| TimeSeriesClass {fCalendar} | R Documentation |
A collection and description of functions
and methods dealing with regular and irregular
'timeSeries' objects. Dates and times are
implemented as 'timeDate' objects. Included
are functions and methods for the generation
and representation of 'timeSeries' objects,
and for mathematical operations.
Functions to generate and modify 'timeSeries' objects:
timeSeries | Creates a 'timeSeries' object from scratch, |
readSeries | Reads a 'timeSeries' from a spreadsheet file, |
returnSeries | Computes returns from a 'timeSeries' object, |
durationSeries | Computes durations from a 'timeSeries' object, |
midquoteSeries | Computes mid quotes from a 'timeSeries' object, |
spreadSeries | Computes spreads from a 'timeSeries' object, |
applySeries | Applies a function to margins of a 'timeSeries', |
orderStatistics | Computes order statistic of a 'timeSeries'. |
Data Slot and classification of 'timeSeries' objects:
seriesData | Extracts data slot from a 'timeSeries', |
isUnivariate | Tests if a 'timeSeries' object is univariate, |
isMultivariate | Tests if a 'timeSeries' object is multivariate. |
Functions to print and plot 'timeSeries' objects:
print.timeSeries | S3: Print method for a 'timeSeries' object, |
summary.timeSeries | S3: Summary method for a 'timeSeries' object, |
plot.timeSeries | S3: Plot method for a 'timeSeries' object, |
lines.timeSeries | S3: Lines method for a 'timeSeries' object, |
points.timeSeries | S3: Points method for a 'timeSeries' object. |
Special Functions for daily 'timeSeries' objects:
dummyDailySeries | Creates a dummy daily 'timeSeries' object, |
alignDailySeries | Aligns a daily 'timeSeries' to new positions, |
ohlcDailyPlot | Plots open high low close bar chart. |
timeSeries(data, charvec, units = NULL, format = NULL, zone = myFinCenter,
FinCenter = myFinCenter, recordIDs = data.frame(), title = NULL,
documentation = NULL, ...)
readSeries(file, header = TRUE, sep = ";", zone = myFinCenter,
FinCenter = myFinCenter, title = NULL, documentation = NULL, ...)
returnSeries(x, type = c("continuous", "discrete"), percentage = FALSE,
trim = TRUE, digits = 4, units = NULL)
durationSeries(x, trim = FALSE, units = c("secs", "mins", "hours"))
midquoteSeries(x, which = c("Bid", "Ask"))
spreadSeries(x, which = c("Bid", "Ask"), tickSize = NULL)
applySeries(x, from = NULL, to = NULL, by = c("monthly", "quarterly"),
FUN = colAvgs, units = NULL, format = x@format, zone = x@FinCenter,
FinCenter = x@FinCenter, recordIDs = data.frame(), title = x@title,
documentation = x@documentation, ...)
orderStatistics(x)
seriesData(object)
isUnivariate(x)
isMultivariate(x)
## S3 method for class 'timeSeries':
print(x, recordIDs = FALSE, ...)
## S3 method for class 'timeSeries':
summary(object, ...)
## S3 method for class 'timeSeries':
plot(x, ...)
## S3 method for class 'timeSeries':
lines(x, ...)
## S3 method for class 'timeSeries':
points(x, ...)
dummyDailySeries(x = rnorm(365), units = "X", zone = myFinCenter,
FinCenter = myFinCenter)
alignDailySeries(x, method = c("before", "after", "interp", "fillNA"),
include.weekends = FALSE, units = NULL, zone = myFinCenter,
FinCenter = myFinCenter)
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", ...)
by |
[applySeries] - a character either "monthly" or "quarterly". The
default value is "monthly". Only operative when both arguments
from and to have ther default values NULL.
