convert a daily series into weekly changing the index to fridays in all weeks regardless of the true date

StackOverflow https://stackoverflow.com/questions/19323446

  •  30-06-2022
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Вопрос

I'm trying to convert a daily series into a weekly one ending on Fridays. There are missing values for each series and therefore merge function leave some NAs. I have tried with na.locf and to.weekly but didn't work for me. I'm creating a weekly date object containg all fridays in that period and, because some weeks end on wednesdays or thursdays for some series, I can't match those indexes.

Ideally I would like to overwrite the date of the last value in those weeks not ending on fridays.

library(quantmod)
library(xts)

TickerL <- c("ABE.MC", "FNC.MI", "ENI.MI")

getSymbols(TickerL,from = "2000-01-01")

pr <- list(ABE.MC[,4], FNC.MI[,4], ENI.MI[,4])

w.dates <- seq(from=min(index(ABE.MC)),to=max(index(ABE.MC)), by='days') 
w.dates <- w.dates[.indexwday(as.xts(w.dates))==5] 
if (max(index(ABE.MC)) > max(w.dates)) w.dates <- c(w.dates,seq(last(w.dates),by='weeks',length.out=2)[2])

pr2 <- lapply(pr, function(x) do.call(rbind, lapply(split(x, "weeks"), last)))

pr3 <- do.call(merge, pr2)
Это было полезно?

Решение

Thanks to @G. Grothendieck the function nextfriin the zoo package vignette did the trick!

# given a Date, x, return the Date of the next Friday
nextfri <- function(x) 7 * ceiling(as.numeric(x - 1)/7) + as.Date(1)

pr2 <- lapply(pr, function(x) x <- do.call(rbind, lapply(split(x, "weeks"), last))
                    index(x) <- nextfri(index(x))
                    x
)

pr3 <- do.call(merge, pr2)
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