从每日价格计算每周收益
[英]Calculate weekly returns from daily prices In R
问题描述
我想每天计算每周收益（使用星期三至星期三的约定）。 原始数据如下（摘录）：
...
4003 1985-05-06 200.764
4004 1985-05-07 202.502
4005 1985-05-08 202.683
4006 1985-05-09 204.642
4007 1985-05-10 206.051
4008 1985-05-13 207.702
4009 1985-05-14 207.630
4010 1985-05-15 207.585
4011 1985-05-16 207.843
4012 1985-05-17 209.723
4013 1985-05-20 212.843
...
为了计算每周收益，我想提取每个星期三的数据。 如果一个星期不包括星期三，我想吸引下一个工作日。
为了提取星期三的数据，我使用了以下代码：
wednesday = as.POSIXlt(time(data))$wday == 3
indx <- c(0, which(wednesday))
datanew<-period.apply(data, INDEX=indx, FUN=last)
但是使用此代码，如果本周没有星期三的数据，那么显然不会提取星期三的数据，这意味着星期三有个假期。
有人可以帮忙吗？
2 个解决方案
解决方案1
0 2015-10-28 00:31:07
这是我的建议，计算一个可以用作period.apply的INDEX参数的向量idx ：
#-------------------------------------------------------------------
# Example data:
set.seed(1)
N <- 1000
data <- data.frame( t = as.Date("1985-01-01") + (0:(N-1))*as.difftime(1,units="days"),
x = sample(100:300,N,replace=TRUE))
weekDay <- function(t=data$t){as.POSIXlt(t)$wday}
# Remove Saterdays, Sundays, and 20% of the rest:
data <- data[-which(weekDay() %in% c(0,6)),]
data <- data[-sample(1:nrow(data),ceiling(0.2*nrow(data))),]
#--------------------------------------------------------------------------
# Count the number of weeks:
dt <- data$t[nrow(data)] - data$t[1]
units(dt) <- "days"
weekCnt <- ceiling(as.numeric(dt)/7)
#--------------------------------------------------------------------------
# Find all Wednesdays in the interval from data$t[1] to data$t[nrow(data)]:
wed.0 <- data$t[1] + ((3-weekDay(data$t[1])) %% 7)*as.difftime(1,units="days")
wed <- wed.0 + (0:(weekCnt-1))*as.difftime(7,units="days")
#--------------------------------------------------------------------------
# For each week find the the smallest index i such that data$t[i] is not
# earlier than the Wednesday of that week:
idx <- rep(NA,weekCnt)
for ( i in 1:weekCnt ) { idx[i] <- which.max( wed[i] <= data$t ) }
#--------------------------------------------------------------------------
# Check the result:
X <- cbind( data, weekDay(), week=strftime(data$t,format="%W"), selected=rep(FALSE,nrow(data)))
X$selected[idx] <- TRUE
（对于for循环，我感到很抱歉。但是它在那里没有增长，所以for -loop来说是无害for 。）结果总结为X ：
> X
t x weekDay() week selected
1 1985-01-01 153 2 00 FALSE
3 1985-01-03 215 4 00 TRUE
7 1985-01-07 289 1 01 FALSE
9 1985-01-09 226 3 01 TRUE
10 1985-01-10 112 4 01 FALSE
14 1985-01-14 177 1 02 FALSE
15 1985-01-15 254 2 02 FALSE
16 1985-01-16 200 3 02 TRUE
17 1985-01-17 244 4 02 FALSE
18 1985-01-18 299 5 02 FALSE
21 1985-01-21 287 1 03 FALSE
22 1985-01-22 142 2 03 FALSE
23 1985-01-23 230 3 03 TRUE
25 1985-01-25 153 5 03 FALSE
28 1985-01-28 176 1 04 FALSE
