zoo: bug / feature replacing coredata - subsetting by dates

Bloomberg free example below:

vdPrices <- zoo(c(0.01,0.01,0.01,0.01,0.01), order.by=seq(chron("31/12/1998", format="d/m/y"), chron("04/01/1999", format="d/m/y"), by="day"))
length(vdPrices)

vdDivs <- zoo(c(100,100), as.chron(c("01/01/1999","01/02/2009")))

coredata(vdPrices[index(vdDivs+vdPrices)]) <- coredata(vdDivs+vdPrices)
length(vdPrices)

Its a little clunky, but thats because I've tried to replicate the returns from the BBG calls as closely as possible.

I also noticed a mistake in the earlier code snippet - the merge() call should not be there.

thanks
Phil


--- On Fri, 4/24/09, Gabor Grothendieck <ggrothendieck at gmail.com> wrote:

From: Gabor Grothendieck <ggrothendieck at gmail.com>
Subject: Re: [R-SIG-Finance] zoo: bug / feature replacing coredata - ?subsetting by dates
To: "Phil Joubert" <philjoubert at yahoo.com>
Date: Friday, April 24, 2009, 5:02 PM
Can you provide a minimal self
contained example, i.e. one that
does not require bloomberg.

On Fri, Apr 24, 2009 at 9:49 AM, Phil Joubert <philjoubert at yahoo.com>
wrote:

Hi all

I'm using RBloomberg to download some price and

dividend data. I want to construct a time series of total
returns, so I need to add the dividends to the price data
before taking log returns. My problem is that I obtain very
strange behaviour when I try to change a subset of one zoo
object (prices) using the indices of the other (dividends).

Any ideas, or smarter ways to achieve this?

# ? Connect Bloomberg
library("RBloomberg")
oBbgConn <- blpConnect(show.days="trading"


dtStart <- chron("31/12/1988", format="d/m/y")
dtEnd <- chron("31/12/2008", format="d/m/y"))
vdPrices <- blpGetData(oBbgConn, sTicker,

"PX_LAST", dtStart, dtEnd)

# BBG gives dividend data as an awkward table, convert

it to a zoo with XD dates and dividend amounts

vdDividends <- unlist(blpGetData(oBbgConn, sTicker,

"DVD_HIST", retval="raw"))

cnstszDivColumns <- 7
szDividends <- length(vdDividends) /

cnstszDivColumns

dim(vdDividends) <- c(szDividends,

cnstszDivColumns)

vdDividends <-

merge(zoo(as.numeric(vdDividends[,5]),
as.chron(vdDividends[,2])), all=FALSE)

vdPricesPlusDivs <- vdPrices
length(vdPricesPlusDivs)

#This line returns the expected values
coredata(vdPricesPlusDivs[index(vdPrices +

vdDividends)])

#This should replace the coredata with the sum of the

price + div for XD dates only

coredata(vdPricesPlusDivs[index(vdPrices +

vdDividends)]) <- coredata(vdPrices + vdDividends)

length(vdPricesPlusDivs)

#but it does not - it adds in approximately

length(vdPrices* vdDividends) NA's to the coredata vector
without changing the index vector, and puts the new values
at the end. The zoo object vdPricesPlusDivs is now
unusable.

I suspect this is an issue with date/index handling at

some point - if I create dummy timeseries using integers as
index variables I cannot replicate the problem. I'm working
on a Windows box.

Any help or ideas appreciated!
Phil

mailing list