Re: [R-SIG-Finance] timeSeries 2 zoo convert
On Tue, Apr 17, 2012 at 12:27 PM, Costas Vorlow costas.vor...@gmail.com wrote: Hello, What is the best way to convert an timeSeries object to .zoo? Generally, as.zoo is preferred. Say I have the following timeSeries object: is(x) [1] timeSeries structure vector head(x) GMT DAAA 1983-01-03 11.77 1983-01-04 11.79 1983-01-05 11.79 1983-01-06 11.74 1983-01-07 11.74 1983-01-10 11.75 When I try to convert it to zoo, I can not retain the dates info. I tried: a-as.Date(index( x )) xz-as.zoo(x) index(xz)-a but dates change. head(xz) DAAA 1970-01-02 11.77 1970-01-03 11.79 1970-01-04 11.79 1970-01-05 11.74 1970-01-06 11.74 1970-01-07 11.75 That's because you changed the dates. Look at the output of: R index(x) [1] 1 2 3 4 5 6 7 8 9 10 There's no index.timeSeries method, so index.default is dispatched. xz - as.zoo(x) should be sufficient. This used to work with last year's libraries but it seems it doesn't anymore: a-index(as.zoo(x)) xz-as.zoo(x) xnew-aggregate(xz, as.Date, identity) Error in as.Date.default(index(x)) : do not know how to convert 'index(x)' to class Date This is different from your example above. Further, this works for me on R-2.15.0 with timeSeries_2130.92, timeDate_2131.00, and zoo_1.7-7. Your R version is a year old and timeDate and zoo are a couple minor versions behind. Maybe updating will solve your problem? Any help, extremely welcome. thanks in advance, Costas sessionInfo() R version 2.13.0 (2011-04-13) Platform: i386-pc-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252 [3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C [5] LC_TIME=English_United States.1252 attached base packages: [1] graphics grDevices datasets stats utils methods base other attached packages: [1] fImport_2110.79 timeSeries_2130.92 [3] timeDate_2130.93 fMarkovSwitching_1.0 [5] Rdonlp2_0.3-1 rcom_2.2-3.1 [7] rscproxy_1.3-1 quantmod_0.3-17 [9] TTR_0.21-0 Defaults_1.1-1 [11] PerformanceAnalytics_1.0.3.2 xts_0.8-2 [13] zoo_1.7-4 loaded via a namespace (and not attached): [1] grid_2.13.0 lattice_0.19-33 tools_2.13.0 -- +-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+ |c|o|s|t|a|s|@|v|o|r|l|o|w|.|o|r|g| +-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+ -- Joshua Ulrich | FOSS Trading: www.fosstrading.com R/Finance 2012: Applied Finance with R www.RinFinance.com ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] timeSeries 2 zoo convert
Following up on what Josh said, does it work with the built-in data set MSFT provided by timeSeries? library(xts) library(timeSeries) data(MSFT) head(MSFT) head(as.xts(MSFT)) head(as.zoo(MSFT)) all give the same dates for me. Michael On Tue, Apr 17, 2012 at 1:39 PM, Joshua Ulrich josh.m.ulr...@gmail.com wrote: On Tue, Apr 17, 2012 at 12:27 PM, Costas Vorlow costas.vor...@gmail.com wrote: Hello, What is the best way to convert an timeSeries object to .zoo? Generally, as.zoo is preferred. Say I have the following timeSeries object: is(x) [1] timeSeries structure vector head(x) GMT DAAA 1983-01-03 11.77 1983-01-04 11.79 1983-01-05 11.79 1983-01-06 11.74 1983-01-07 11.74 1983-01-10 11.75 When I try to convert it to zoo, I can not retain the dates info. I tried: a-as.Date(index( x )) xz-as.zoo(x) index(xz)-a but dates change. head(xz) DAAA 1970-01-02 11.77 1970-01-03 11.79 1970-01-04 11.79 1970-01-05 11.74 1970-01-06 11.74 1970-01-07 11.75 That's because you changed the dates. Look at the output of: R index(x) [1] 1 2 3 4 5 6 7 8 9 10 There's no index.timeSeries method, so index.default is dispatched. xz - as.zoo(x) should be sufficient. This used to work with last year's libraries but it seems it doesn't anymore: a-index(as.zoo(x)) xz-as.zoo(x) xnew-aggregate(xz, as.Date, identity) Error in as.Date.default(index(x)) : do not know how to convert 'index(x)' to class Date This is different from your example above. Further, this works for me on R-2.15.0 with timeSeries_2130.92, timeDate_2131.00, and zoo_1.7-7. Your R version is a year old and timeDate and zoo are a couple minor versions behind. Maybe updating