timeSeries (version 4030.106)

SpecialDailySeries: Special daily time series

Description

Special daily 'timeSeries' functions.

Usage

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, ...)

Value

for alignDailySeries, a weekly aligned daily

timeSeries object from a daily time series with missing holidays.

for rollDailySeries, an object of class timeSeries

with rolling values, computed from the function FUN.

Arguments

x

an object of class timeSeries.

method

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 from the row whose position is just after the unmatched position, or "linear", interpolate linearly between "before" and "after".

include.weekends

a logical value. Should weekend dates be included or removed from the series?

units

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.

zone

the time zone or financial center where the data were recorded.

FinCenter

a character with the the location of the financial center named as "continent/city".

period

a character string specifying the rollling period composed by the length of the period and its unit, e.g. "7d" represents one week.

FUN

a function to use for aggregation, by default colMeans.

...

arguments passed to interpolating methods.

Details

alignDailySeries aligns a daily 'timeSeries' to new positions,

rollDailySeries rolls daily a 'timeSeries' on a given period.

Examples

## 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)