All,
I have been just recently working with zoo objects for trading systems.
Can someone please help with these basic questions?
Given a daily time series downloaded using get.hist.quote() from the tseries
package, ie......
startDate= as.Date("2000-01-01")
endDate= as.Date("2011-01-29")
frequency= 'd'
s= get.hist.quote('IWF', start= startDate, end= endDate,
compression= 'd', quote= "AdjClose")
tail(s,30)
AdjClose
2010-12-16 56.85
2010-12-17 56.95
2010-12-20 57.00
2010-12-21 57.32
2010-12-22 57.37
2010-12-23 57.30
2010-12-27 57.30
2010-12-28 57.29
2010-12-29 57.43
2010-12-30 57.34
2010-12-31 57.26
2011-01-03 57.80
2011-01-04 57.55
2011-01-05 57.87
2011-01-06 57.89
2011-01-07 57.81
2011-01-10 57.88
2011-01-11 58.13
2011-01-12 58.60
2011-01-13 58.59
2011-01-14 58.94
2011-01-18 59.20
2011-01-19 58.64
2011-01-20 58.36
2011-01-21 58.33
2011-01-24 58.79
2011-01-25 58.84
2011-01-26 59.24
2011-01-27 59.36
2011-01-28 58.23
How can I extract a time series (a zoo object) containing the price of only the
last trading day of each week, ie.:
2010-12-17 56.95
2010-12-23 57.30
2010-12-31 57.26
2011-01-07 57.81
2011-01-14 58.94
2011-01-21 58.33
2011-01-28 58.23
Similarly how can I extract a zoo object of only the last trading day of each
month, ie.
2010-12-31 57.26
Of course in most cases the last trading day is different from the last
calendar
day, and I would like to preserve the actual date of the last trading day.
Finally, how can I extract a time series of the prices of only the days of
options expiration in a particular cycle, such as the third friday of Mar,
June,
Sept. and Dec.?
Any help is greatly appreciated.
Regards,
John
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