Question about apply()
There is no zoo method for embed. embed is implicit in rollapplly so its not normally needed in zoo and rollapply, lag or diff would normally be used instead. If you did want to use embed then unzoo data first but that will lose the time index so add it back in later: e <- embed(coredata(data),2) dif <- zoo(e[, 1:4] / e[, 5:8] - 1, time(data)[-1]) cbind(data, dif)
On Wed, Feb 11, 2009 at 7:45 AM, Sergey Goriatchev <sergeyg at gmail.com> wrote:
Dear Gabor, Thank you as always. I will follow your suggestion. But, I still want to know what I do wrong in the above code (with embed(), apply(), and merge() functions). Why do I get that error message and how can I rewrite the code to make it run. Best Regards, Sergey On Wed, Feb 11, 2009 at 13:34, Gabor Grothendieck <ggrothendieck at gmail.com> wrote:
See ?diff.zoo dif <- diff(data, arithmetic = FALSE) - 1 cbind(data, dif) On Wed, Feb 11, 2009 at 6:21 AM, Sergey Goriatchev <sergeyg at gmail.com> 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.
Thank you for help,
Sergey
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