[R-SIG-Finance] half-hourly staggered data into daily

[murali.menon at fortisinvestments.com]

Folks,
 
For some reason, this email to the mailing list doesn't seem to have 
reached, hence resending.
 
Using the period.apply() function in the xts package, I'm able to convert 
half-hourly data points into daily aggregates. Like so:
 
library(chron)
library(xts)
dts <- dates(c("04/03/1996", "05/03/1996", "06/03/1996", "07/03/1996", 
"08/03/1996", "11/03/1996", "12/03/1996", "13/03/1996", "14/03/1996", 
"15/03/1996"), format="d/m/y")
tms <- times(seq(from = 0, to = 60 * 60 * 23 + 30 * 60, by = 30 * 60) / 
(24 * 60 * 60))
# clumsy way to obtain a vector of date-times
series <- chron(as.vector(matrix(outer(dts, tms, chron), byrow = TRUE)))
# Now create some dummy data
library(xts)
set.seed(123)
fxdata <- xts(runif(length(series)), order.by = series)
# Returns
fxret <- diff(log(fxdata))
sqrd_ret <- fxret ^ 2
 
> period.apply(sqrd_ret, endpoints(sqrd_ret, "days"), FUN = function(x) 
sqrt(sum(x)))
(03/04/96 23:30:00) (03/05/96 23:30:00) (03/06/96 23:30:00) (03/07/96 
23:30:00) (03/08/96 23:30:00) (03/11/96 23:30:00) (03/12/96 23:30:00) 
           6.342830            9.622646            8.718305           
12.006788            8.526932            7.659233            7.506814 
(03/13/96 23:30:00) (03/14/96 23:30:00) (03/15/96 23:30:00) 
          12.436300            9.879991            7.790180
 


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