30 1985-01-30 168 3 04 TRUE
31 1985-01-31 196 4 04 FALSE
32 1985-02-01 220 5 04 FALSE
35 1985-02-04 266 1 05 FALSE
36 1985-02-05 234 2 05 FALSE
37 1985-02-06 259 3 05 TRUE
39 1985-02-08 245 5 05 FALSE
42 1985-02-11 230 1 06 FALSE
44 1985-02-13 211 3 06 TRUE
45 1985-02-14 206 4 06 FALSE
46 1985-02-15 258 5 06 FALSE
49 1985-02-18 247 1 07 FALSE
50 1985-02-19 239 2 07 FALSE
51 1985-02-20 196 3 07 TRUE
52 1985-02-21 273 4 07 FALSE
53 1985-02-22 188 5 07 FALSE
56 1985-02-25 119 1 08 FALSE
57 1985-02-26 163 2 08 FALSE
58 1985-02-27 204 3 08 TRUE
59 1985-02-28 233 4 08 FALSE
60 1985-03-01 181 5 08 FALSE
63 1985-03-04 192 1 09 FALSE
64 1985-03-05 166 2 09 FALSE
65 1985-03-06 230 3 09 TRUE
66 1985-03-07 151 4 09 FALSE
67 1985-03-08 196 5 09 FALSE
70 1985-03-11 275 1 10 FALSE
71 1985-03-12 168 2 10 FALSE
72 1985-03-13 268 3 10 TRUE
74 1985-03-15 167 5 10 FALSE
77 1985-03-18 273 1 11 FALSE
78 1985-03-19 178 2 11 FALSE
79 1985-03-20 256 3 11 TRUE
80 1985-03-21 293 4 11 FALSE
81 1985-03-22 187 5 11 FALSE
85 1985-03-26 252 2 12 FALSE
86 1985-03-27 140 3 12 TRUE
87 1985-03-28 242 4 12 FALSE
88 1985-03-29 124 5 12 FALSE
92 1985-04-02 111 2 13 FALSE
94 1985-04-04 276 4 13 TRUE
95 1985-04-05 256 5 13 FALSE
98 1985-04-08 182 1 14 FALSE
100 1985-04-10 221 3 14 TRUE
101 1985-04-11 231 4 14 FALSE
102 1985-04-12 170 5 14 FALSE
105 1985-04-15 227 1 15 FALSE
108 1985-04-18 196 4 15 TRUE
109 1985-04-19 285 5 15 FALSE
112 1985-04-22 247 1 16 FALSE
114 1985-04-24 186 3 16 TRUE
115 1985-04-25 129 4 16 FALSE
116 1985-04-26 102 5 16 FALSE
120 1985-04-30 228 2 17 FALSE
121 1985-05-01 299 3 17 TRUE
122 1985-05-02 199 4 17 FALSE
123 1985-05-03 197 5 17 FALSE
126 1985-05-06 191 1 18 FALSE
127 1985-05-07 202 2 18 FALSE
130 1985-05-10 219 5 18 TRUE
133 1985-05-13 107 1 19 FALSE
134 1985-05-14 229 2 19 FALSE
135 1985-05-15 286 3 19 TRUE
136 1985-05-16 220 4 19 FALSE
137 1985-05-17 212 5 19 FALSE
140 1985-05-20 202 1 20 FALSE
141 1985-05-21 237 2 20 FALSE
142 1985-05-22 220 3 20 TRUE
148 1985-05-28 250 2 21 FALSE
151 1985-05-31 223 5 21 TRUE
155 1985-06-04 200 2 22 FALSE
156 1985-06-05 136 3 22 TRUE
157 1985-06-06 206 4 22 FALSE
158 1985-06-07 115 5 22 FALSE
161 1985-06-10 157 1 23 FALSE
163 1985-06-12 189 3 23 TRUE
164 1985-06-13 256 4 23 FALSE
165 1985-06-14 277 5 23 FALSE
168 1985-06-17 167 1 24 FALSE
170 1985-06-19 167 3 24 TRUE
171 1985-06-20 226 4 24 FALSE
172 1985-06-21 268 5 24 FALSE
175 1985-06-24 176 1 25 FALSE
176 1985-06-25 279 2 25 FALSE
178 1985-06-27 248 4 25 TRUE
179 1985-06-28 221 5 25 FALSE
182 1985-07-01 138 1 26 FALSE
183 1985-07-02 278 2 26 FALSE
184 1985-07-03 201 3 26 TRUE
185 1985-07-04 276 4 26 FALSE
