timeDate and timeSeries classes are so far
tested only under MS Windows XP operating system. Note, that
your time zone environment variable must be set to "GMT". The
reason for this is, that the functions work internally with "GMT"
POSIX date and time objects whereas the Daylight Saving Time is
added on top of this through the information in the Ical Calendar
Library.
The functions for Financial Centers are:
rulesFinCenter Returns DST rules for a financial center,
listFinCenter Lists all supported financial centers. }
The functions for the Generation of 'timeDate' Objects are:
timeDate S4: Creates 'timeDate' object from a character vector,
timeCalendar S4: Creates 'timeDate' object from calendar atoms,
timeSequence S4: Creates regularly spaced object of class 'timeDate',
Sys.timeDate Returns system time as an object of class 'timeDate'. }
The functions for Special Monthly 'timeDate' Sequences are:
timeLastDayInMonth Computes the last day in a given month and year,
timeNdayOnOrAfter Computes date that is a "on-or-after" n-day,
timeNdayOnOrBefore Computes date that is a "on-or-before" n-day,
timeNthNdayInMonth Computes n-th ocurrance of a n-day in year/month,
timeLastNdayInMonth Computes the last n-day in year/month. }
The functions for the Representation of 'timedate' Objects are:
is.timeDate Checks if the object is of class 'timeDate',
print.timeDate S4: Prints 'timeDate', 'FinCenter' and 'Data' Slot,
summary.timeDate S4: Summarizes details of a 'timeDate' object,
format.timeDate Formats 'timeDate' as ISO conform character string. }rulesFinCenter(FinCenter = myFinCenter)
listFinCenter(pattern = "*")
timeDate(charvec, format = NULL, zone = "GMT", FinCenter = myFinCenter)
timeCalendar(y = currentYear, m = 1:12, d = NULL, h = NULL, min = NULL,
s = NULL, FinCenter = myFinCenter)
timeSequence(from = "2004-01-01", to = format(Sys.time(), "%Y-%m-%d"), by =
"day", length.out = NULL, format = "", FinCenter = myFinCenter)
Sys.timeDate(FinCenter = myFinCenter)
timeLastDayInMonth(charvec, format = "%Y-%m-%d", FinCenter = "GMT")
timeNdayOnOrAfter(charvec, nday = 1, format = "%Y-%m-%d", FinCenter = "GMT")
timeNdayOnOrBefore(charvec, nday = 1, format = "%Y-%m-%d", FinCenter = "GMT")
timeNthNdayInMonth(charvec, nday = 1, nth = 1, format = "%Y-%m-%d",
FinCenter = "GMT")
timeLastNdayInMonth(charvec, nday = 1, format = "%Y-%m-%d", FinCenter = "GMT")
is.timeDate(object)
## S3 method for class 'timeDate':
print(x, \dots)
## S3 method for class 'timeDate':
summary(object, \dots)
## S3 method for class 'timeDate':
format(x, \dots)to must be after from.0 (Sunday) to 6 (Saturday).timeDate.grep function. Wild cards are allowed.timeDate.rulesFinCenter
listFinCenter
the first function returns a printed list of DST rules, the second
lists time zones available in the database.
timedate
timeCalendar
timeSequence
return a S4 object of class 'timeDate'.
Sys.timeDate
returns the system time as an object of class 'timeDate'.
timeLastDayInMonth
timeNdayOnOrAfter
timeNdayOnOrBefore
timeNthNdayInMonth
timeLastNdayInMonth
return timeDate objects on special dates. For the function
timeLastDayInMonth the last day in a given month and year
will be returned, for timeNdayOnOrAfter the date in the
specified month that is a n-day on or after a given date, for
timeNdayOnOrBefore the date that is a n-day on or before a
given date, for timeNthNdayInMonth the nth ocurrance
of a nday (nth = 1,...,5) in year, month, and
for {timeLastNdayInMonth} the last nday in year,
month.
is.timeDate
returns TRUE or FALSE depending on whether its
argument is of timeDate type or not.
Print Method:
prints the financial center and date and time vector for a
timeDate object.
Summary Method:
returns a summary report of the details of a timeDate
object. This includes the starting and end date, the number of
dates the format and financial center in use.
Format Method:
returns an ISO conform formatted character string.chron package neglecting locals, time zones and day light saving
times. This approach is appropriate for economic time series. The second
approach, available in R's base package implements the POSIX standard
to date and time objects, named "POSIXt". Unfortunately, the
representation of these objects is operating system dependent and
especially under MS Windows several problems appear in the management
of time zones and day light saving times. Here we present a solution
to overcome these difficulties with POSIX objects and introduce a
new S4 class of 'timeDate' objects which allow for powerful methods
to represent dates and times in different financial centers around
the world. Many of the basic functionalities of these objects are in
common with S-Plus' timeDate objects and thus many of your
privately written functions for FinMetrics may also be used
within R's environment.
A major difference is the time zone concept which is replaced by the
"Financial Center" concept. The FinCenter character variable
specifies where you are living and at which financial center you are
working. With the variable myFinCenter you can overwrite the
default setting with your personal settings.
