bug on to.monthly?
Here's my session info. I'll upgrade XTS and will let you know if I progress. sessionInfo() R version 2.15.1 (2012-06-22) Platform: i686-pc-linux-gnu (32-bit) locale: [1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C [3] LC_TIME=en_US.UTF-8 LC_COLLATE=en_US.UTF-8 [5] LC_MONETARY=en_US.UTF-8 LC_MESSAGES=en_US.UTF-8 [7] LC_PAPER=C LC_NAME=C [9] LC_ADDRESS=C LC_TELEPHONE=C [11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] quantmod_0.3-17 TTR_0.21-1 xts_0.8-6 zoo_1.7-8 [5] Defaults_1.1-1 loaded via a namespace (and not attached): [1] grid_2.15.1 lattice_0.20-6
On Mon, Feb 4, 2013 at 6:11 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
Works fine for me, even with your timezone.
Lines <- "2013-01-30;100
+ 2013-01-31;101 + 2013-02-01;102"
library(xts) Sys.setenv(TZ="Europe/Berlin") x1 <- read.zoo(con <- textConnection(Lines), sep=";") close(con) as.POSIXct(index(x1))
[1] "2013-01-30 01:00:00 CET" "2013-01-31 01:00:00 CET" [3] "2013-02-01 01:00:00 CET"
to.monthly(x1)
x1.Open x1.High x1.Low x1.Close Jan 2013 100 101 100 101 Feb 2013 102 102 102 102
sessionInfo()
R version 2.15.2 (2012-10-26) Platform: i386-w64-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 [2] LC_CTYPE=English_United States.1252 [3] LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C [5] LC_TIME=English_United States.1252 attached base packages: [1] stats graphics grDevices utils datasets [6] methods base other attached packages: [1] xts_0.9-3 zoo_1.7-9 loaded via a namespace (and not attached): [1] grid_2.15.2 lattice_0.20-10
Best, -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com R/Finance 2013: Applied Finance with R | www.RinFinance.com On Mon, Feb 4, 2013 at 4:58 AM, Ulrich Staudinger <ustaudinger at activequant.com> wrote:
Gents, I want to convert the following xts NAV series from daily to monthly. Browse[1]> navSeries [..] 2013-01-21 1089.233 2013-01-22 1088.627 2013-01-23 1086.648 2013-01-24 1095.522 2013-01-25 1100.402 2013-01-28 1098.846 2013-01-29 1105.938 2013-01-30 1102.504 2013-01-31 1102.386 2013-02-01 1111.651 So I call ... monthlyNAV = to.monthly(navSeries)[,4] and it yields: Oct 2012 1034.037 Nov 2012 1039.267 Dec 2012 1055.666 Jan 2013 1102.386 Jan 2013 1111.651 Browse[1]> As you can see, the Jan2013 exists twice! I also had a look at the index already: Browse[1]> tail(index(navSeries)) [1] "2013-01-25 CET" "2013-01-28 CET" "2013-01-29 CET" "2013-01-30 CET" [5] "2013-01-31 CET" "2013-02-01 CET" Browse[1]> For reproduction, I made a little script: Here's test.csv: 2013-01-30;100 2013-01-31;101 2013-02-01;102
x1 = read.zoo("/opt/reports/etl/test.csv", sep=";")
index(x1)
[1] "2013-01-30" "2013-01-31" "2013-02-01"
as.POSIXct(index(x1))
[1] "2013-01-30 01:00:00 CET" "2013-01-31 01:00:00 CET" [3] "2013-02-01 01:00:00 CET"
to.monthly(x1)
x1.Open x1.High x1.Low x1.Close Jan 2013 100 101 100 101 Jan 2013 102 102 102 102 Warning message: In zoo(xx, order.by = index(x), ...) : some methods for ?zoo? objects do not work if the index entries in ?order.by? are not unique
Can someone shed some light? Thanks Ulrich -- Ulrich Staudinger P: +41 79 702 05 95 E: ustaudinger at activequant.com http://www.activequant.com AQ-R user? Join our mailing list: http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user
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Ulrich Staudinger, Managing Director and Sr. Software Engineer, ActiveQuant GmbH P: +41 79 702 05 95 E: ustaudinger at activequant.com http://www.activequant.com AQ-R user? Join our mailing list: http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user