Thks all,

Robert,
My packages are updated. I'll update my R version to be sure.

Santosh,
I'll try your methodology as well.

On 10/12/2010 11:51, Santosh Srinivas wrote:
>
> Hi  Anass,
>
> I like zoo more so here is what you need I think.
>
> require(zoo)
>
> f2 <- function(d, t, format = "%Y-%m-%d %H:%M:%S") {
>
> as.POSIXct(strptime(paste(d, t),format=format))
>
> }
>
> t1=read.csv("AUDJPY.csv", sep=";")
>
> t1.z <- read.zoo(t1, index=list(1,2), FUN =f2)
>
> t2=read.csv("CHFJPY.csv", sep=";")
>
> t2.z <- read.zoo(t2, index=list(1,2), FUN =f2)
>
> head(t1.z)
>
> head(t2.z)
>
> t1.z.cl <- Cl(x=to.daily(t1.z$Close))
>
> t2.z.cl <- Cl(x=to.daily(t2.z$Close))
>
> t1.z.cl <- t1.z.cl[,4]
>
> t2.z.cl <- t2.z.cl[,4]
>
> head(t1.z.cl)
>
> head(t2.z.cl)
>
> t3 <- merge.zoo(t1.z.cl,t2.z.cl)
>
> head(t3)
>
> (there should  be something similar for xts)
>
> HTH.
>
> *From:*r-sig-finance-bounces@r-project.org 
> [mailto:r-sig-finance-bounces@r-project.org] *On Behalf Of *Anass Mouhsine
> *Sent:* 10 December 2010 14:50
> *To:* Mark Breman; r-sig-finance@r-project.org
> *Subject:* Re: [R-SIG-Finance] [xts] merge function weird behaviour
>
> Here,
>
> you will find attached data used to illustrate the issue.
> here is the code used as well
>
> #reading file
> t1=read.csv("AUDJPY.csv", sep=";")
> rownames(t1)<-t1[,"Index"];t1<-t1[,-1]
> #constructing xts object
> t1<-as.xts(t1,tzone="America/New_York", src="csv", updated=Sys.time())
>
> t2=read.csv("CHFJPY.csv", sep=";")
> rownames(t2)<-t2[,"Index"];t2<-t2[,-1]
> t2<-as.xts(t2,tzone="America/New_York", src="csv", updated=Sys.time())
>
> # requires quantmod
> library(quantmod)
>
> #constructing daily close series
> t1<-Cl(to.daily(t1))
> t2<-Cl(to.daily(t2))
>
> #trying to merge
> merge(t1,t2)
>
> #......and result....sadly...is
> > merge(t1,t2)
>            t1.Close t2.Close
> 2007-01-02          NA       97.87
> 2007-01-02       94.59          NA
> 2007-01-03       94.38       97.32
> 2007-01-04       92.55       96.04
> 2007-01-05          NA       95.97
> 2007-01-05       92.37          NA
> 2007-01-07          NA       95.69
> 2007-01-07       92.23          NA
> 2007-01-08       92.89       96.23
>
>
>
> On 10/12/2010 10:04, Mark Breman wrote:
>
> Hi Anass,
>
> Could it be the series have a (invisible) different time part, or the 
> timezone is different.
>
> Regards,
>
> -Mark-
>
> 2010/12/10 Anass Mouhsine <anass.mouhsine@gmail.com 
> <mailto:anass.mouhsine@gmail.com>>
>
> Hi all,
>
> I encountered a weird behaviour of merge function while using it with 
> xts objects.
> I have multiple xts objects (10 timeseries) that I want to merge in 
> order to conduct a multivariate analysis.
> Here is an example with only two timeseries
>
> #Let us define the time series
> > t1
>                                       Close
> 2007-01-02                  97.87
> 2007-01-03                  97.32
> 2007-01-04                  96.04
> 2007-01-05                  95.97
> 2007-01-07                  95.69
> 2007-01-08                  96.23
> > t2
>                                       Close
> 2007-01-02                  94.59
> 2007-01-03                  94.38
> 2007-01-04                  92.55
> 2007-01-05                  92.37
> 2007-01-07                  92.23
> 2007-01-08                  92.89
> > c(class(t1),class(t2))
> [1] "xts" "zoo" "xts" "zoo"
>
> #I do the merge using merge.xts
> > t<-merge(t1,t2)
> > t
>                                       Close                 Close
> 2007-01-02                  97.87                     NA
> 2007-01-02                     NA                  94.59
> 2007-01-03                  97.32                  94.38
> 2007-01-04                  96.04                  92.55
> 2007-01-05                  95.97                     NA
> 2007-01-05                     NA                  92.37
> 2007-01-07                  95.69                     NA
> 2007-01-07                     NA                  92.23
> 2007-01-08                  96.23                  92.89
>
> # I don't see where the problem lays since both xts objects have the 
> same index
> > index(t1)
> [1] "2007-01-02" "2007-01-03" "2007-01-04" "2007-01-05" "2007-01-07" 
> "2007-01-08"
> > index(t2)
> [1] "2007-01-02" "2007-01-03" "2007-01-04" "2007-01-05" "2007-01-07" 
> "2007-01-08"
>
> # I tried using join but with no satisfying result
> >t<-merge(head(t1),head(t2),join='inner')
> > t
>           CHFJPY..2007.....Close AUDJPY..2007.....Close
> 2007-01-03                  97.32                  94.38
> 2007-01-04                  96.04                  92.55
> 2007-01-08                  96.23                  92.89
>
> I am really out of tricks here :-[ .
>
> So if someone is kind enough as to point me towards the right 
> direction, it would make my day.
>
> Thx in advance,
>
> Anass
>
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