189 1985-07-08 289 1 27 FALSE
190 1985-07-09 210 2 27 FALSE
191 1985-07-10 243 3 27 TRUE
192 1985-07-11 178 4 27 FALSE
196 1985-07-15 218 1 28 FALSE
197 1985-07-16 122 2 28 FALSE
198 1985-07-17 268 3 28 TRUE
200 1985-07-19 257 5 28 FALSE
203 1985-07-22 203 1 29 FALSE
204 1985-07-23 154 2 29 FALSE
205 1985-07-24 136 3 29 TRUE
206 1985-07-25 204 4 29 FALSE
207 1985-07-26 213 5 29 FALSE
210 1985-07-29 244 1 30 FALSE
212 1985-07-31 120 3 30 TRUE
213 1985-08-01 253 4 30 FALSE
217 1985-08-05 230 1 31 FALSE
219 1985-08-07 291 3 31 TRUE
220 1985-08-08 168 4 31 FALSE
221 1985-08-09 152 5 31 FALSE
225 1985-08-13 285 2 32 FALSE
226 1985-08-14 202 3 32 TRUE
227 1985-08-15 151 4 32 FALSE
231 1985-08-19 169 1 33 FALSE
233 1985-08-21 175 3 33 TRUE
234 1985-08-22 226 4 33 FALSE
235 1985-08-23 178 5 33 FALSE
238 1985-08-26 211 1 34 FALSE
239 1985-08-27 186 2 34 FALSE
240 1985-08-28 190 3 34 TRUE
241 1985-08-29 161 4 34 FALSE
242 1985-08-30 216 5 34 FALSE
245 1985-09-02 183 1 35 FALSE
246 1985-09-03 142 2 35 FALSE
247 1985-09-04 186 3 35 TRUE
248 1985-09-05 126 4 35 FALSE
249 1985-09-06 192 5 35 FALSE
252 1985-09-09 287 1 36 FALSE
253 1985-09-10 194 2 36 FALSE
255 1985-09-12 197 4 36 TRUE
256 1985-09-13 121 5 36 FALSE
260 1985-09-17 287 2 37 FALSE
263 1985-09-20 155 5 37 TRUE
266 1985-09-23 133 1 38 FALSE
267 1985-09-24 112 2 38 FALSE
268 1985-09-25 251 3 38 TRUE
269 1985-09-26 224 4 38 FALSE
273 1985-09-30 176 1 39 FALSE
274 1985-10-01 134 2 39 FALSE
275 1985-10-02 160 3 39 TRUE
276 1985-10-03 138 4 39 FALSE
277 1985-10-04 151 5 39 FALSE
280 1985-10-07 254 1 40 FALSE
281 1985-10-08 105 2 40 FALSE
282 1985-10-09 205 3 40 TRUE
283 1985-10-10 276 4 40 FALSE
284 1985-10-11 174 5 40 FALSE
287 1985-10-14 164 1 41 FALSE
288 1985-10-15 131 2 41 FALSE
290 1985-10-17 144 4 41 TRUE
291 1985-10-18 145 5 41 FALSE
294 1985-10-21 165 1 42 FALSE
297 1985-10-24 119 4 42 TRUE
298 1985-10-25 123 5 42 FALSE
302 1985-10-29 119 2 43 FALSE
303 1985-10-30 199 3 43 TRUE
304 1985-10-31 192 4 43 FALSE
305 1985-11-01 175 5 43 FALSE
308 1985-11-04 263 1 44 FALSE
309 1985-11-05 113 2 44 FALSE
310 1985-11-06 180 3 44 TRUE
311 1985-11-07 128 4 44 FALSE
312 1985-11-08 138 5 44 FALSE
315 1985-11-11 153 1 45 FALSE
316 1985-11-12 199 2 45 FALSE
317 1985-11-13 116 3 45 TRUE
318 1985-11-14 171 4 45 FALSE
319 1985-11-15 294 5 45 FALSE
324 1985-11-20 300 3 46 TRUE
326 1985-11-22 291 5 46 FALSE
331 1985-11-27 298 3 47 TRUE
332 1985-11-28 159 4 47 FALSE
333 1985-11-29 180 5 47 FALSE
336 1985-12-02 173 1 48 FALSE
337 1985-12-03 188 2 48 FALSE
340 1985-12-06 295 5 48 TRUE
343 1985-12-09 208 1 49 FALSE
345 1985-12-11 235 3 49 TRUE
346 1985-12-12 154 4 49 FALSE
