[R-SIG-Finance] xts: Transfer/expand values to higher periodicity

[Mike]

First I convert a higher periodicity xts (e.g. day/hour) to a lower
one (e.g. week/day). Then I calculate values (e.g. the mean of the
low/high) on the lower periodicity xts.

Now I like to transfer and expand the calculated low periodicity
values into the corresponding bars of the high periodicity xts.

Or less abstract: Project numbers of each week into the corresponding
time frames (of mostly 5 bars) of the original daily xts.

My minimal reproducible example:

data(sample_matrix)
x.daily <- as.xts(sample_matrix)
# Limit sample to weekdays
x.daily <- x.daily[.indexwday(x.daily) %in% 1:5]
x.weekly <- to.weekly(x.daily, name=NULL)
# Example calculation
x.weekly <- cbind (x.weekly, rowMeans(x.weekly[,2:3]))
colnames(x.weekly) <- c('O','H','L','C','M')

> head(x.weekly)

                  O        H        L        C        M                                 
2007-01-05 50.03978 50.42188 49.95041 50.33459 50.18615
2007-01-12 50.03555 50.35980 49.80454 50.28519 50.08217
2007-01-19 50.61724 50.77336 50.40269 50.41278 50.58802
2007-01-26 50.36008 50.43875 49.94052 50.07024 50.18963
2007-02-02 49.85624 50.53490 49.76308 50.36928 50.14899
2007-02-09 50.52389 50.89683 50.45977 50.67686 50.67830


The new x.daily.new[,5] should look like this:

               Open     High      Low    Close    M
2007-01-02 50.03978 50.11778 49.95041 50.11778 50.18615\
2007-01-03 50.23050 50.42188 50.23050 50.39767 50.18615|-Values
2007-01-04 50.42096 50.42096 50.26414 50.33236 50.18615| for week
2007-01-05 50.37347 50.37347 50.22103 50.33459 50.18615/
2007-01-08 50.03555 50.10363 49.96971 49.98806 50.08217\
2007-01-09 49.99489 49.99489 49.80454 49.91333 50.08217|
2007-01-10 49.91228 50.13053 49.91228 49.97246 50.08217|-Values
2007-01-11 49.88529 50.23910 49.88529 50.23910 50.08217| for week
2007-01-12 50.21258 50.35980 50.17176 50.28519 50.08217/
2007-01-15 50.61724 50.68583 50.47359 50.48912 50.58802\
2007-01-16 50.62024 50.73731 50.56627 50.67835 50.58802|
2007-01-17 50.74150 50.77336 50.44932 50.48644 50.58802|-Values
2007-01-18 50.48051 50.60712 50.40269 50.57632 50.58802| for week
2007-01-19 50.41381 50.55627 50.41278 50.41278 50.58802/
...

How can I achieve that?

Mike