将时间序列乘以R中的一个因子

Question

I have the following time series:

ts <- cbind(data.frame(date=seq(as.Date("2017/11/01"), by = "day", length.out = 30)),value=rep(5,30))
ts <- ts[order(ts$date, decreasing=T),]

I would like to adjust it by the below cumulative factor that has a value on some given dates:

cf <- cbind(data.frame(date=as.Date(c("2017/11/28", "2017/11/25","2017/11/04","2017/09/25"))),cumfactor=c(0.8,0.7,0.6,.05))

Such that, the value on each date on ts will be multiplied (adjusted) by the cumfactor on cf on the corresponding date and that cumfactor will be used for subsequent (earlier) dates until the next cumfactor shows up for an earlier date. The first (latest) dates in ts should not be adjusted if they are later than the first (latest) cumfactor date.

I am looking for the following result:

result <- cbind(data.frame(date=seq(as.Date("2017/11/01"), by = "day", length.out = 30)),value=c(3,3,3,3,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,3.5,4,4,4,5,5))
result <- result[order(result$date, decreasing=T),]

My guess is that a for loop could be the best option but I haven't been successful at obtaining this result.

Answer 1

Merge ts and cf, carry forward the factors and multiply them.

library(zoo)

m <- merge(ts, cf, all.x = TRUE)[nrow(ts):1, ]
transform(m, value = value * na.fill(na.locf0(cumfactor), 1))

We have retained your descending sequence of dates from the question but note that in R normally time series are represented in ascending order of date.