347 1985-12-13 194 5 49 FALSE
350 1985-12-16 245 1 50 FALSE
351 1985-12-17 197 2 50 FALSE
353 1985-12-19 257 4 50 TRUE
357 1985-12-23 270 1 51 FALSE
358 1985-12-24 116 2 51 FALSE
360 1985-12-26 194 4 51 TRUE
364 1985-12-30 155 1 52 FALSE
365 1985-12-31 217 2 52 FALSE
367 1986-01-02 114 4 00 TRUE
368 1986-01-03 241 5 00 FALSE
372 1986-01-07 212 2 01 FALSE
373 1986-01-08 286 3 01 TRUE
374 1986-01-09 146 4 01 FALSE
375 1986-01-10 144 5 01 FALSE
378 1986-01-13 273 1 02 FALSE
379 1986-01-14 135 2 02 FALSE
380 1986-01-15 199 3 02 TRUE
382 1986-01-17 213 5 02 FALSE
385 1986-01-20 146 1 03 FALSE
386 1986-01-21 148 2 03 FALSE
387 1986-01-22 260 3 03 TRUE
388 1986-01-23 267 4 03 FALSE
389 1986-01-24 122 5 03 FALSE
392 1986-01-27 128 1 04 FALSE
393 1986-01-28 285 2 04 FALSE
395 1986-01-30 131 4 04 TRUE
396 1986-01-31 170 5 04 FALSE
399 1986-02-03 170 1 05 FALSE
400 1986-02-04 129 2 05 FALSE
401 1986-02-05 232 3 05 TRUE
402 1986-02-06 137 4 05 FALSE
403 1986-02-07 291 5 05 FALSE
406 1986-02-10 245 1 06 FALSE
408 1986-02-12 256 3 06 TRUE
409 1986-02-13 102 4 06 FALSE
413 1986-02-17 250 1 07 FALSE
415 1986-02-19 241 3 07 TRUE
416 1986-02-20 195 4 07 FALSE
420 1986-02-24 265 1 08 FALSE
421 1986-02-25 187 2 08 FALSE
422 1986-02-26 203 3 08 TRUE
423 1986-02-27 233 4 08 FALSE
427 1986-03-03 117 1 09 FALSE
428 1986-03-04 287 2 09 FALSE
429 1986-03-05 268 3 09 TRUE
430 1986-03-06 276 4 09 FALSE
431 1986-03-07 288 5 09 FALSE
434 1986-03-10 208 1 10 FALSE
435 1986-03-11 121 2 10 FALSE
436 1986-03-12 261 3 10 TRUE
437 1986-03-13 248 4 10 FALSE
438 1986-03-14 110 5 10 FALSE
441 1986-03-17 108 1 11 FALSE
442 1986-03-18 159 2 11 FALSE
443 1986-03-19 200 3 11 TRUE
444 1986-03-20 222 4 11 FALSE
448 1986-03-24 289 1 12 FALSE
450 1986-03-26 114 3 12 TRUE
451 1986-03-27 293 4 12 FALSE
455 1986-03-31 110 1 13 FALSE
456 1986-04-01 232 2 13 FALSE
457 1986-04-02 216 3 13 TRUE
458 1986-04-03 298 4 13 FALSE
459 1986-04-04 221 5 13 FALSE
462 1986-04-07 195 1 14 FALSE
463 1986-04-08 100 2 14 FALSE
464 1986-04-09 188 3 14 TRUE
465 1986-04-10 152 4 14 FALSE
466 1986-04-11 288 5 14 FALSE
469 1986-04-14 195 1 15 FALSE
470 1986-04-15 238 2 15 FALSE
472 1986-04-17 291 4 15 TRUE
473 1986-04-18 243 5 15 FALSE
476 1986-04-21 148 1 16 FALSE
478 1986-04-23 187 3 16 TRUE
479 1986-04-24 200 4 16 FALSE
480 1986-04-25 239 5 16 FALSE
483 1986-04-28 270 1 17 FALSE
485 1986-04-30 218 3 17 TRUE
487 1986-05-02 138 5 17 FALSE
490 1986-05-05 126 1 18 FALSE
491 1986-05-06 104 2 18 FALSE
492 1986-05-07 288 3 18 TRUE
493 1986-05-08 158 4 18 FALSE
494 1986-05-09 133 5 18 FALSE
498 1986-05-13 203 2 19 FALSE
499 1986-05-14 270 3 19 TRUE