In this case the function FUN will be applied to monthly or
quarterly periods.
|
charvec |
a character vector of dates and times. |
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. |
data |
a data.frame or a matrix object of numeric data.
|
digits |
[returnSeries] - an integer value. The number of digits to be printed in the output. |
documentation |
optional documentation string, or a vector of character strings. |
file |
the filename of a spreadsheet data set from which to import the data records. |
FinCenter |
a character with the the location of the financial center named as "continent/city". |
header |
a logical value indicating whether the file contains the names of the variables as its first line. If missing, the value is determined from the file format: 'header' is set to 'TRUE' if and only if the first row contains one fewer field than the number of columns. |
format |
the format specification of the input character vector,
[as.timeSeries] - a character string with the format in POSIX notation to be passed to the time series object. |
from, to |
starting date and end date, to must be after from.
|
FUN |
[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. |
tickSize |
[spreadSeries] - the default is NULL to simply compute price changes in original price levels. If ticksize is supplied, the price changes will be divided by the value of inTicksOfSize to compute
price changes in ticks.
|
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 from the row whose position is just after the unmatched
position, or "linear", interpolate linearly between
"before" and "after".
|
object |
[is][seriesData][seriesPositions][summary] -
an object of class timeSeries.
|
percentage |
[returnSeries] - a logical value. By default FALSE, if TRUE the
series will be expressed in percentage changes.
|
recordIDs |
a data frame which can be used for record identification
information. [print] - a logical value. Should the recordIDs printed together
with the data matrix and time series positions?
|
sep |
[readSeries] - the field seperator used in the spreadsheet file to separate columns. |
title |
an optional title string, if not specified the inputs data name is deparsed. |
trim |
[diffSeries][returnSeries] - a logical value. By default TRUE, the first missing
observation in the return series will be removed.
|
type |
[returnSeries] - a character string specifying how to compute the returns. Valid choices are: continuous and discrete. For the
default type="continuous", the returns are calculated as
the logarithmic differences, otherwise if type="discrete",
the returns are calculated as percentage changes.
|
units |
[applySeries][lag][allignDailySeries][returnSeries][mergeSeries] - 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.
[durationSeries] - a character value or vector which allows to set the units in which the durations are measured. By default durations are measured in seconds. [ohlcDailyPlot] - a numeric value, specifying in which multiples the volume should be referenced on the plot labels. By default 1e6, i.e. in units of 1 Million. |
volume |
[ohlcDailyPlot] - a logigical value. Should a volume plot added to the OHLC Plot. By default TRUE.
|
which |
[midquoteSeries][spreadSeries] - a vector with two character strings naming the column names of the time series from which to compute the mid quotes and spreads. By default these are bid and ask prices with column names c("Bid", "Ask").
|
x |
[as] - a matrix type object to be converted.[as.vector][as.matrix][as.data.frame] - [applySeries] - [cut][end][mergeSeries][plot][print][rev][start] - 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. |
Generation of Time Series Objects:
We have defined a timeSeries class which is in many aspects similar
to the S-Plus class with the same name, but has also some important
differences. The class has seven Slots, the 'Data' slot which holds
the time series data in matrix form, the 'position' slot which holds
the time/date as a character vector, the 'format' and 'FinCenter'
slots which are the same as for the 'timeDate' object, the 'units'
slot which holds the column names of the data matrix, and a 'title'
and a 'documentation' slot which hold descriptive character strings.
Date and time is managed in the same way as for timeDate objects.
timeSeries
readSeries
returnSeries
applySeries
return a S4 object of class timeSeries.
orderStatistics
returns ...
seriesData
extracts the @Data slot from a timeSeries object.
Thus, seriesData returns an object of class matrix.
isUnivariate
isMultivariate
returns ...
plot
lines
points
print
plot and print methods for an object of class timeSeries.
These functions were written for Rmetrics users using R and Rmetrics under Microsoft's Windows operating system where timze zones, daylight saving times and holiday calendars are insuffeciently supported.
Diethelm Wuertz for the Rmetrics R-port.
