Special Daily Time Series
Special daily 'timeSeries' functions.
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, ...)
- a character with the the location of the financial center named as "continent/city".
- the function to be applied.
a function to use for aggregation, by default
- [alignDailySeries] - a logical value. Should weekend dates be included or removed from the series.
- [alignDailySeries] -
the method to be used for the alignment. A character string, one
"before", use the data from the row whose position is just before the unmatched position, or
"after", use the data
- [rollDailySeries] -
a character string specifying the rollling period composed by the
length of the period and its unit, e.g.
"7d"represents one week.
- [allignDailySeries] -
an optional character string, which allows to overwrite the
current column names of a
timeSeriesobject. By default
NULLwhich means that the column names are selected automatically.
- an object of class
- the time zone or financial center where the data were recorded.
- arguments passed to interpolating methods.
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}
dummyDailySeriescreates from a numeric matrix with daily records of unknown dates a
timeSeriesobject with dummy daily dates.
alignDailySeriesreturns from a daily time series with missing holidays a weekly aligned daily
rollDailySeriesreturns an object of class
timeSerieswith rolling values, computed from the function
## 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)