501 1986-05-16 211 5 19 FALSE
505 1986-05-20 194 2 20 FALSE
506 1986-05-21 294 3 20 TRUE
507 1986-05-22 180 4 20 FALSE
508 1986-05-23 270 5 20 FALSE
511 1986-05-26 275 1 21 FALSE
513 1986-05-28 101 3 21 TRUE
514 1986-05-29 246 4 21 FALSE
515 1986-05-30 244 5 21 FALSE
518 1986-06-02 208 1 22 FALSE
519 1986-06-03 167 2 22 FALSE
520 1986-06-04 228 3 22 TRUE
521 1986-06-05 266 4 22 FALSE
522 1986-06-06 242 5 22 FALSE
525 1986-06-09 178 1 23 FALSE
526 1986-06-10 286 2 23 FALSE
527 1986-06-11 261 3 23 TRUE
528 1986-06-12 252 4 23 FALSE
532 1986-06-16 105 1 24 FALSE
534 1986-06-18 155 3 24 TRUE
535 1986-06-19 123 4 24 FALSE
536 1986-06-20 108 5 24 FALSE
539 1986-06-23 134 1 25 FALSE
540 1986-06-24 224 2 25 FALSE
541 1986-06-25 179 3 25 TRUE
542 1986-06-26 292 4 25 FALSE
543 1986-06-27 231 5 25 FALSE
547 1986-07-01 300 2 26 FALSE
548 1986-07-02 176 3 26 TRUE
549 1986-07-03 212 4 26 FALSE
550 1986-07-04 247 5 26 FALSE
553 1986-07-07 102 1 27 FALSE
554 1986-07-08 282 2 27 FALSE
555 1986-07-09 254 3 27 TRUE
557 1986-07-11 118 5 27 FALSE
560 1986-07-14 266 1 28 FALSE
561 1986-07-15 231 2 28 FALSE
563 1986-07-17 168 4 28 TRUE
568 1986-07-22 229 2 29 FALSE
569 1986-07-23 156 3 29 TRUE
570 1986-07-24 292 4 29 FALSE
574 1986-07-28 118 1 30 FALSE
575 1986-07-29 266 2 30 FALSE
576 1986-07-30 205 3 30 TRUE
578 1986-08-01 182 5 30 FALSE
581 1986-08-04 169 1 31 FALSE
582 1986-08-05 290 2 31 FALSE
584 1986-08-07 107 4 31 TRUE
585 1986-08-08 219 5 31 FALSE
588 1986-08-11 206 1 32 FALSE
589 1986-08-12 293 2 32 FALSE
590 1986-08-13 242 3 32 TRUE
591 1986-08-14 211 4 32 FALSE
595 1986-08-18 266 1 33 FALSE
596 1986-08-19 230 2 33 FALSE
597 1986-08-20 196 3 33 TRUE
598 1986-08-21 199 4 33 FALSE
599 1986-08-22 176 5 33 FALSE
602 1986-08-25 286 1 34 FALSE
603 1986-08-26 129 2 34 FALSE
604 1986-08-27 250 3 34 TRUE
605 1986-08-28 296 4 34 FALSE
606 1986-08-29 295 5 34 FALSE
609 1986-09-01 291 1 35 FALSE
610 1986-09-02 121 2 35 FALSE
612 1986-09-04 169 4 35 TRUE
618 1986-09-10 168 3 36 TRUE
619 1986-09-11 225 4 36 FALSE
620 1986-09-12 111 5 36 FALSE
624 1986-09-16 127 2 37 FALSE
625 1986-09-17 165 3 37 TRUE
627 1986-09-19 151 5 37 FALSE
630 1986-09-22 288 1 38 FALSE
631 1986-09-23 272 2 38 FALSE
632 1986-09-24 174 3 38 TRUE
633 1986-09-25 163 4 38 FALSE
634 1986-09-26 266 5 38 FALSE
637 1986-09-29 119 1 39 FALSE
638 1986-09-30 113 2 39 FALSE
639 1986-10-01 238 3 39 TRUE
640 1986-10-02 234 4 39 FALSE
644 1986-10-06 140 1 40 FALSE
647 1986-10-09 106 4 40 TRUE
651 1986-10-13 235 1 41 FALSE
652 1986-10-14 269 2 41 FALSE
653 1986-10-15 172 3 41 TRUE
654 1986-10-16 178 4 41 FALSE
655 1986-10-17 214 5 41 FALSE
658 1986-10-20 218 1 42 FALSE
