R: Apply Functions Over Time Series Periods

apply {timeSeries}

R Documentation

Apply Functions Over Time Series Periods

Description

Apply a function over time series peridos of arbitrary positons and lengths.

Usage

fapply(x, from, to, FUN, ...)

applySeries(x, from = NULL, to = NULL, by = c("monthly", "quarterly"), 
    FUN = colMeans, units = NULL, format = x@format, zone = x@FinCenter, 
    FinCenter = x@FinCenter, recordIDs = data.frame(), title = x@title,
    documentation = x@documentation, ...)

Arguments

`x`	an object of class `timeSeries`.
`from, to`	starting date and end date as timeDate objects. Note, `to` must be time ordered after `from`. If `from` and `to` are missing in function `fapply` they are set by default to `from=start(x)`, and `to=end(x)`.
`FUN`	the function to be applied. For the function `applySeries` the default setting is `FUN=colMeans`.
`by`	a character value either `"monthly"` or `"quarterly"` used in the function `applySeries`. The default value is `"monthly"`. Only operative when both arguments `from` and `to` have their default values `NULL`. In this case the function `FUN` will be applied to monthly or quarterly periods.
`units`	an optional character string, which allows to overwrite the current column names of a `timeSeries` object. By default `NULL` which means that the column names are selected automatically.
`format`	the format specification of the input character vector in POSIX notation.
`zone`	the time zone or financial center where the data were recorded.
`FinCenter`	a character value with the the location of the financial center named as "continent/city", or "city".
`recordIDs`	a data frame which can be used for record identification information. Note, this is not yet handled by the apply functions, an empty data.frame will be returned.
`title`	an optional title string, if not specified the inputs data name is deparsed.
`documentation`	optional documentation string, or a vector of character strings.
`...`	arguments passed to other methods.

Details

Like apply applies a function to the margins of an array, the function fapply applies a function to the time stamps or signal counts of a financial (therefore the "f" in front of the function name) time series of class 'timeSeries'.

The function fapply inputs a timeSeries object, and if from and to are missing, they take the start and end time stamps of the series as default falues. The function then behaves like apply on the column margin.

Note, the function fapply can be used repetitive in the following sense: If from and to are two timeDate vectors of equal length then for each period spanned by the elelemts of the two vectors the function FUN will be applied to each period. The resulting time stamps, are the time stamps of the to vector. Note, the periods can be regular or irregelar, and they can even overlap.

The function fapply calls the more general function applySeries which also offers, to create automatical monthly and quarterly periods.

Examples

## Percentual Returns of Swiss Bond Index and Performance Index - 
   data(LPP2005REC)
   LPP = 100 * LPP2005REC[, c("SBI", "SPI")]
   head(LPP, 20)
   
## Aggregate Quarterly Returns -
   applySeries(LPP, by = "quarterly", FUN = colSums)
   
## Aggregate Quarterly every last Friday in Quarter -
   oneDay = 24*3600
   from = unique(timeFirstDayInQuarter(time(LPP))) - oneDay
   from = timeLastNdayInMonth(from, nday = 5)
   to = unique(timeLastDayInQuarter(time(LPP)))
   to = timeLastNdayInMonth(to, nday = 5)
   data.frame(from = as.character(from), to = as.character(to))
   applySeries(LPP, from, to, FUN = colSums)
   
## Alternative Use - 
   fapply(LPP, from, to, FUN = colSums)
   
## Count Trading Days per Month - 
   colCounts = function(x) rep(NROW(x), times = NCOL(x))
   applySeries(LPP, FUN = colCounts, by = "monthly")

[Package timeSeries version 2160.95 Index]