timeSeries (version 280.75)

SpecialDailySeries: Special Daily Time Series

Description

Special daily 'timeSeries' functions. ll{ dummyDailySeries Creates a dummy daily 'timeSeries' object, alignDailySeries Aligns a daily 'timeSeries' to new positions, rollDailySeries Rolls daily a 'timeSeries' on a given period, ohlcDailyPlot Plots open high low close bar chart, dummySeries Creates a dummy monthly 'timeSeries' object}

Usage

dummyDailySeries(x = rnorm(365), units = NULL, zone = "", 
    FinCenter = "")
alignDailySeries(x, method = c("before", "after", "interp", "fillNA"), 
    include.weekends = FALSE, units = NULL, zone = "", 
    FinCenter = "")
rollDailySeries(x, period = "7d", FUN, ...)
ohlcDailyPlot(x, volume = TRUE, colOrder = c(1:5), units = 1e6, 
    xlab = c("Date", "Date"), ylab = c("Price", "Volume"), 
    main = c("O-H-L-C", "Volume"), grid.nx = 7, grid.lty = "solid", ...)

Arguments

colOrder

[ohlcDailyPlot] - an integer vector which gives the order of the prices and the volume in the input object. By default the following order of columns from 1 to 5 is assumed: Open, high, low, close, and volume.

FinCenter

a character with the the location of the financial center named as "continent/city".

FUN

the function to be applied. [applySeries] - a function to use for aggregation, by default colAvgs.

grid.lty, grid.nx

[ohlcDailyPlot] - The type of grid line and the number of grid lines used in the plot.

include.weekends

[alignDailySeries] - a logical value. Should weekend dates be included or removed from the series.

main

[ohlcDailyPlot] - a character string to title the price and volume plot.

method

[alignDailySeries] - the method to be used for the alignment. A character string, one of "before", use the data from the row whose position is just before the unmatched position, or "after", use the data

period

[rollDailySeries] - a character string specifying the rollling period composed by the length of the period and its unit, e.g. "7d" represents one week.

units

[allignDailySeries] - 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 automaticall

volume

[ohlcDailyPlot] - a logigical value. Should a volume plot added to the OHLC Plot. By default TRUE.

x

an object of class timeSeries.

xlab, ylab

[ohlcDailyPlot] - two string vectors to name the x and y axis of the price and volume plot.

zone

the time zone or financial center where the data were recorded.

...

arguments passed to other methods.

Value

• dummyDailySeries creates from a numeric matrix with daily records of unknown dates a timeSeries object with dummy daily dates. alignDailySeries returns from a daily time series with missing holidays a weekly aligned daily timeSeries object rollDailySeries returns an object of class timeSeries with rolling values, computed from the function FUN. ohlcDailyPlot displays a Open-High-Low-Close Plot of daily data records.

Examples

## data - Data Frame:
   # To work with daily data, the best choice is "GMT"
   setRmetricsOptions(myFinCenter = "GMT")
   MSFT = as.timeSeries(data(msft.dat))
   head(MSFT)   
   
    
## Align Daily Series - 
   # Cut out April Data from 2001:
   Close = MSFT[, "Close"]
   tsApril01 = window(Close, "2001-04-01", "2001-04-30") 
   tsApril01    
   # Align with NA:
   tsRet = returns(tsApril01, trim = TRUE)
   GoodFriday(2001)   
   EasterMonday(2001) 
   alignDailySeries(tsRet, method = "fillNA", include.weekends = FALSE)
   alignDailySeries(tsRet, method = "fillNA", include.weekends = TRUE)
   # Interpolate:
   alignDailySeries(tsRet, method = "interp", include.weekend = FALSE)
   alignDailySeries(tsRet, method = "interp", include.weekend = TRUE)
   
## ohlcDailyPlot -
   # ohlcDailyPlot(Close)