660 1986-10-22 274 3 42 TRUE
661 1986-10-23 174 4 42 FALSE
665 1986-10-27 171 1 43 FALSE
667 1986-10-29 283 3 43 TRUE
669 1986-10-31 174 5 43 FALSE
672 1986-11-03 204 1 44 FALSE
673 1986-11-04 266 2 44 FALSE
674 1986-11-05 205 3 44 TRUE
676 1986-11-07 184 5 44 FALSE
679 1986-11-10 159 1 45 FALSE
680 1986-11-11 155 2 45 FALSE
681 1986-11-12 254 3 45 TRUE
682 1986-11-13 256 4 45 FALSE
686 1986-11-17 201 1 46 FALSE
687 1986-11-18 177 2 46 FALSE
688 1986-11-19 185 3 46 TRUE
690 1986-11-21 284 5 46 FALSE
694 1986-11-25 220 2 47 FALSE
695 1986-11-26 185 3 47 TRUE
696 1986-11-27 212 4 47 FALSE
697 1986-11-28 258 5 47 FALSE
700 1986-12-01 195 1 48 FALSE
701 1986-12-02 286 2 48 FALSE
702 1986-12-03 281 3 48 TRUE
703 1986-12-04 250 4 48 FALSE
704 1986-12-05 235 5 48 FALSE
708 1986-12-09 206 2 49 FALSE
709 1986-12-10 289 3 49 TRUE
710 1986-12-11 243 4 49 FALSE
711 1986-12-12 245 5 49 FALSE
714 1986-12-15 257 1 50 FALSE
715 1986-12-16 188 2 50 FALSE
716 1986-12-17 186 3 50 TRUE
718 1986-12-19 129 5 50 FALSE
721 1986-12-22 100 1 51 FALSE
722 1986-12-23 221 2 51 FALSE
723 1986-12-24 282 3 51 TRUE
724 1986-12-25 242 4 51 FALSE
725 1986-12-26 152 5 51 FALSE
728 1986-12-29 216 1 52 FALSE
729 1986-12-30 186 2 52 FALSE
730 1986-12-31 110 3 52 TRUE
731 1987-01-01 246 4 00 FALSE
732 1987-01-02 210 5 00 FALSE
735 1987-01-05 243 1 01 FALSE
736 1987-01-06 159 2 01 FALSE
738 1987-01-08 266 4 01 TRUE
739 1987-01-09 117 5 01 FALSE
742 1987-01-12 209 1 02 FALSE
743 1987-01-13 222 2 02 FALSE
745 1987-01-15 141 4 02 TRUE
746 1987-01-16 176 5 02 FALSE
749 1987-01-19 124 1 03 FALSE
750 1987-01-20 235 2 03 FALSE
751 1987-01-21 199 3 03 TRUE
752 1987-01-22 281 4 03 FALSE
753 1987-01-23 210 5 03 FALSE
756 1987-01-26 138 1 04 FALSE
757 1987-01-27 187 2 04 FALSE
758 1987-01-28 145 3 04 TRUE
759 1987-01-29 293 4 04 FALSE
760 1987-01-30 190 5 04 FALSE
763 1987-02-02 274 1 05 FALSE
764 1987-02-03 141 2 05 FALSE
765 1987-02-04 135 3 05 TRUE
766 1987-02-05 133 4 05 FALSE
767 1987-02-06 213 5 05 FALSE
770 1987-02-09 242 1 06 FALSE
771 1987-02-10 195 2 06 FALSE
772 1987-02-11 264 3 06 TRUE
773 1987-02-12 103 4 06 FALSE
774 1987-02-13 300 5 06 FALSE
777 1987-02-16 105 1 07 FALSE
778 1987-02-17 251 2 07 FALSE
779 1987-02-18 141 3 07 TRUE
780 1987-02-19 300 4 07 FALSE
781 1987-02-20 282 5 07 FALSE
784 1987-02-23 194 1 08 FALSE
785 1987-02-24 273 2 08 FALSE
786 1987-02-25 133 3 08 TRUE
787 1987-02-26 224 4 08 FALSE
788 1987-02-27 158 5 08 FALSE
791 1987-03-02 135 1 09 FALSE
792 1987-03-03 111 2 09 FALSE
793 1987-03-04 289 3 09 TRUE
795 1987-03-06 204 5 09 FALSE
799 1987-03-10 262 2 10 FALSE
800 1987-03-11 170 3 10 TRUE
805 1987-03-16 154 1 11 FALSE
