Question about apply()
Dear Peter, I tried with the comma already, it did not work.
rets
TY1.lev SP1.lev GC1.lev CL1.lev 2000-01-03 66.60938 1702.7 453.7 18.34 2000-01-04 67.09375 1647.7 447.8 18.29 2000-01-05 66.40625 1649.4 446.2 17.65 2000-01-06 66.73438 1639.9 446.5 17.52 2000-01-07 67.10938 1696.4 447.0 16.96 2000-01-10 66.87500 1710.9 446.8 17.41 2000-01-11 66.09375 1690.2 448.5 18.51 2000-01-12 65.92188 1677.9 447.8 19.02 2000-01-13 66.54688 1694.4 449.2 19.43 2000-01-14 66.14062 1713.9 449.0 20.76 2000-01-17 66.14062 1713.9 449.0 20.76 2000-01-18 65.65625 1705.4 453.7 21.59 2000-01-19 65.87500 1708.4 454.4 22.28 2000-01-20 65.59375 1692.9 453.4 22.40 2000-01-21 65.51562 1689.6 453.8 22.63 2000-01-24 66.09375 1647.7 452.2 22.26 2000-01-25 66.01562 1654.5 450.7 22.71 2000-01-26 66.14062 1651.3 450.6 22.27 2000-01-27 66.10938 1645.7 451.4 21.75 2000-01-28 66.42188 1602.4 447.5 21.65
func <- function(x,z){
+ + a <- embed(x[,z, drop=FALSE], 2)[,1]/embed(x[,z, drop=FALSE], 2)[,2] - 1 + + return(a) + }
merge(rets, Bond.ret=zoo(apply(rets,2,func,z="TY1.lev"), order.by=time(rets)[-1]))
Error in x[, z, drop = FALSE] : incorrect number of dimensions Nothing was wrong with your suggestion, except that I did not come up with it. :-) I've been using a lot of embed and apply(, 1, FUNC) functions lately and out of inertia I tried the same. I specify a new variable (with suffix ."ret") within merge() function. Kind Regards, Sergey
On Wed, Feb 11, 2009 at 13:47, Peter Dalgaard <P.Dalgaard at biostat.ku.dk> wrote:
Sergey Goriatchev wrote:
Hello, everyone!
Assume you have this data:
data <- structure(c(66.609375, 67.09375, 66.40625, 66.734375, 67.109375,
66.875, 66.09375, 65.921875, 66.546875, 66.140625, 66.140625,
65.65625, 65.875, 65.59375, 65.515625, 66.09375, 66.015625, 66.140625,
66.109375, 66.421875, 1702.7, 1647.7, 1649.4, 1639.9, 1696.4,
1710.9, 1690.2, 1677.9, 1694.4, 1713.9, 1713.9, 1705.4, 1708.4,
1692.9, 1689.6, 1647.7, 1654.5, 1651.3, 1645.7, 1602.4, 453.7,
447.8, 446.2, 446.5, 447, 446.8, 448.5, 447.8, 449.2, 449, 449,
453.7, 454.4, 453.4, 453.8, 452.2, 450.7, 450.6, 451.4, 447.5,
18.34, 18.29, 17.65, 17.52, 16.96, 17.41, 18.51, 19.02, 19.43,
20.76, 20.76, 21.59, 22.28, 22.4, 22.63, 22.26, 22.71, 22.27,
21.75, 21.65), .Dim = c(20L, 4L), .Dimnames = list(NULL, c("TY1.lev",
"SP1.lev", "GC1.lev", "CL1.lev")), index = structure(c(10959,
10960, 10961, 10962, 10963, 10966, 10967, 10968, 10969, 10970,
10973, 10974, 10975, 10976, 10977, 10980, 10981, 10982, 10983,
10984), class = "Date"), class = "zoo")
What I want to do is to calculate simple return on each column (return=P1/P0-1)
and put it in new columns.
I've tried like this:
#convenience function
func <- function(x,z){
a <- embed(x[z, drop=FALSE], 2)[,1]/embed(x[z, drop=FALSE], 2)[,2] - 1
return(a)
}
data <- merge(data, Bond.ret=zoo(apply(data, 2, func, z="TY1.lev"),
order.by=time(data)[-1]))
and I get this:
Error in embed(x[z, drop = FALSE], 2) : wrong embedding dimension
What am I doing wrong?
(Somehow I cannot understand how to work with columns in apply(), with
rows, that is apply(,1,FUN) I have no problem.
The immediate problem is that you are missing a comma in x[, z, drop =
FALSE]. But what was wrong with
cbind(data,data/lag(data,-1)-1, suffixes=c("","r"))
(except that it adds a "." to the orginal names, I see no way of NOT
adding a suffix?)
--
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