Try data.table with the roll=TRUE argument.
Set your keys and then write :
futData[optData,roll=TRUE]
That is fast and as you can see, short. Works on
many millions and even billions of rows in R.
Matthew
http://datatable.r-forge.r-project.org/
"Santosh Srinivas" <santosh.srini...@gmail.com> wrote in message
news:4ced3783.2af98e0a.57f0.ffffb...@mx.google.com...
> 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.
>
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