will solve your problem? Any help, extremely welcome. thanks in advance, Costas sessionInfo() R version 2.13.0 (2011-04-13) Platform: i386-pc-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252 [3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C [5] LC_TIME=English_United States.1252 attached base packages: [1] graphics grDevices datasets stats utils methods base other attached packages: [1] fImport_2110.79 timeSeries_2130.92 [3] timeDate_2130.93 fMarkovSwitching_1.0 [5] Rdonlp2_0.3-1 rcom_2.2-3.1 [7] rscproxy_1.3-1 quantmod_0.3-17 [9] TTR_0.21-0 Defaults_1.1-1 [11] PerformanceAnalytics_1.0.3.2 xts_0.8-2 [13] zoo_1.7-4 loaded via a namespace (and not attached): [1] grid_2.13.0 lattice_0.19-33 tools_2.13.0 -- +-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+ |c|o|s|t|a|s|@|v|o|r|l|o|w|.|o|r|g| +-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+ -- Joshua Ulrich | FOSS Trading: www.fosstrading.com R/Finance 2012: Applied Finance with R www.RinFinance.com ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] timeSeries 2 zoo convert
Thanks for the reply. The problem is that when I try to plot the zoo
object, I get numbers instead of dates on the x-axis. I manages to
correct it with the following function:
ConvertTimeFormat - function(x) {
require(zoo)
require(timeDate)
temp-(as.zoo(as.timeSeries(x))
index(temp)-as.Date(index(temp))
return(temp)
}
Is this a good way to do it?
On 17 April 2012 20:39, Joshua Ulrich josh.m.ulr...@gmail.com wrote:
On Tue, Apr 17, 2012 at 12:27 PM, Costas Vorlow costas.vor...@gmail.com
wrote:
Hello,
What is the best way to convert an timeSeries object to .zoo?
Generally, as.zoo is preferred.
Say I have the following timeSeries object:
is(x)
[1] timeSeries structure vector
head(x)
GMT
DAAA
1983-01-03 11.77
1983-01-04 11.79
1983-01-05 11.79
1983-01-06 11.74
1983-01-07 11.74
1983-01-10 11.75
When I try to convert it to zoo, I can not retain the dates info. I tried:
a-as.Date(index( x ))
xz-as.zoo(x)
index(xz)-a
but dates change.
head(xz)
DAAA
1970-01-02 11.77
1970-01-03 11.79
1970-01-04 11.79
1970-01-05 11.74
1970-01-06 11.74
1970-01-07 11.75
That's because you changed the dates. Look at the output of:
R index(x)
[1] 1 2 3 4 5 6 7 8 9 10
There's no index.timeSeries method, so index.default is dispatched.
xz - as.zoo(x) should be sufficient.
This used to work with last year's libraries but it seems it doesn't anymore:
a-index(as.zoo(x))
xz-as.zoo(x)
xnew-aggregate(xz, as.Date, identity)
Error in as.Date.default(index(x)) :
do not know how to convert 'index(x)' to class Date
This is different from your example above. Further, this works for me
on R-2.15.0 with timeSeries_2130.92, timeDate_2131.00, and zoo_1.7-7.
Your R version is a year old and timeDate and zoo are a couple minor
versions behind. Maybe updating will solve your problem?
Any help, extremely welcome.
thanks in advance,
Costas
sessionInfo()
R version 2.13.0 (2011-04-13)
Platform: i386-pc-mingw32/i386 (32-bit)
locale:
[1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United
States.1252
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
[5] LC_TIME=English_United States.1252
attached base packages:
[1] graphics grDevices datasets stats utils methods base
other attached packages:
[1] fImport_2110.79 timeSeries_2130.92
[3] timeDate_2130.93 fMarkovSwitching_1.0
[5] Rdonlp2_0.3-1 rcom_2.2-3.1
[7] rscproxy_1.3-1 quantmod_0.3-17
[9] TTR_0.21-0 Defaults_1.1-1
[11] PerformanceAnalytics_1.0.3.2 xts_0.8-2
[13] zoo_1.7-4
loaded via a namespace (and not attached):
[1] grid_2.13.0 lattice_0.19-33 tools_2.13.0
--
+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
|c|o|s|t|a|s|@|v|o|r|l|o|w|.|o|r|g|
+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
--
Joshua Ulrich | FOSS Trading: www.fosstrading.com
R/Finance 2012: Applied Finance with R
www.RinFinance.com
--
+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
|c|o|s|t|a|s|@|v|o|r|l|o|w|.|o|r|g|
+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
___
R-SIG-Finance@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should
go.
