[英]Pull Return from first business day of the month from XTS object using R
I am very new to R so apologies if I get any of the terminology wrong when I explain this problem. 如果我在解释这个问题时得到任何一个术语错误的话,我对R很新。
I have a set of daily returns data in a csv file that I have managed to convert to an xts object. 我在csv文件中有一组每日返回数据,我已设法将其转换为xts对象。 The data is in the format:
数据格式如下:
HighYield..EUR. MSCI.World..EUR.
2002-01-31 0.0144 0.0031
2002-02-01 0.0056 -0.0132
2002-02-02 0.0373 0.0356
2002-02-03 -0.0167 -0.0644
2002-02-04 -0.0062 -0.0332
2002-02-05 -0.0874 -0.1112
...
I want to create a script that will find the first business day of the month (from the range of values in the index) and then create a new xts object with these returns in it. 我想创建一个脚本,它将找到该月的第一个工作日(从索引中的值范围),然后创建一个新的xts对象,其中包含这些返回值。
For example, after the script has run I would have an xts object in the format: 例如,在脚本运行后,我将使用以下格式的xts对象:
HighYield..EUR. MSCI.World..EUR.
2002-01-31 0.0144 0.0031
2002-02-28 0.0011 -0.0112
2002-03-31 0.0222 0.0224
2002-04-30 -0.0333 -0.0223
2002-05-30 -0.0011 -0.0012
2002-06-30 -0.0888 -0.0967
...
Can someone help me please? 有谁可以帮助我吗? and if possible explain what each part of the script is doing.
并且如果可能的话,解释脚本的每个部分正在做什么。
Thanks to the power of the base R language, you can do this in one line: 由于基本R语言的强大功能,您可以在一行中执行此操作:
library(xts)
data(sample_matrix)
x <- as.xts(sample_matrix)
do.call(rbind, lapply(split(x, "months"), first))
To explain what each step is doing: 要解释每个步骤的作用:
# Split the xts object into a list with an element for each month.
x1 <- split(x, "months")
# Loop over the list (x1) and call the first() function on each element.
# This returns a new list where each element only contains the first observation
# from each respective element in x1.
x2 <- lapply(x1, first)
# Call rbind() with all the elements of x2 as arguments to rbind()
# Same as rbind(x2[[1]], x2[[2]], ..., x2[[N]])
x3 <- do.call(rbind, x2)
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