problem subsetting xts object with yearmon time index

Fri, Mar 20, 2015 11:43 AM

On Fri, Mar 20, 2015 at 12:30 PM, Daniel Cegie?ka

<daniel.cegielka at gmail.com> wrote:

2015-03-20 18:18 GMT+01:00 Joshua Ulrich <josh.m.ulrich at gmail.com>:

I can confirm this behavior with a simplified example using zoo 1.7-12
and the latest development xts.

data(sample_matrix)
x <- as.xts(sample_matrix)
y <- to.monthly(x)
y['2007']

           x.Open   x.High    x.Low  x.Close
Feb 2007 50.22448 51.32342 50.19101 50.77091
Mar 2007 50.81620 50.81620 48.23648 48.97490
Apr 2007 48.94407 50.33781 48.80962 49.33974
May 2007 49.34572 49.69097 47.51796 47.73780
Jun 2007 47.74432 47.94127 47.09144 47.76719


Thanks for the report.  I'll investigate.

Best,
Josh

hi,
I can not reproduce this error with zoo-1.7-12 and xts-0.8-0.

getSymbols('MSFT')

[1] "MSFT"

x <- xts::to.monthly(MSFT)
x['2015']

         MSFT.Open MSFT.High MSFT.Low MSFT.Close MSFT.Volume MSFT.Adjusted
Jan 2015     46.66     47.91    40.35      40.40   918956900         40.11
Feb 2015     40.59     44.30    40.23      43.85   656204800         43.85
Mar 2015     43.67     44.19    40.61      42.29   512133400         42.29

x['2014']

         MSFT.Open MSFT.High MSFT.Low MSFT.Close MSFT.Volume MSFT.Adjusted
Jan 2014     37.35     37.89    34.63      37.84   930226200         36.57
Feb 2014     37.74     38.46    35.69      38.31   705304500         37.30
Mar 2014     37.92     41.50    37.49      40.99   778425700         39.91
Apr 2014     41.15     41.66    38.90      40.40   746113500         39.34
May 2014     40.24     40.97    38.51      40.94   574362900         40.15
Jun 2014     40.95     42.29    39.86      41.70   555779700         40.89
Jul 2014     41.86     45.71    41.05      43.16   731616500         42.32
Aug 2014     43.21     45.47    42.21      45.43   513919700         44.83
Sep 2014     45.43     47.57    44.53      46.36   860827300         45.74
Oct 2014     46.27     46.97    42.10      46.95   853235700         46.33
Nov 2014     46.89     50.05    46.73      47.81   522988700         47.47
Dec 2014     47.88     49.06    44.90      46.45   626740700         46.12

You can't reproduce this with an object returned by getSymbols because
getSymbols sets the index timezone to "UTC".  The xts sample_matrix
data, and IntroCompFinR msftMonthlyPrices data do not have an index
timezone, so the machine's local timezone is used when converting the
ISO 8601 string to a datetime.

Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com

problem subsetting xts object with yearmon time index

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