Re: [R-SIG-Finance] timeSeries 2 zoo convert
On Tue, Apr 17, 2012 at 12:46 PM, Costas Vorlow costas.vor...@gmail.com wrote:
Thanks for the reply. The problem is that when I try to plot the zoo
object, I get numbers instead of dates on the x-axis. I manages to
correct it with the following function:
ConvertTimeFormat - function(x) {
require(zoo)
require(timeDate)
temp-(as.zoo(as.timeSeries(x))
index(temp)-as.Date(index(temp))
return(temp)
}
Is this a good way to do it?
You create a timeSeries object, only to convert it to zoo, then
convert the index from timeDate to Date. Why convert to timeSeries at
all, when you essentially destroy all the timeSeries information with
later conversions? Seems very unnecessary, but you didn't say what
type of object is being passed to your function...
Best,
--
Joshua Ulrich | FOSS Trading: www.fosstrading.com
R/Finance 2012: Applied Finance with R
www.RinFinance.com
On 17 April 2012 20:39, Joshua Ulrich josh.m.ulr...@gmail.com wrote:
On Tue, Apr 17, 2012 at 12:27 PM, Costas Vorlow costas.vor...@gmail.com
wrote:
Hello,
What is the best way to convert an timeSeries object to .zoo?
Generally, as.zoo is preferred.
Say I have the following timeSeries object:
is(x)
[1] timeSeries structure vector
head(x)
GMT
DAAA
1983-01-03 11.77
1983-01-04 11.79
1983-01-05 11.79
1983-01-06 11.74
1983-01-07 11.74
1983-01-10 11.75
When I try to convert it to zoo, I can not retain the dates info. I tried:
a-as.Date(index( x ))
xz-as.zoo(x)
index(xz)-a
but dates change.
head(xz)
DAAA
1970-01-02 11.77
1970-01-03 11.79
1970-01-04 11.79
1970-01-05 11.74
1970-01-06 11.74
1970-01-07 11.75
That's because you changed the dates. Look at the output of:
R index(x)
[1] 1 2 3 4 5 6 7 8 9 10
There's no index.timeSeries method, so index.default is dispatched.
xz - as.zoo(x) should be sufficient.
This used to work with last year's libraries but it seems it doesn't
anymore:
a-index(as.zoo(x))
xz-as.zoo(x)
xnew-aggregate(xz, as.Date, identity)
Error in as.Date.default(index(x)) :
do not know how to convert 'index(x)' to class Date
This is different from your example above. Further, this works for me
on R-2.15.0 with timeSeries_2130.92, timeDate_2131.00, and zoo_1.7-7.
Your R version is a year old and timeDate and zoo are a couple minor
versions behind. Maybe updating will solve your problem?
Any help, extremely welcome.
thanks in advance,
Costas
sessionInfo()
R version 2.13.0 (2011-04-13)
Platform: i386-pc-mingw32/i386 (32-bit)
locale:
[1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United
States.1252
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
[5] LC_TIME=English_United States.1252
attached base packages:
[1] graphics grDevices datasets stats utils methods base
other attached packages:
[1] fImport_2110.79 timeSeries_2130.92
[3] timeDate_2130.93 fMarkovSwitching_1.0
[5] Rdonlp2_0.3-1 rcom_2.2-3.1
[7] rscproxy_1.3-1 quantmod_0.3-17
[9] TTR_0.21-0 Defaults_1.1-1
[11] PerformanceAnalytics_1.0.3.2 xts_0.8-2
[13] zoo_1.7-4
loaded via a namespace (and not attached):
[1] grid_2.13.0 lattice_0.19-33 tools_2.13.0
--
+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
|c|o|s|t|a|s|@|v|o|r|l|o|w|.|o|r|g|
+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
--
Joshua Ulrich | FOSS Trading: www.fosstrading.com
R/Finance 2012: Applied Finance with R
www.RinFinance.com
--
+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
|c|o|s|t|a|s|@|v|o|r|l|o|w|.|o|r|g|
+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
___
R-SIG-Finance@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should
go.
