Multiply xts-series with different frequencies
Bj?rn,
na.locf(merge(hourly,daily))
Depending on how/where your hourly lines up you may need to adjust the
daily series to map to a particular hour stamp that matches the hourly
series.
HTH,
Jeff
e.g.
hourly <- xts(1:33, timeBasedSeq('2009-01-01 8/2009-01-02 16'))
daily <- xts(1:2, as.POSIXct("2009-01-01")+c(8*60*60,86400))
na.locf(merge(hourly,daily))
hourly daily
2009-01-01 08:00:00 1 1
2009-01-01 09:00:00 2 1
2009-01-01 10:00:00 3 1
2009-01-01 11:00:00 4 1
2009-01-01 12:00:00 5 1
2009-01-01 13:00:00 6 1
2009-01-01 14:00:00 7 1
2009-01-01 15:00:00 8 1
2009-01-01 16:00:00 9 1
2009-01-01 17:00:00 10 1
2009-01-01 18:00:00 11 1
2009-01-01 19:00:00 12 1
2009-01-01 20:00:00 13 1
2009-01-01 21:00:00 14 1
2009-01-01 22:00:00 15 1
2009-01-01 23:00:00 16 1
2009-01-02 00:00:00 17 2
2009-01-02 01:00:00 18 2
2009-01-02 02:00:00 19 2
2009-01-02 03:00:00 20 2
2009-01-02 04:00:00 21 2
2009-01-02 05:00:00 22 2
2009-01-02 06:00:00 23 2
2009-01-02 07:00:00 24 2
2009-01-02 08:00:00 25 2
2009-01-02 09:00:00 26 2
2009-01-02 10:00:00 27 2
2009-01-02 11:00:00 28 2
2009-01-02 12:00:00 29 2
2009-01-02 13:00:00 30 2
2009-01-02 14:00:00 31 2
2009-01-02 15:00:00 32 2
2009-01-02 16:00:00 33 2
On Wed, Oct 21, 2009 at 8:46 AM, Bjorn Skogtro <bjorn.skogtro at gmail.com> wrote:
Hi all, is there a cleaver way to multiply two (xts) time-series with different frequencies? One series is hourly, and the other daily. They consist of prices and exchangerates, respectively, and i want to use the same exchangerate for all hours on the same date. Is there perhaps some way to repeat the same exchange rate for all hours the same day? That was my initial idea, but I'd like to manage without the for-loops. Thanks, and all the best! Bj?rn -- Up, down, turn around Please dont let me hit the ground Tonight I think Ill walk alone Ill find my soul as I go home. ? ? ? ?[[alternative HTML version deleted]]
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Jeffrey Ryan jeffrey.ryan at insightalgo.com ia: insight algorithmics www.insightalgo.com