Quantmod Monthly Return function
Even though "XP" is the obvious answer to most TZ issues, can you also
pass along:
Sys.getenv("TZ") AND Sys.timezone()
Ideally (only??) should be set to: Europe/Amsterdam, i.e.
Sys.setenv(TZ="Europe/Amsterdam")
Thanks,
Jeff
On Mon, Sep 20, 2010 at 4:26 PM, Werner Erselina <w.erselina at gmail.com> wrote:
Hy Jan and Jeff, Hereby the output for the sessioninfo:
sessionInfo()
R version 2.11.1 (2010-05-31) i386-pc-mingw32 locale: [1] LC_COLLATE=Dutch_Netherlands.1252 ?LC_CTYPE=Dutch_Netherlands.1252 [3] LC_MONETARY=Dutch_Netherlands.1252 LC_NUMERIC=C [5] LC_TIME=Dutch_Netherlands.1252 attached base packages: [1] stats ? ? graphics ?grDevices utils ? ? datasets ?methods ? base other attached packages: [1] quantmod_0.3-14 ? ? ? ? ? ?Defaults_1.1-1 [3] PerformanceAnalytics_1.0.3 xts_0.7-4 [5] zoo_1.6-4 loaded via a namespace (and not attached): [1] grid_2.11.1 ? ?lattice_0.18-8 tools_2.11.1 ? TTR_0.20-2 Working on windows XP Greetings, Werner 2010/9/20 Jeff Ryan <jeff.a.ryan at gmail.com>
Hi Werner, It actually is far more subtle an issue than quantmod. ?It is essentially how your TZ and Locale is getting used/abused by your OS. Can you provide at least the output of sessionInfo so we may get a better idea of what is happening? Thanks Jeff On Mon, Sep 20, 2010 at 4:00 PM, Jan Vandermeer <nordicgnome at gmail.com> wrote:
Hi Werner;
quantmod 0.3-8 running under Gentoo x86_64 and R-2.11.1 provides:
library(quantmod)
Loading required package: xts
Loading required package: zoo
Loading required package: Defaults
Loading required package: TTR
getSymbols("^AEX", from ="1999-01-01")
[1] "AEX"
head(monthlyReturn(AEX))
? ? ? ? monthly.returns
Jan 1999 ? ?-0.024654471
Feb 1999 ? ? 0.007573907
Mar 1999 ? ? 0.001510856
Apr 1999 ? ? 0.068146686
May 1999 ? ?-0.033930813
Jun 1999 ? ? 0.012868642
Jan
On Mon, Sep 20, 2010 at 4:35 PM, Werner Erselina
<w.erselina at gmail.com>wrote:
Dear R-finance list, Why is the Monthly Return function from the Quantmod packge showing a return for the month december 1998. When my data begins at 1999-01-04 (YYYY-MM-DD)
getSymbols("^AEX", from ="1999-01-01")
[1] "AEX"
head(monthlyReturn(AEX))
? ? ? ? monthly.returns dec 1998 ? ?-0.024654471 jan 1999 ? ? 0.007573907 feb 1999 ? ? 0.001510856 mrt 1999 ? ? 0.068146686 apr 1999 ? ?-0.033930813 mei 1999 ? ? 0.012868642 Greetings, Werner ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Jeffrey Ryan jeff.a.ryan at gmail.com
Jeffrey Ryan jeff.a.ryan at gmail.com