[R-SIG-Finance] rollapply and resulting index

[Jeff Ryan]

Hi Brain,

Expected.

>From ?rollapply

Usage:

     rollapply(data, width, FUN, ..., by = 1, ascending = TRUE,
by.column = TRUE,
      na.pad = FALSE, align = c("center", "left", "right"))
...
   align: character specifying whether result should be left- or
          right-aligned or centered (default).

I suspect you want align='right'

Jeff

On Sat, Dec 13, 2008 at 8:49 PM, Brian Lee Yung Rowe <brian at muxspace.com> wrote:
> Hi,
>
> I was using rollapply on a zoo time series and the resulting zoo object
> had index values that I wasn't expecting. I assumed (for better or
> worse) that the index dates would be anchored to the last date in the
> index as you would expect from a rolling moving average, but instead the
> dates seemed to hover around the median. Is this the expected behavior?
>
> Thanks,
> Brian
>
>
>> z <- zoo(11:15, as.Date(31:35))
>> z
> 1970-02-01 1970-02-02 1970-02-03 1970-02-04 1970-02-05
>        11         12         13         14         15
>> rollapply(z, 2, mean)
> 1970-02-01 1970-02-02 1970-02-03 1970-02-04
>      11.5       12.5       13.5       14.5
>> rollapply(z, 3, mean)
> 1970-02-02 1970-02-03 1970-02-04
>        12         13         14
>> rollapply(z, 4, mean)
> 1970-02-02 1970-02-03
>      12.5       13.5
>> rollapply(z, 5, mean)
> 1970-02-03
>        13
>
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com