Hello,
>
> Mar 05, 2012; 8:53pm — by Ben quant Ben quant
> Hello,
>
> Does anyone know of a way I can speed this up?
>
Maybe, let's see.
>
> ################################# change anything below.
>
# Yes.
# First, start by using dates, not characters
fdate <- function(x, format="%Y%m%d"){
DF <- data.frame(x)
for(i in colnames(DF)){
DF[, i] <- as.Date(DF[, i], format=format)
class(DF[, i]) <- "Date"
}
DF
}
rd1 <- fdate(rd1)
# This is yours, use it.
dt1 <- seq(from =as.Date(z.dates[1]), to = as.Date("2009-03-25"), by =
"day")
# Set up the result, no time expensive 'cbind' inside a loop
fin1 <- data.frame(matrix(NA, nrow=length(dt1), ncol=ncol(ua) + 1))
fin1[, 1] <- dt1
nr <- nrow(rd1)
# And vectorize
for(tkr in 1:ncol(ua)){
x <- c(rd1[, tkr], as.Date("9999-12-31"))
inxlist <- lapply(1:nr, function(i) which(x[i] <= dt1 & dt1 < x[i + 1]))
sapply(1:length(inxlist), function(i) if(length(ix[[i]])) fin1[ix[[i]],
tkr
+ 1] <<- ua[i, tkr])
}
colnames(fin1) <- c("daily_dates", colnames(ua))
# Check results
str(fin)
str(fin1)
head(fin)
head(fin1)
tail(fin)
tail(fin1)
Note that 'fin' has facotrs, 'fin1' numerics.
I haven't timed it but I believe it should be faster.
Hope this helps,
Rui Barradas
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