## SOURCE("fCalendar.4A-TimeSeriesClass")
## data - Data Frame:
# Microsoft Data:
MSFT.df = data.frame(matrix(c(
20010326, 57.1250, 57.5000, 55.5625, 56.0625, 31559300,
20010327, 56.0625, 58.5625, 55.8750, 58.2500, 47567800,
20010328, 57.3750, 57.9375, 55.3750, 55.5625, 39340800,
20010329, 55.3750, 57.1875, 54.5625, 55.3750, 43492500,
20010330, 55.7500, 56.1875, 53.8750, 54.6875, 45600800,
20010402, 54.8125, 56.9375, 54.6250, 55.8125, 37962000,
20010403, 55.3125, 55.3125, 52.7500, 53.3750, 47093800,
20010404, 53.3750, 55.0000, 51.0625, 51.9375, 52023300,
20010405, 53.7500, 57.3750, 53.5000, 56.7500, 56682000,
20010406, 56.3750, 57.1875, 55.0625, 56.1875, 46311000,
20010409, 56.5700, 57.4200, 55.6600, 57.1500, 28147800,
20010410, 57.9500, 60.0900, 57.7800, 59.6800, 54599700,
20010411, 60.6500, 61.5000, 59.7000, 60.0400, 54939800,
20010412, 59.5600, 62.3100, 59.3500, 62.1800, 43760000,
20010416, 61.4000, 61.5800, 60.1200, 60.7900, 32928700,
20010417, 60.5200, 62.1100, 60.0400, 61.4800, 42574600,
20010418, 63.3900, 66.3100, 63.0000, 65.4300, 78348200,
20010419, 65.8100, 69.0000, 65.7500, 68.0400, 79687800,
20010420, 70.3000, 71.1000, 68.5000, 69.0000, 96459800,
20010423, 68.1100, 68.4700, 66.9000, 68.2500, 46085600,
20010424, 68.2000, 69.9300, 67.1400, 67.5500, 44588300,
20010425, 67.5700, 69.7900, 67.2500, 69.6900, 38372000,
20010426, 70.0700, 71.0000, 68.2500, 69.1300, 59368800,
20010427, 69.5300, 69.6800, 66.2100, 67.1200, 60786200,
20010430, 68.5300, 69.0600, 67.6800, 67.7500, 37184100,
20010501, 67.6600, 70.3000, 67.6000, 70.1700, 41851400,
20010502, 71.0000, 71.1500, 69.3500, 69.7600, 46432200,
20010503, 69.2500, 70.1800, 68.1400, 68.5300, 33136700,
20010504, 68.0000, 71.0500, 67.9600, 70.7500, 59769200,
20010507, 70.8300, 72.1500, 70.7000, 71.3800, 54678100),
byrow = TRUE, ncol = 6))
colnames(MSFT.df) = c("YYMMDD", "Open", "High", "Low", "Close", "Volume")
# Load Microsoft Data:
myFinCenter <<- "GMT"
MSFT = as.timeSeries(MSFT.df)
head(MSFT)
## timeSeries - Conversion:
# Create a timeSeries Objec - The Direct Way ...
Close = MSFT[, 5]
head(Close)
# From Scratch ...
data = as.matrix(MSFT[, 4])
charvec = rownames(MSFT)
Close = timeSeries(data, charvec, units = "Close")
head(Close)
c(start(Close), end(Close))
## Cut Series -
# Cut out April Data from 2001:
tsApril01 = cut(Close, "2001-04-01", "2001-04-30")
tsApril01
## Return Series -
# Compute Returns:
args(returnSeries)
# Continuous Returns:
returnSeries(tsApril01)
# Discrete Returns:
returnSeries(tsApril01, type = "discrete")
# Don't trim:
returnSeries(tsApril01, trim = FALSE)
# Use Percentage Values:
returnSeries(tsApril01, percentage = TRUE, trim = FALSE)
## Align Daily Series -
# Align with NA:
args(alignDailySeries)
tsRet = returnSeries(tsApril01, trim = TRUE)
GoodFriday(2001)
EasterMonday(2001)
alignDailySeries(tsRet, method = "fillNA", include.weekends = FALSE)
alignDailySeries(tsRet, method = "fillNA", include.weekends = TRUE)
## alignDailySeries -
# Interpolate:
tsRet
alignDailySeries(tsRet, method = "interp", include.weekend = FALSE)
alignDailySeries(tsRet, method = "interp", include.weekend = TRUE)
## applySeries -
# Aggregate weekly:
GoodFriday(2001)
to = timeSequence(from = "2001-04-11", length.out = 3, by = "week")
from = to - 6*24*3600
from
to
applySeries(tsRet, from, to, FUN = sum)