align time series correctly
Use merge.xts:
require(quantmod)
getSymbols("^IRX;^VIX;SPY", from="1994-01-01")
Data <- merge(IRX,VIX,SPY)
# Note that there will be some NAs
# e.g. 1994-01-17 for IRX
head(Data,20)
# use na.omit to drop them
Data <- na.omit(Data)
nrow(Data) # 4256
# or use merge's 'all' arg
Data <- merge(IRX,VIX,SPY,all=FALSE)
nrow(Data) # same as na.omit
Best,
--
Joshua Ulrich ?| ?FOSS Trading: www.fosstrading.com
On Wed, Dec 29, 2010 at 1:53 PM, Lei Jin <leijin56 at gmail.com> wrote:
I am trying to create a data frame that includes data from 3 time series. (^IRX, ^VIX, SPY). ?I noticed that getSymbols() from yahoo (default) seems to retrieve different rows for the 3 time series for the same time window I specified. ?So, I got an "arguments imply differing number of rows". ?My simple questions is how do I set # of rows for all 3 time series to be equal and aligned by date correctly. ============================================================== ?arguments imply differing number of rows: 4279, 4277, 4258 In addition: Warning message: In log(x) : NaNs produced
print(NROW(IRX))
[1] 4258
print(NROW(VIX))
[1] 4277
print(NROW(SPY))
[1] 4279 -- Thank you, ? ? ? ?[[alternative HTML version deleted]]
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