With the specification of the FinCenter your system knows what
rules rules for day light saving times should be applied, what is your
holiday calendar, what are your interest rate conventions. (Not all
specifications are already implemented.) Many other
aspects can be easily accessed when a financial center is named. So we
can distinguish between Frankfurt and Zurich, which both belong to the
same time zone, but differed in DST changes in the eighties and have
different holiday calendars. Futhermore, since the underlying time
refers to "GMT" and DST rules and all other information is available
in local (ASCII) databases, we are sure, that R delivers with such a
date/time concept on every computer independent of the operating system
in use, identical results.
Another important feature of the "timeDate" concept used here is
the fact that we don't rely on American or European ways to write dates.
We use consequently the ISO-8601 standard for date and time notations.
Financial Centers
There are two functions concerned with the financial centers. The
first, rulesFinCenter, lists the daylight saving rules for a
selected financial center, and the second, listFinCenter,
lists all centers available in the database. There is no dependency
on the POSIX implementation of your operating system because all
time zone and day light saving time information is stored locally
in ASCII files. It is important to say, that the TZ environment
variable must set to "GMT" in your system environment that
there are no conflicts with the POSIX time zone management.
Through the definition of financial centers it becomes possible to
introduce in the future a specification structure for financial
centers, which includes further information for a center like
holiday calendars, currency and interest rate conventions or many
others.
Generation of timeDate Objects
We have defined a 'timeDate' class which is in many aspects similar
to the S-Plus class with the same name, but has also some important
advantageous differeneces. The S4 class has four Slots, the Data
slot which holds date and time as 'POSIXlt' objects in the standard
ISO-8601 format, the Dim slot which gives the dimension
of the data object, the format specification slot and the
FinCenter slot which holds the name of the financial center.
Three functions allow to cgenerate date/time objects: timeDate
from character vectors, timeCalendar from date and time atoms,
and timeSequence from a "from/to" or from a "from/length" sequence
specification. Note, time zone transformations are easily handled by
by the timeDate functions which can also take timeDate
and POSIXt objects as inputs, while transforming them between
financial centers and/or time zones specified by the arguments zone
and FinCenter. Finally the function Sys.timeDate returns
current system time in form of a timeDate object.
Special Monthly timeDate Sequences
We have implemented five functions to generate special monthly
sequences. These are functions to compute the last day in a given
month and year, to compute the dates in a month that is a n-day on or
after a given date, to compute the dates in a month that is a n-day
on or before a specified date, to compute the n-th ocurrances of a
n-day for a specified year/month vectors, and finally to compute
the last n-day for a specified year/month value or vector. n-days
are numbered from 0 to 6 where 0 correspond to the Sunday and 6 to
the Saturday.
Tests and Representation of timeDate Objects:
We have implemented four methods to test and represent
timeDate objects. The method is.timeDate checks if
a given object is of class "timeDate". The print method
returns the date/time in square "[]" brackets to dsitinguish
the output from other date and time objects. On top of the date and
time output the name of the FinCenter is printed. The summary
method returns a printed report with information about the
"timeDate" object. Finally, the format methods allows to
transform objects into a ISO conform formatted character strings.?Dates, and the help pages from the contributed R packages
chron and date.## c -
xmpBasics("Start: Create Character Vectors > ")
dts = c("1989-09-28", "2001-01-15", "2004-08-30", "1990-02-09")
tms = c( "23:12:55", "10:34:02", "08:30:00", "11:18:23")
dts; tms
## timeDate -
xmpBasics("Next: Construct timeDate Object from Character Vector > ")
timeDate(dts, format = "%Y-%m-%d", FinCenter = "GMT" )
timeDate(dts, format = "%Y-%m-%d", FinCenter = "Europe/Zurich")
timeDate(paste(dts, tms), format = "%Y-%m-%d %H:%M:%S",
zone = "GMT", FinCenter = "GMT")
timeDate(paste(dts, tms), format = "%Y-%m-%d %H:%M:%S",
zone = "Europe/Zurich", FinCenter = "Europe/Zurich")
timeDate(paste(dts, tms), format = "%Y-%m-%d %H:%M:%S",
zone = "GMT", FinCenter = "Europe/Zurich")
## timeCalendar -
xmpBasics("Next: Create a timeDate Object From Calendar Atoms > ")
timeCalendar( m = c(9, 1, 8, 2), d = c(28, 15, 30, 9),
y = c(1989, 2001, 2004, 1990), FinCenter = "GMT")
timeCalendar(m = c(9, 1, 8, 2), d = c(28, 15, 30, 9),
y = c(1989, 2001, 2004, 1990), FinCenter = "Europe/Zurich")
timeCalendar(h = c(9, 14), min = c(15, 23))
## timeSequence -
xmpBasics("Next: Create a Regularly Spaced timeDate Objects > ")
timeSequence(from = "2004-03-12", to = "2004-04-11",
format = "%Y-%m-%d", FinCenter = "GMT")
timeSequence(from = "2004-03-12", to = "2004-04-11",
format = "%Y-%m-%d", FinCenter = "Europe/Zurich")
## timeDate -
xmpBasics("Next: Note, ISO and American Formats are Auto-Detected > ")
timeDate("2004-12-11", FinCenter = "GMT")
timeDate("12/11/2004", FinCenter = "GMT")Run the code above in your browser using DataLab