806 1987-03-17 236 2 11 FALSE
808 1987-03-19 290 4 11 TRUE
809 1987-03-20 168 5 11 FALSE
812 1987-03-23 177 1 12 FALSE
813 1987-03-24 171 2 12 FALSE
816 1987-03-27 209 5 12 TRUE
819 1987-03-30 148 1 13 FALSE
820 1987-03-31 244 2 13 FALSE
821 1987-04-01 170 3 13 TRUE
822 1987-04-02 211 4 13 FALSE
823 1987-04-03 249 5 13 FALSE
826 1987-04-06 107 1 14 FALSE
827 1987-04-07 144 2 14 FALSE
828 1987-04-08 173 3 14 TRUE
830 1987-04-10 246 5 14 FALSE
833 1987-04-13 269 1 15 FALSE
834 1987-04-14 256 2 15 FALSE
836 1987-04-16 215 4 15 TRUE
837 1987-04-17 115 5 15 FALSE
841 1987-04-21 285 2 16 FALSE
842 1987-04-22 127 3 16 TRUE
843 1987-04-23 147 4 16 FALSE
848 1987-04-28 229 2 17 FALSE
849 1987-04-29 243 3 17 TRUE
850 1987-04-30 170 4 17 FALSE
851 1987-05-01 290 5 17 FALSE
854 1987-05-04 297 1 18 FALSE
855 1987-05-05 143 2 18 FALSE
856 1987-05-06 107 3 18 TRUE
861 1987-05-11 104 1 19 FALSE
862 1987-05-12 153 2 19 FALSE
863 1987-05-13 239 3 19 TRUE
864 1987-05-14 106 4 19 FALSE
865 1987-05-15 112 5 19 FALSE
868 1987-05-18 226 1 20 FALSE
869 1987-05-19 245 2 20 FALSE
870 1987-05-20 115 3 20 TRUE
871 1987-05-21 184 4 20 FALSE
872 1987-05-22 295 5 20 FALSE
876 1987-05-26 102 2 21 FALSE
878 1987-05-28 191 4 21 TRUE
879 1987-05-29 248 5 21 FALSE
882 1987-06-01 289 1 22 FALSE
883 1987-06-02 293 2 22 FALSE
884 1987-06-03 280 3 22 TRUE
885 1987-06-04 199 4 22 FALSE
886 1987-06-05 257 5 22 FALSE
889 1987-06-08 216 1 23 FALSE
890 1987-06-09 166 2 23 FALSE
891 1987-06-10 100 3 23 TRUE
892 1987-06-11 113 4 23 FALSE
893 1987-06-12 117 5 23 FALSE
896 1987-06-15 123 1 24 FALSE
898 1987-06-17 107 3 24 TRUE
899 1987-06-18 101 4 24 FALSE
900 1987-06-19 132 5 24 FALSE
903 1987-06-22 154 1 25 FALSE
904 1987-06-23 137 2 25 FALSE
905 1987-06-24 145 3 25 TRUE
906 1987-06-25 112 4 25 FALSE
907 1987-06-26 112 5 25 FALSE
910 1987-06-29 108 1 26 FALSE
911 1987-06-30 205 2 26 FALSE
912 1987-07-01 258 3 26 TRUE
913 1987-07-02 239 4 26 FALSE
914 1987-07-03 113 5 26 FALSE
917 1987-07-06 131 1 27 FALSE
918 1987-07-07 244 2 27 FALSE
919 1987-07-08 241 3 27 TRUE
920 1987-07-09 277 4 27 FALSE
921 1987-07-10 165 5 27 FALSE
925 1987-07-14 279 2 28 FALSE
926 1987-07-15 265 3 28 TRUE
927 1987-07-16 245 4 28 FALSE
928 1987-07-17 158 5 28 FALSE
932 1987-07-21 286 2 29 FALSE
933 1987-07-22 148 3 29 TRUE
935 1987-07-24 247 5 29 FALSE
938 1987-07-27 193 1 30 FALSE
939 1987-07-28 272 2 30 FALSE
941 1987-07-30 141 4 30 TRUE
945 1987-08-03 191 1 31 FALSE
946 1987-08-04 183 2 31 FALSE
947 1987-08-05 234 3 31 TRUE
952 1987-08-10 135 1 32 FALSE
953 1987-08-11 229 2 32 FALSE
954 1987-08-12 275 3 32 TRUE
956 1987-08-14 152 5 32 FALSE
959 1987-08-17 198 1 33 FALSE
