I am sorry if this wasn't clear enough. The interpolation isn't the problem. The logic for it is stated below. I am looking for a faster/more elegant way to execute the loop and if statements given the logic in the loop.
--- Brian G. Peterson <brian at braverock.com> schrieb am Do, 19.11.2009:
Von: Brian G. Peterson <brian at braverock.com>
Betreff: Re: [R-SIG-Finance] Fast way of replacing missing data points in xts object
An: "wob wu" <wobwu22 at yahoo.de>
Datum: Donnerstag, 19. November 2009, 15:00
wob wu wrote:
Hello,
I keep on having the same problem over and over again
and couldn't find a satisfying solution yet. I have some
missing datapoints in my financial time series and am
replacing them currently in the following way:
for (i in 2:length(SP$Far)) {
if (is.na(SP$Far[i]))
{SP$Far[i] <- as.numeric(SP$Far[i-1]) +
(as.numeric(SP$Near[i])-as.numeric(SP$Near[i-1]))}
{SP$Near[i] <- as.numeric(SP$Near[i-1]) +
(as.numeric(SP$Far[i])-as.numeric(SP$Far[i-1]))}
{SP$Vix[i] <- as.numeric(SP$Vix[i-1])} }
SP is a xts object.
This works fine but is slow. Does anyone knows a
See the list archives and the large variety of na
interpolation actions in zoo. They will work fine on
your xts object.
- Brian
-- Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock