Align a 'timeSeries' object to equidistant time stamps

Aligns a "timeSeries" object to equidistant time stamps. There are also functions for the common cases of changing daily to weekly and daily to monthly.

Usage

# S4 method for timeSeries
align(x, by = "1d", offset = "0s",
    method = c("before", "after", "interp", "fillNA",
               "fmm", "periodic", "natural", "monoH.FC"),
    include.weekends = FALSE, ...)

alignDailySeries(x, method = c("before", "after", "interp", "fillNA",
    "fmm", "periodic", "natural", "monoH.FC"),
    include.weekends = FALSE, units = NULL, zone = "",
    FinCenter = "", ...)

daily2monthly(x, init = FALSE) 
daily2weekly(x, startOn = "Tue", init = FALSE)

Arguments

x

an object of class "timeSeries".

by

a character string denoting the period.

offset

a character string denoting the offset.

method

the method to be used for the alignment. A character string, one of "before", use the data from the row whose position is just before the unmatched position, or "after", use the data from the row whose position is just after the unmatched position, or "linear", interpolate linearly between "before" and "after".

include.weekends

a logical value. Should weekend dates be included or removed from the series?

units

an optional character string, which allows to overwrite the current column names of a timeSeries object. By default NULL which means that the column names are selected automatically.

zone

the time zone or financial center where the data were recorded.

FinCenter

a character with the the location of the financial center named as "continent/city".

startOn

a character string, specifying the day of week as a three letter abbreviation. Weekly aggregated data records are then fixed to the weekdays given by the argument startOn.

init

a logical value, if set to TRUE then the time series will be indexed to 1 for its first value. By default init is set to FALSE.

...

further arguments to be passed to the interpolating function.

Details

TODO: complete.

alignDailySeries aligns a daily 'timeSeries' to new positions, Effectively, it is a frontend to the "timeSeries" method for align with by = "1d", and offset = "0s".

In addition, there are two tailored functions for common cases: daily2monthly and daily2weekly which aggregate "timeSeries" objects from daily to monthly or weekly levels, respectively.

In the case of the function daily2weekly one can explicitly set the starting day of the week, the default value is Tuesday, startOn = "Tue".

Value

a "timeSeries" object,

for alignDailySeries, a weekly aligned daily "timeSeries" object from a daily time series with missing holidays.

Examples

## Use Microsofts' OHLCV Price Series -
   head(MSFT)
#> GMT 
#>               Open    High     Low   Close   Volume
#> 2000-09-27 63.4375 63.5625 59.8125 60.6250 53077800
#> 2000-09-28 60.8125 61.8750 60.6250 61.3125 26180200
#> 2000-09-29 61.0000 61.3125 58.6250 60.3125 37026800
#> 2000-10-02 60.5000 60.8125 58.2500 59.1250 29281200
#> 2000-10-03 59.5625 59.8125 56.5000 56.5625 42687000
#> 2000-10-04 56.3750 56.5625 54.5000 55.4375 68226700
   end(MSFT)
#> GMT
#> [1] [2001-09-27]

## Use MSFT and Compute Sample Size -
   dim(MSFT)
#> [1] 249   5

## Align the Series -
   MSFT.AL <- align(MSFT)

## Show the Size of the Aligned Series -
   dim(MSFT.AL)
#> [1] 262   5


## alignDailySeries

## Cut out April Data from 2001 -
   Close <- MSFT[, "Close"]
   tsApril01 <- window(Close, start="2001-04-01", end="2001-04-30")
   tsApril01
#> GMT 
#>              Close
#> 2001-04-02 55.8125
#> 2001-04-03 53.3750
#> 2001-04-04 51.9375
#> 2001-04-05 56.7500
#> 2001-04-06 56.1875
#> 2001-04-09 57.1500
#> 2001-04-10 59.6800
#> 2001-04-11 60.0400
#> 2001-04-12 62.1800
#> 2001-04-16 60.7900
#> 2001-04-17 61.4800
#> 2001-04-18 65.4300
#> 2001-04-19 68.0400
#> 2001-04-20 69.0000
#> 2001-04-23 68.2500
#> 2001-04-24 67.5500
#> 2001-04-25 69.6900
#> 2001-04-26 69.1300
#> 2001-04-27 67.1200
#> 2001-04-30 67.7500

## Align Daily Series with NA -
   tsRet <- returns(tsApril01, trim = TRUE)
   GoodFriday(2001)
#> GMT
#> [1] [2001-04-13]
   EasterMonday(2001)
#> GMT
#> [1] [2001-04-16]
   alignDailySeries(tsRet, method = "fillNA", include.weekends = FALSE)
#> GMT 
#>                   Close
#> 2001-04-03 -0.044655387
#> 2001-04-04 -0.027301399
#> 2001-04-05  0.088614584
#> 2001-04-06 -0.009961344
#> 2001-04-09  0.016985078
#> 2001-04-10  0.043317566
#> 2001-04-11  0.006014051
#> 2001-04-12  0.035022398
#> 2001-04-13           NA
#> 2001-04-16 -0.022608103
#> 2001-04-17  0.011286617
#> 2001-04-18  0.062268950
#> 2001-04-19  0.039114899
#> 2001-04-20  0.014010737
#> 2001-04-23 -0.010929071
#> 2001-04-24 -0.010309370
#> 2001-04-25  0.031188771
#> 2001-04-26 -0.008068045
#> 2001-04-27 -0.029506728
#> 2001-04-30  0.009342398
   alignDailySeries(tsRet, method = "fillNA", include.weekends = TRUE)
#> GMT 
#>                   Close
#> 2001-04-03 -0.044655387
#> 2001-04-04 -0.027301399
#> 2001-04-05  0.088614584
#> 2001-04-06 -0.009961344
#> 2001-04-07           NA
#> 2001-04-08           NA
#> 2001-04-09  0.016985078
#> 2001-04-10  0.043317566
#> 2001-04-11  0.006014051
#> 2001-04-12  0.035022398
#> 2001-04-13           NA
#> 2001-04-14           NA
#> 2001-04-15           NA
#> 2001-04-16 -0.022608103
#> 2001-04-17  0.011286617
#> 2001-04-18  0.062268950
#> 2001-04-19  0.039114899
#> 2001-04-20  0.014010737
#> 2001-04-21           NA
#> 2001-04-22           NA
#> 2001-04-23 -0.010929071
#> 2001-04-24 -0.010309370
#> 2001-04-25  0.031188771
#> 2001-04-26 -0.008068045
#> 2001-04-27 -0.029506728
#> 2001-04-28           NA
#> 2001-04-29           NA
#> 2001-04-30  0.009342398

## Align Daily Series by Interpolated Values -
   alignDailySeries(tsRet, method = "interp", include.weekend = FALSE)
#> GMT 
#>                   Close
#> 2001-04-03 -0.044655387
#> 2001-04-04 -0.027301399
#> 2001-04-05  0.088614584
#> 2001-04-06 -0.009961344
#> 2001-04-09  0.016985078
#> 2001-04-10  0.043317566
#> 2001-04-11  0.006014051
#> 2001-04-12  0.035022398
#> 2001-04-13  0.020614773
#> 2001-04-16 -0.022608103
#> 2001-04-17  0.011286617
#> 2001-04-18  0.062268950
#> 2001-04-19  0.039114899
#> 2001-04-20  0.014010737
#> 2001-04-23 -0.010929071
#> 2001-04-24 -0.010309370
#> 2001-04-25  0.031188771
#> 2001-04-26 -0.008068045
#> 2001-04-27 -0.029506728
#> 2001-04-30  0.009342398
   alignDailySeries(tsRet, method = "interp", include.weekend = TRUE)
#> GMT 
#>                    Close
#> 2001-04-03 -0.0446553871
#> 2001-04-04 -0.0273013989
#> 2001-04-05  0.0886145837
#> 2001-04-06 -0.0099613441
#> 2001-04-07 -0.0009792034
#> 2001-04-08  0.0080029373
#> 2001-04-09  0.0169850780
#> 2001-04-10  0.0433175657
#> 2001-04-11  0.0060140509
#> 2001-04-12  0.0350223979
#> 2001-04-13  0.0206147727
#> 2001-04-14  0.0062071475
#> 2001-04-15 -0.0082004777
#> 2001-04-16 -0.0226081029
#> 2001-04-17  0.0112866169
#> 2001-04-18  0.0622689502
#> 2001-04-19  0.0391148986
#> 2001-04-20  0.0140107371
#> 2001-04-21  0.0056974679
#> 2001-04-22 -0.0026158013
#> 2001-04-23 -0.0109290705
#> 2001-04-24 -0.0103093697
#> 2001-04-25  0.0311887710
#> 2001-04-26 -0.0080680455
#> 2001-04-27 -0.0295067278
#> 2001-04-28 -0.0165570193
#> 2001-04-29 -0.0036073109
#> 2001-04-30  0.0093423976


## Load Microsoft Data Set -
   x <- MSFT

## Aggregate daily records to end of month records -
   X <- daily2monthly(x)
   X
#> GMT 
#>               Open    High     Low   Close   Volume
#> 2000-09-30 61.0000 61.3125 58.6250 60.3125 37026800
#> 2000-10-31 69.0000 69.5000 68.0000 68.8750 52237000
#> 2000-11-30 62.0000 62.0625 57.0000 57.3750 98600400
#> 2000-12-31 43.9375 45.8125 43.0000 43.3750 49988800
#> 2001-01-31 63.0000 63.7500 61.0000 61.0625 40949400
#> 2001-02-28 59.5625 60.0781 58.1875 59.0000 42304200
#> 2001-03-31 55.7500 56.1875 53.8750 54.6875 45600800
#> 2001-04-30 68.5300 69.0600 67.6800 67.7500 37184100
#> 2001-05-31 69.4900 70.3800 68.4000 69.1800 35341300
#> 2001-06-30 72.6000 73.4100 71.4000 73.0000 47141900
#> 2001-07-31 66.0100 67.3900 65.8500 66.1900 29515800
#> 2001-08-31 56.8500 58.0600 56.3000 57.0500 28950400
#> 2001-09-30 50.1000 50.6800 48.0000 49.9600 40595600
   isMonthly(X)
#> [1] TRUE
   
## Aggregate daily records to end of week records -
   X <- daily2weekly(x, startOn="Fri")
   X
#> GMT 
#>               Open    High     Low   Close    Volume
#> 2000-09-29 61.0000 61.3125 58.6250 60.3125  37026800
#> 2000-10-06 55.8125 56.7500 54.7500 55.5625  30897000
#> 2000-10-13 53.8750 54.8750 52.1250 53.7500  52260600
#> 2000-10-20 61.3125 66.1250 61.1250 65.1875  80189300
#> 2000-10-27 64.6875 69.1875 64.6250 67.6875  62146200
#> 2000-11-03 69.2500 69.6250 68.0625 68.2500  34355500
#> 2000-11-10 69.9375 70.3125 66.8125 67.3750  46872200
#> 2000-11-17 69.4375 70.0000 67.7969 69.0625  53262800
#> 2000-11-24 69.0000 70.4375 68.5000 69.9375  17219600
#> 2000-12-01 58.0625 60.6250 56.0625 56.6250  54904900
#> 2000-12-08 54.6250 55.8750 53.4375 54.4375  60469900
#> 2000-12-15 51.0469 52.0000 47.7500 49.1875  58449900
#> 2000-12-22 44.7500 47.1250 44.7500 46.4375  54775900
#> 2000-12-29 43.9375 45.8125 43.0000 43.3750  49988800
#> 2001-01-05 48.5000 49.8750 47.5625 49.1250  46707300
#> 2001-01-12 54.8750 55.0000 52.5000 53.5000  36856000
#> 2001-01-19 60.0000 61.4375 58.8750 61.0000 104674400
#> 2001-01-26 61.0000 64.3125 61.0000 64.0000  46540000
#> 2001-02-02 62.5000 63.3750 60.7500 60.8125  35550000
#> 2001-02-09 61.3125 61.5625 58.5000 59.1250  50287600
#> 2001-02-16 57.0000 58.2500 56.1250 57.3125  33479200
#> 2001-02-23 54.4375 57.5000 54.3125 56.7500  46310300
#> 2001-03-02 57.5000 58.1250 56.4375 56.6875  39900400
#> 2001-03-09 57.9375 58.1875 54.8750 56.6875  51897200
#> 2001-03-16 52.5000 55.1250 52.4844 54.5625  56424400
#> 2001-03-23 54.9375 57.0000 54.3750 56.5625  49759800
#> 2001-03-30 55.7500 56.1875 53.8750 54.6875  45600800
#> 2001-04-06 56.3750 57.1875 55.0625 56.1875  46311000
#> 2001-04-13 59.5600 62.3100 59.3500 62.1800  43760000
#> 2001-04-20 70.3000 71.1000 68.5000 69.0000  96459800
#> 2001-04-27 69.5300 69.6800 66.2100 67.1200  60786200
#> 2001-05-04 68.0000 71.0500 67.9600 70.7500  59769200
#> 2001-05-11 69.9600 70.0000 68.6500 69.4000  25564400
#> 2001-05-18 67.6900 69.2000 67.2500 68.0900  45302700
#> 2001-05-25 71.6600 71.9000 70.3600 70.9100  26373800
#> 2001-06-01 69.6000 70.7000 68.7000 70.3400  28793800
#> 2001-06-08 73.7000 73.7500 72.0500 73.1900  25933500
#> 2001-06-15 67.5100 68.3000 66.4000 68.0200  54177200
#> 2001-06-22 70.0000 70.6100 68.5800 68.8300  25546000
#> 2001-06-29 72.6000 73.4100 71.4000 73.0000  47141900
#> 2001-07-06 68.3000 68.4000 65.6700 66.0600  33733900
#> 2001-07-13 71.4000 72.0000 70.9400 71.3400  29467300
#> 2001-07-20 68.0300 69.4000 67.9400 69.1800  62101800
#> 2001-07-27 66.0500 66.2500 65.0500 65.4700  32698000
#> 2001-08-03 67.3000 67.3600 66.0000 66.8900  21630200
#> 2001-08-10 64.7700 65.8600 62.9000 65.5200  25878200
#> 2001-08-17 63.7800 64.1300 61.5000 61.8800  26117100
#> 2001-08-24 59.6000 62.2800 59.2300 62.0500  31699500
#> 2001-08-31 56.8500 58.0600 56.3000 57.0500  28950400
#> 2001-09-07 56.1100 57.3600 55.3100 55.4000  44931900
#> 2001-09-14 54.9200 57.9500 54.7000 57.5800  42235900
#> 2001-09-21 47.9200 50.6000 47.5000 49.7100  92488300
   dayOfWeek(time(X))
#> 2000-09-29 2000-10-06 2000-10-13 2000-10-20 2000-10-27 2000-11-03 2000-11-10 
#>      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri" 
#> 2000-11-17 2000-11-24 2000-12-01 2000-12-08 2000-12-15 2000-12-22 2000-12-29 
#>      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri" 
#> 2001-01-05 2001-01-12 2001-01-19 2001-01-26 2001-02-02 2001-02-09 2001-02-16 
#>      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri" 
#> 2001-02-23 2001-03-02 2001-03-09 2001-03-16 2001-03-23 2001-03-30 2001-04-06 
#>      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri" 
#> 2001-04-13 2001-04-20 2001-04-27 2001-05-04 2001-05-11 2001-05-18 2001-05-25 
#>      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri" 
#> 2001-06-01 2001-06-08 2001-06-15 2001-06-22 2001-06-29 2001-07-06 2001-07-13 
#>      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri" 
#> 2001-07-20 2001-07-27 2001-08-03 2001-08-10 2001-08-17 2001-08-24 2001-08-31 
#>      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri" 
#> 2001-09-07 2001-09-14 2001-09-21 
#>      "Fri"      "Fri"      "Fri"