Subsetting Second to Last Day of the Month
Illya,
Thanks for the help as I was able to get the intended result with the
following code (still one question remains):
##identify second to last business day of every month
month_end_rank = endpoints(matrix_rank, on ="months")
month_end_rank_minus = month_end_rank - 1
month_end_rank_minus = rbind(month_end_rank_minus)
for (i in 1:nrow(month_end_rank_minus))
{
if (month_end_rank_minus[i]< 0)
{
month_end_rank_minus = month_end_rank_minus[-i]
}
}
matrix_rank_minus = matrix_rank[month_end_rank_minus,]
However, if I wanted the second to last business day of each month and all
days of the year were loaded in the dataset, how would I communicate with R
that I want the second to last *business* day now that business days and
non-business days are loaded in the dataset. I would be going back a
different number of days different times. I have been looking through the
packages and still was unable to find an application. If you know of how, I
would also appreciate that insight.
Thanks for all of your help today. I am up and running for now.
AG
On Wed, Oct 28, 2015 at 1:43 PM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
As for the last day of each month as opposed to business day, then you need to have those holidays and weekends in your data set. On Oct 28, 2015 12:40 PM, "Am Gut" <agquantr at gmail.com> wrote:
Ilya, Thanks for such a fast reply. The output is the last day of each month in my dataset - so sometimes not necessarily the last day of each month - but the last day of the month within my dataset (which is just the business days): [image: Inline image 1] Please let me know if you have any suggestions on how I can progress along with this issue and thanks in advance. Kind Regards, AG On Wed, Oct 28, 2015 at 1:36 PM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
Do you know what the output of the endpoints function is? It's trivial from there. On Oct 28, 2015 12:35 PM, "Am Gut" <agquantr at gmail.com> wrote:
Good Morning Everyone, I have essentially two questions. I am trying to subset a an existing dataset based on the last two business days of each month in the dataset. I am able to subset based on the last business day of each month (or the last day as I am only using business days in my dataset) via the following code: ##identify second to last business day of every month month_end = lookback_returns_nona[endpoints(lookback_returns_nona, on="months"),] However, I do not have to make this the second to last day instead. In addition, can someone help me understand how I could do the last business day of each month and the second to last business day of each month? My dataset simply contains a date index, and a few variables with daily returns: [image: Inline image 1] As a side note, I am new to the forum so please feel free to let me know if I am not observing proper posing rules. Thanks in advance as any help would be extremely useful. Kind Regards, AG
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