如何在 xts 上填写没有数据的日期

Question

Say I have data xts object (data) for 30 June, 31 July, 29 August, and 30 September.

I have a date object (dates) with 30 June, 31 July, 31 August, and 30 September. When I try to do new_data <- data[dates], it just skips the August data.

I would like to use data as EOM data for these four months. What can I do to not skip the August date, and use the 29 August data for 31 August?

Answer 1

Here I'm assuming "EOM" (end of month) data means the last trading day of the month is included in your time series, which doesnt include weekends (based on your description).

You can split an xts object by month, and take the last value, assuming you're working with daily data (1 bar is 1 day)

x1 <- getSymbols("AAPL", auto.assign = FALSE)
yy2 <- do.call(rbind, lapply(split(x1, by = "months"), tail, n = 1))

tail(yy2, 10)

#AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
#2021-03-31    121.65    123.52   121.15     122.15   118323800      121.5830
#2021-04-30    131.78    133.56   131.07     131.46   109839500      130.8498
#2021-05-28    125.57    125.80   124.55     124.61    71311100      124.2423
#2021-06-30    136.17    137.41   135.87     136.96    63261400      136.5558
#2021-07-30    144.38    146.33   144.11     145.86    70382000      145.4295
#2021-08-31    152.66    152.80   151.29     151.83    86453100      151.6087
#2021-09-30    143.66    144.38   141.28     141.50    88934200      141.2938
#2021-10-29    147.22    149.94   146.41     149.80   124850400      149.5817
#2021-11-30    159.99    165.52   159.92     165.30   174048100      165.3000
#2021-12-31    178.09    179.23   177.26     177.57    64025500      177.5700