> need to have those holidays and weekends in your data set.
>> 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.
>>>>>
>>>>
>>>
>
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