961 1987-08-19 172 3 33 TRUE
962 1987-08-20 188 4 33 FALSE
963 1987-08-21 125 5 33 FALSE
966 1987-08-24 148 1 34 FALSE
967 1987-08-25 172 2 34 FALSE
968 1987-08-26 279 3 34 TRUE
970 1987-08-28 247 5 34 FALSE
974 1987-09-01 293 2 35 FALSE
977 1987-09-04 104 5 35 TRUE
980 1987-09-07 261 1 36 FALSE
981 1987-09-08 127 2 36 FALSE
982 1987-09-09 132 3 36 TRUE
983 1987-09-10 298 4 36 FALSE
984 1987-09-11 180 5 36 FALSE
987 1987-09-14 209 1 37 FALSE
988 1987-09-15 165 2 37 FALSE
989 1987-09-16 300 3 37 TRUE
991 1987-09-18 126 5 37 FALSE
994 1987-09-21 140 1 38 FALSE
995 1987-09-22 126 2 38 FALSE
997 1987-09-24 227 4 38 TRUE
998 1987-09-25 156 5 38 FALSE
>
解决方案2
0 已采纳 2015-10-28 01:21:04
您可以使用以下功能进行此操作。 评论应说明其工作原理（如果不清楚，请评论）。
WedOrNext <- function(w) {
# find all the weekdays after Tuesday and before Saturday
iwd <- .indexwday(w)
i <- iwd > 2 & iwd < 6
# determine which row to return
if (any(i)) {
# return the first weekday after Tuesday
w[i][1L]
} else {
# return NA if there are no weekdays after Tuesday
NA
}
}
现在你可以使用split破坏你的数据为每周块， lapply到应用WedOrNext功能，每个块，然后do.call(rbind, ...)把它全部重新走到一起。 使用下面提供的数据，下面的代码演示了在星期二之后如果没有数据将发生的情况。
# run on your original object
x <- structure(c(200.764, 202.502, 202.683, 204.642, 206.051, 207.702, 207.63,
207.585, 207.843, 209.723, 212.843), .Dim = c(11L, 1L),
index = structure(c(484185600, 484272000, 484358400, 484444800, 484531200,
484790400, 484876800, 484963200, 485049600, 485136000, 485395200),
tzone = "UTC", tclass = "Date"), class = c("xts", "zoo"),
.indexCLASS = "Date", tclass = "Date", .indexTZ = "UTC", tzone = "UTC")
# The last week has no data after Tuesday, so it's not represented
do.call(rbind, lapply(split(x, "weeks"), WedOrNext))
# [,1]
# 1985-05-08 202.683
# 1985-05-15 207.585
如果周三没有数据，它将执行以下操作。
y <- structure(c(200.764, 202.502, 202.683, 204.642, 206.051, 207.702, 207.63,
207.585, 207.843, 209.723, 212.843, 200, 201, 202), class = c("xts", "zoo"),
.Dim = c(14L, 1L), index = structure(c(484185600, 484272000, 484358400,
484444800, 484531200, 484790400, 484876800, 484963200, 485049600, 485136000,
485395200, 485481600, 485654400, 485740800), tzone = "UTC", tclass = "Date"),
.indexCLASS = "Date", .indexTZ = "UTC", tclass = "Date", tzone = "UTC")
do.call(rbind, lapply(split(y, "weeks"), WedOrNext))
# [,1]
# 1985-05-08 202.683
# 1985-05-15 207.585
# 1985-05-23 201.000
从每日时间序列转换为每周时间序列时，R apply.weekly（）返回不正确的时间段
[英]R apply.weekly() returns incorrect period when converting from daily to weekly time-series
如何从 R 中的每日收益计算历史月波动率？
[英]How to calculate the historical monthly volatility from daily returns in R?
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