Dear Gabor,
Thanks for your reply. however:
> tail(DJd)
^DJI.Close
2010-04-01 10927.07
2010-04-05 10973.55
2010-04-06 10969.99
2010-04-07 10897.52
2010-04-08 10927.07
*2010-04-09 10997.35*
> tail(ag)
2009-11-30 10344.84
2009-12-31 10428.05
2010-01-31 10067.33
2010-02-28 10325.26
2010-03-31 10856.63
*2010-04-30 10997.35
*
It seems the script "makes up" dates (?)
Best,
Costas
On 09/04/2010 14:55, Gabor Grothendieck wrote:
> The function seems to be working properly. You are asking for a day
> of the month which does not exist. I assume this was written a very
> long time ago since there are easier ways to do this now. yearmon
> class gives an object representing the year and month of a date and if
> ym is such an object then as.Date(ym) gives the first of the month and
> as.Date(ym, frac = 1) gives the last of the month so:
>
> # nth day of month or last day of month if less
> nth.of.month<- function(date, n) {
> ym<- as.yearmon(date)
> pmin(as.Date(ym) + n - 1, as.Date(ym, frac = 1))
> }
>
> ag<- aggregate(DJd, nth.of.month(time(DJd), 31), tail, 1)
>
>
>
> On Fri, Apr 9, 2010 at 7:01 AM, Research<risk2...@ath.forthnet.gr> wrote:
>
>> Dear all,
>>
>> Some time ago I received some very kind help (special thanks to Gabor) to
>> construct a function that isolates the n'th working day of each month for
>> zoo object (time series) to create monthly data from daily observations.
>>
>> I found out that the code works fine except for the 29 till 31st dates of
>> each month as it skips some months (February for example).
>>
>> If you could help me isolate the problem I would be grateful as I can not
>> find a way to explain to R to keep the last working day of month if I
>> choose the 29th, 30th or 31st dates...
>>
>> I enclose a working version of the function and a script for demo purposes.
>>
>> Many thanks in advance,
>> Costas
>>
>> library(fImport)
>> library(zoo)
>> DJ<-yahooSeries("^DJI", frequency="daily", nDaysBack=10000)
>> DJd<-as.zoo(DJ[,4])
>>
>> ### Choose number of day for month
>>
>> chooseday<-function(z, day)
>>
>> {
>>
>> # z.na is same as z but with missing days added using NAs
>> # Its formed by merging z with a zoo-width series containing all days.
>>
>> rng<- range(time(z))
>> z.na<- merge(z, zoo(, seq(rng[1], rng[2], by = "day")))
>>
>> # form a series that has NAs wherever z.na does but has 1, 2, 3, ...
>> # instead of z.na's data values and then use na.locf to fill in NAs
>>
>> idx<- na.locf(seq_along(z.na) + (0 * z.na))
>>
>> # pick off elements of z.na corresponding to i'th of month
>>
>> noofday<- paste(day)
>>
>> if (day<10) noofday<-paste("0",day, sep="")
>>
>> tempdata<-z.na[idx[format(time(z.na), "%d") == noofday]]
>>
>> return(tempdata)
>>
>> }
>>
>> length(chooseday(DJd,1))
>> length(chooseday(DJd,2))
>> length(chooseday(DJd,31))
>> length(chooseday(DJd,30))
>> length(chooseday(DJd,29))
>> length(chooseday(DJd,28))
>> tail(chooseday(DJd,31))
>>
>>
>>
>>
>>
>>
>>
>>
>
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