[R-SIG-Finance] data handling with timeSeries

[Yohan Chalabi]

>>>> "JK" == J Konnonen <jkonn2001 at yahoo.com>
>>>> on Wed, 3 Dec 2008 06:45:45 -0800 (PST)

   JK> Dear All,
   JK> 
   JK> I met some problems with data handling when using the timeSeries library
   JK> 
   JK> I have some csv files, each containing two columns, first column are the series of dates, second are the series prices 
   JK> 
   JK> I read in all files using, and create a matrix with the dates in the first column, and the calculated returns in the remaining columns
   JK> 
   JK> > library(timeSeries)
   JK> 
   JK> > returnsdata <- read.csv("foo1.csv",header=T,sep=",")
   JK> > attach(returnsdata)
   JK> > foo1 = as.timeSeries(returnsdata)
   JK> > foo1bind <- returns(window(foo1, start=2007-01-01, end=2007-12-31))
   JK> 
   JK> > returnsdata <- read.csv("foo2.csv",header=T,sep=",")
   JK> > attach(returnsdata)
   JK> > foo2 = as.timeSeries(returnsdata)
   JK> > foo2bind <- returns(window(foo2, start=2007-01-01, end=2007-12-31))
   JK> 
   JK> > ralls <- cbind(foo1bind,foo2bind)
   JK> > colnames(ralls) <- c("FOO1","FOO2")  
   JK> 
   JK> And then I would like to have the last 1000 lines of this matrix for some computations
   JK> 
   JK> > index <- ... #some value
   JK> > past1000 <- ralls[(index-1000):(index-1)]

you are missing the comma ! This is why you get back a vector. This is
the same behaviour as with a matrix. Without a comma you do not know if
you subset in the rows and columns.

I suppose you wanted to use

ralls[(index-1000):(index-1),]

Note you could use the function tail()

   JK>            
   JK> But 
   JK> > print(past1000) 
   JK> shows that past1000 doesn't contain either the column of dates, nor the header line, only the columns of returns  
   JK> 
   JK> Also 
   JK> > print(is.timeSeries(past1000))
   JK> returns FALSE, and although I attempted several conversions on past1000, which resulted this check to be TRUE, the effective content of past1000 didn't seem to be changed, still no dates were printed
   JK> 
   JK> And despite
   JK> > print(is.timeSeries(ralls))
   JK> returns TRUE, and printing the whole ralls object contains the dates column and the header
   JK> > print(ralls at .Data[,1])           
   JK> returns only the second column of ralls (that is, the first column of returns) and no date column is displayed. This seems to indicate that perhaps there is already some problem with ralls, rooted possibly in the datafile reading and binding?           
   JK> 
   JK> The expectation would be to have past1000 an object where the first column contains the dates, and the remaining columns contain the returns, but I couldn't figure it out so far.
   JK> 
   JK> Any suggestion is very much appreciated.
   JK> 
   JK> Best regards,
   JK> /Johan
   JK> 
   JK> _______________________________________________
   JK> R-SIG-Finance at stat.math.ethz.ch mailing list
   JK> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
   JK> -- Subscriber-posting only.
   JK> -- If you want to post, subscribe first.


-- 
PhD student
Swiss Federal Institute of Technology
Zurich

www.ethz.ch