SpecialDailySeries
From timeSeries v3022.101.2
by Tobias Setz
Special Daily Time Series
Special daily 'timeSeries' functions.
- Keywords
- chron
Usage
dummyDailySeries(x = rnorm(365), units = NULL, zone = "",
FinCenter = "")
alignDailySeries(x, method = c("before", "after", "interp", "fillNA",
"fmm", "periodic", "natural", "monoH.FC"),
include.weekends = FALSE, units = NULL, zone = "",
FinCenter = "", ...)
rollDailySeries(x, period = "7d", FUN, ...)
Arguments
- FinCenter
- a character with the the location of the financial center named as "continent/city".
- FUN
- the function to be applied.
[applySeries] -
a function to use for aggregation, by default
colAvgs
. - include.weekends
- [alignDailySeries] - a logical value. Should weekend dates be included or removed from the series.
- method
- [alignDailySeries] -
the method to be used for the alignment. A character string, one
of
"before"
, use the data from the row whose position is just before the unmatched position, or"after"
, use the data - period
- [rollDailySeries] -
a character string specifying the rollling period composed by the
length of the period and its unit, e.g.
"7d"
represents one week. - units
- [allignDailySeries] -
an optional character string, which allows to overwrite the
current column names of a
timeSeries
object. By defaultNULL
which means that the column names are selected automatically. - x
- an object of class
timeSeries
. - zone
- the time zone or financial center where the data were recorded.
- ...
- arguments passed to interpolating methods.
Details
dummyDailySeries
Creates a dummy daily 'timeSeries' object,
alignDailySeries
Aligns a daily 'timeSeries' to new positions,
rollDailySeries
Rolls daily a 'timeSeries' on a given period,
ohlcDailyPlot
Plots open high low close bar chart,
dummySeries
Creates a dummy monthly 'timeSeries' object}
Value
dummyDailySeries
creates from a numeric matrix with daily records of unknown dates atimeSeries
object with dummy daily dates.alignDailySeries
returns from a daily time series with missing holidays a weekly aligned dailytimeSeries
objectrollDailySeries
returns an object of classtimeSeries
with rolling values, computed from the functionFUN
.
Examples
library(timeSeries)
## Use Microsofts' OHLCV Price Series -
head(MSFT)
end(MSFT)
## Cut out April Data from 2001 -
Close <- MSFT[, "Close"]
tsApril01 <- window(Close, start="2001-04-01", end="2001-04-30")
tsApril01
## Align Daily Series with NA -
tsRet <- returns(tsApril01, trim = TRUE)
GoodFriday(2001)
EasterMonday(2001)
alignDailySeries(tsRet, method = "fillNA", include.weekends = FALSE)
alignDailySeries(tsRet, method = "fillNA", include.weekends = TRUE)
## Align Daily Series by Interpolated Values -
alignDailySeries(tsRet, method = "interp", include.weekend = FALSE)
alignDailySeries(tsRet, method = "interp", include.weekend = TRUE)
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