rollapply and cummin

Thank you so much, the new rollapply worked like a charm.  I 
retrospect what I was really trying to do (which the new rollapply 
works perfectly for), is calculate the maximum cumulative loss over

For the benefit of anyone else who has this problem...
So with the new rollapply, the following returns an n x m matrix where

m in the width specified in rollapply and is a cumulative sum over the

width zl <- rollapply(z, 5, align='left',cumsum)

Then doing an apply gives the minimum for each row, and is the maximum

cumulative loss over the window.
zm <- apply(zl, 1, min)

Thank you so much Gabor and Z!!





-----Original Message-----
From: Gabor Grothendieck [mailto:ggrothendieck at gmail.com]
Sent: Wednesday, August 22, 2007 11:47 PM
To: Voss, Kent
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] rollapply and cummin

The usual case is that the function used in rollapply returns a single

number; however, if you really want to return a vector of 5 numbers 
try the latest version of rollapply which was fixed about 2 weeks ago 
and is not yet on CRAN but can be downloaded from the development

From within R:

library(zoo)
source("http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php/*check
ou
t*/pkg/R/rollapply.R?rev=363&root=zoo")
# ... now run your commands ...



On 8/22/07, Voss, Kent <VOSSK at kochind.com> wrote:

I am getting some unexpected results using rollapply and the cummin

function that I am hoping someone can help me understand.  I'm just 
trying to get a rolling cumulative minimum of a time series.  Think of

it as the maximum loss over a rolling window.

Here's an example
# Create a dummy sequence to use with a set of dates used to create 
a zoo object x <- c(0,rep(c(seq(1,5,by=1),seq(-1,-3, by=-1)),2)) 
DateList <- as.Date(seq(ISOdate(1990,1,1), length.out=length(x), 
by="1

day"), '%Y-%m-%d')

z <- zoo(x,DateList)

# Doing the following gets expected results, a rolling 5 day sum.  
So far so good zl <- rollapply(z, 5, align='left',sum)

# The following however creates an n x n matrix where n = the length

of z, that I can't quite figure out zl <- rollapply(z, 5,
align='left',cummin)


Now I'm pretty new at this stuff, so I'm sure there's something I'm

missing, but I can't make heads or tails around the results of the 
cummin.  Any help would be greatly appreciated.  Thanks in advance.

Kent





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