Question

我想计算一个xts对象的半年聚合。我以为我可以使用to.period，但输出仍然是xts，每年有4个数据点，而我只想要两个。

data(edhec, package="PerformanceAnalytics")
xts::to.period(edhec[,1],period="quarters",k=2,OHLC=FALSE)

我想修改此to.period函数以包含半年度输出。有什么建议？代码对我来说有点过于复杂。我认为它必须与endpoints有关，这是xts包中的第二个函数。

function (x, period = "months", k = 1, indexAt = NULL, name = NULL, 
OHLC = TRUE, ...) 
{
    if (missing(name)) 
        name <- deparse(substitute(x))
    xo <- x
    x <- try.xts(x)
    if (NROW(x) == 0 || NCOL(x) == 0) 
        stop(sQuote("x"), " contains no data")
    if (any(is.na(x))) {
        x <- na.omit(x)
        warning("missing values removed from data")
    }
    if (!OHLC) {
        xx <- x[endpoints(x, period, k), ]
    }
    else {
        if (!is.null(indexAt)) {
            index_at <- switch(indexAt, startof = TRUE, endof = FALSE, 
                FALSE)
        }
        else index_at <- FALSE
        cnames <- c("Open", "High", "Low", "Close")
        if (has.Vo(x)) 
            cnames <- c(cnames, "Volume")
        if (has.Ad(x) && is.OHLC(x)) 
            cnames <- c(cnames, "Adjusted")
        cnames <- paste(name, cnames, sep = ".")
        if (is.null(name)) 
            cnames <- NULL
        xx <- .Call("toPeriod", x, endpoints(x, period, k), has.Vo(x), 
            has.Vo(x, which = TRUE), has.Ad(x) && is.OHLC(x), 
            index_at, cnames, PACKAGE = "xts")
    }
    if (!is.null(indexAt)) {
        if (indexAt == "yearmon" || indexAt == "yearqtr") 
            indexClass(xx) <- indexAt
        if (indexAt == "firstof") {
            ix <- as.POSIXlt(c(.index(xx)), tz = indexTZ(xx))
            if (period %in% c("years", "months", "quarters", 
                "days")) 
                index(xx) <- firstof(ix$year + 1900, ix$mon + 
                  1)
            else index(xx) <- firstof(ix$year + 1900, ix$mon + 
                1, ix$mday, ix$hour, ix$min, ix$sec)
        }
        if (indexAt == "lastof") {
        ix <- as.POSIXlt(c(.index(xx)), tz = indexTZ(xx))
            if (period %in% c("years", "months", "quarters", 
                "days")) 
                index(xx) <- as.Date(lastof(ix$year + 1900, ix$mon + 
                  1))
            else index(xx) <- lastof(ix$year + 1900, ix$mon + 
                1, ix$mday, ix$hour, ix$min, ix$sec)
        }
    }
    reclass(xx, xo)
}

Answer 1

这看起来像xts::endpoints()中的错误。在period = "months"和k > 1的情况下，endpoints()会进行此调整：

if (k > 1) ep[seq(1, length(ep), k)] else ep

to.period() OHLC = FALSE只有endpoints()的输出对输入对象进行子集化。所以它相当于：

data(edhec, package="PerformanceAnalytics")
ep <- endpoints(edhec[,1], "quarters", 2)
edhec[ep, 2]

查看此错误的修复是否与添加与period = "months"时相同的调整一样简单：

data(edhec, package="PerformanceAnalytics")
ep <- endpoints(edhec[,1], "quarters", 1)
ep <- ep[seq(1, length(ep), 2)]
edhec[ep, 2]

修改to.period以包括＆＃34;半年＆＃34;

1 个答案: