SpecialDailySeries

0th

Percentile

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 default NULL 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

ll{ 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 a timeSeries object with dummy daily dates. alignDailySeries returns from a daily time series with missing holidays a weekly aligned daily timeSeries object rollDailySeries returns an object of class timeSeries with rolling values, computed from the function FUN.

Aliases
  • daily
  • dummyDailySeries
  • dummySeries
  • alignDailySeries
  • rollDailySeries
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)
Documentation reproduced from package timeSeries, version 3022.101.2, License: GPL (>= 2)

Community examples

Looks like there are no examples yet.