AsOf join in R

Robert,
Check the data you gave us:

A <- xts(c(10,15,20,25),

+
order.by=as.POSIXct(c("2011-09-01","2011-09-09","2011-09-10","2011-09-15")))

A

? ? ? ? ? ?[,1]
2011-09-01 ? 10
2011-09-09 ? 15
2011-09-10 ? 20
2011-09-15 ? 25

B <- xts(c(1.1,1.5,1.3,1.7),

+
order.by=as.POSIXct(c("2011-08-31","2011-09-09","2011-09-11","2011-09-12")))

B

? ? ? ? ? ?[,1]
2011-08-31 ?1.1
2011-09-09 ?1.5
2011-09-11 ?1.3
2011-09-12 ?1.7
Both A and B have a value for '2011-09-09'

cbind(A,B)

? ? ? ? ? ?..1 ..2
2011-08-31 ?NA 1.1
2011-09-01 ?10 ?NA
2011-09-09 ?15 1.5
2011-09-10 ?20 ?NA
2011-09-11 ?NA 1.3
2011-09-12 ?NA 1.7
2011-09-15 ?25 ?NA
Surely you don't want to replace the 1.5 with 1.1?
see ?na.locf if you haven't already.
Regards,
Garrett
On Wed, Oct 5, 2011 at 8:11 PM, Robert A'gata <rhelpacc at gmail.com> wrote:

Hi Brian,

Thanks for getting back. I'm afraid it's not doing what I intend. If
you see value of B after asof join on 2011-09-09, cbind and na.locf
will give you 1.5 as opposed to 1.1. I would like to have latest value
available prior to 2011-09-09 from B which will be 1.1 on 2011-09-09.
It's a strict inquality for this operation. Would you have any other
recommendation? Thank you again.

Robert.

On Wed, Oct 5, 2011 at 6:21 AM, Brian G. Peterson <brian at braverock.com>
wrote:

On Tue, 2011-10-04 at 23:41 -0400, Robert A'gata wrote:

AsOf(A,B) should return

? ? ? ? ? ? ? ? ? ? A ? ? ? B
2011-09-01 ? ?10 ? ? 1.1
2011-09-09 ? ?15 ? ? 1.1 ? ? # ?(because latest value B prior to
2011-09-09 is 1.1)
2011-09-10 ? ?20 ? ? 1.5
2011-09-15 ? ?25 ? ? 1.7

How do I write the above AsOf function in R? The merge function does
not do what I want because it will align points that have the same
time stamp together while what I want is actually latest value prior
to timestamp in A. Any example would be greatly appreciated. Thank
you.

A <- xts(c(10,15,20,25),

order.by=as.POSIXct(c("2011-09-01","2011-09-09","2011-09-10","2011-09-15")))
B <- xts(c(1.1,1.5,1.3,1.7),

order.by=as.POSIXct(c("2011-08-31","2011-09-09","2011-09-11","2011-09-12")))
AsOf<-function(a,b) {
? x<-cbind(a,b)
? x[,2]<-na.locf(x[,2])
? x[!is.na(x[,1])]
}
AsOf(A,B)

#####################
# ? ? ? ? ? ..1 ..2
#2011-09-01 ?10 1.1
#2011-09-09 ?15 1.5
#2011-09-10 ?20 1.5
#2011-09-15 ?25 1.7
#####################


--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock