Hello Group,
I have the following options and future data in zoo objects
> head(optData.z)
ExpDt OptTyp Strike TrdPrice TotTrdQty
2009-01-01 09:55:03 20090129 1 2900 180.0000 50
2009-01-01 09:55:31 20090129 1 2900 188.0000 50
2009-01-01 09:55:37 20090129 1 2900 185.0000 500
2009-01-01 09:55:39 20090129 1 2900 185.0000 500
2009-01-01 09:55:47 20090129 1 2900 185.1125 600
2009-01-01 09:55:48 20090129 1 2900 185.2500 50
> head(futData.z)
ExpDt OptTyp Strike TrdPrice TotTrdQty
2009-01-01 09:55:09 20090129 2 0 2979.000 900
2009-01-01 09:55:11 20090129 2 0 2976.633 600
2009-01-01 09:55:12 20090129 2 0 2977.211 900
2009-01-01 09:55:14 20090129 2 0 2977.750 800
2009-01-01 09:55:15 20090129 2 0 2977.019 4300
2009-01-01 09:55:16 20090129 2 0 2977.050 800
I want to get the closest available futures price for every option ... Is
there any function like the excel equivalent of approximate VLOOKUP of excel
using date time?
Thank you.
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