[R-SIG-Finance] [R-sig-finance] how to extract the last day of the month in a last of dates?

[Jeff Ryan]

Hi Patzoul,

library(xts)
ep <- endpoints(yourdata, on='months')
yourdata[ep, ]


?endpoints
endpoints                package:xts                R Documentation

Locate Endpoints by Time

Description:

     Extract index values of a given 'xts' object corresponding to the
     _last_ observations given a period specified by 'on'

Usage:

     endpoints(x, on="months", k=1)

Arguments:

       x: an xts object

      on: the periods endpoints to find as a character string

       k: along every k-th element - see notes

Details:

     'endpoints' returns a numeric vector corresponding to the _last_
     observation in each period specified by 'on', with a zero added to
     the beginning of the vector, and the index of the last observation
     in 'x' at the end.

     Valid values for the argument 'on' include: "us" (microseconds),
     "microseconds", "ms" (milliseconds), "milliseconds", "secs"
     (seconds), "seconds", "mins" (minutes), "minutes", "hours",
     "days", "weeks", "months", "quarters", and "years".

Value:

     A numeric vector of endpoints beginning with 0 and ending with the
     a value equal to the length of the x argument.

Author(s):

     Jeffrey A. Ryan

HTH
Jeff

On Sun, Nov 30, 2008 at 10:43 AM, patzoul <patzoul at free.fr> wrote:
>
> I have a timeseries of stock data. How can I extract the last day of each
> month on the series?
>
> GMT
>           STOXX50E.Close GSPC.Close N225.Close BSV.Close BND.Close
> GSG.Close
> 2007-04-10           4301     1448.4      17665     74.99     75.24
> 41.57
> 2007-04-11           4293     1438.9      17670     74.95     75.04
> 41.45
> 2007-04-12           4280     1447.8      17540     75.12     75.03
> 41.75
> 2007-04-13           4317     1452.8      17364     74.91     74.91
> 41.80
> 2007-04-16           4379     1468.3      17628     75.00     74.98
> 41.52
> 2007-04-17           4384     1471.5      17527     75.09     75.17
> 41.16
> 2007-04-18           4359     1472.5      17667     75.19     75.31
> 41.23
> 2007-04-19           4340     1470.7      17372     75.21     75.28
> 41.00
> 2007-04-20           4417     1484.3      17453     75.25     75.26
> 41.18
> 2007-04-23           4400     1480.9      17455     75.29     75.36
> 41.62
> 2007-04-24           4368     1480.4      17452     75.33     75.48
> 41.31
> 2007-04-25           4404     1495.4      17236     75.31     75.42
> 41.78
> 2007-04-26           4414     1494.2      17429     75.22     75.26
> 41.60
> 2007-04-27           4383     1494.1      17400     75.21     75.24
> 42.14
> 2007-05-01           4392     1486.3      17275     75.26     75.32
> 41.49
> 2007-05-02           4415     1495.9      17395     75.21     75.33
> 41.22
> 2007-05-07           4441     1509.5      17670     75.24     75.39
> 40.34
> 2007-05-08           4411     1507.7      17657     75.26     75.40
> 40.84
> 2007-05-09           4425     1512.6      17748     75.27     75.31
> 40.60
> ...
>
> Thx
>
>
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com