You cannot have a POSIXlt column in a data frame: if you did your
homework you would know it is because it is length-9 list.
I don't know why str() is reporting POSIXt as a class, and your example
is not reproducible. Normally date-times have class
> class(Sys.time())
[1] "POSIXct" "POSIXt"
and I suspect you actually have a POSIXct column. But the order of
these two classes is not important and has changed over the years.
On 05/11/2012 07:51, Daniel Haugstvedt wrote:
When I try to do linear interpolation between financial contracts with
maturities on different dates in different months I have come across some
behavior I haven't seen before.
I have a data frame in R which is loaded from an access database so I can't
provide a working example. It was loaded using this code:
dbPath <- "H:/pathToDB/DB.mdb"
channel <- odbcConnectAccess(dbPath)
DF = sqlFetch(channel,'nameOfTable')
When I look at the Date column I get this result
str(DF$Date)
POSIXt[1:25311], format: "2003-09-03 06:00:00" "2003-09-03 06:00:00" ...
I have newer seen data as POSIXt, only as POSIXct or POSIXlt. It is the
behavior of this class is that I would like more information about. Online
searching have only told me that it is a virtual class.
When I do some calculations to get the dates of maturity into the data frame I
find this behavior. (For simplicity assume that the only month is March.)
DF[,"DateOfMaturity"] = NA
DF[,"DateOfMaturityPrevious"] = NA
DF[,"DateOfMaturityNext"] = NA
maturityFeb = 14
maturityMar = 16
maturityApr = 15
yearTmp = as.POSIXlt(DF$Date)$year+1900
DF$DateOfMaturity = as.POSIXct(strptime(paste(yearTmp,03,maturityMar ), "%Y %m
%d"))
DF$DateOfMaturityPrevious = as.POSIXct(strptime(paste(yearTmp,02,maturityFeb ), "%Y
%m %d")
DF$DateOfMaturityNext = as.POSIXct(strptime(paste(yearTmp,04,maturityApr ), "%Y %m
%d"))
which works fine and gives me the dates I want but it is not readable with
human eyes. When I try
DF$DateOfMaturity = as.POSIXlt(strptime(paste(yearTmp,03,maturityMar ), "%Y %m
%d"))
DF$DateOfMaturityPrevious = as.POSIXlt(strptime(paste(yearTmp,02,maturityFeb ), "%Y
%m %d")
DF$DateOfMaturityNext = as.POSIXlt(strptime(paste(yearTmp,04,maturityApr ), "%Y %m
%d"))
it breaks my DF
str(DF$DateOfMaturity)
List of 2015
$ : num [1:2015] 0 0 0 0 0 0 0 0 0 0 ...
$ : int [1:2015] 0 0 0 0 0 0 0 0 0 0 ...
$ : int [1:2015] 0 0 0 0 0 0 0 0 0 0 ...
$ : int [1:2015] 16 16 16 16 16 16 16 16 16 16 ...
$ : int [1:2015] 0 0 0 0 0 0 0 0 0 0 ...
$ : int [1:2015] 104 104 104 104 104 104 104 104 104 104 ...
$ : int [1:2015] 5 5 5 5 5 5 5 5 5 5 ...
$ : int [1:2015] 15 15 15 15 15 15 15 15 15 15
.
.
.
[list output truncated]
Now I wonder why I can't use POSIXlt in my data frame (I know I shouldn't but that is not
the question) and if I can use POSIXt like the original data? It is human readable but also
suited for calculation (e.g. DF$Date > as.POSIXct("2005-12-01") works nicely.
Best regards
Daniel Haugstvedt
Ph.D. student
NTNU, Trondheim, Norway
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--
Brian D. Ripley, rip...@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
______________________________________________
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and provide commented, minimal, self-contained, reproducible code.
