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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