Question

我正在努力创建一个新变量来捕获给定公司的会计年度（fyear）开始时的股价（prc）。

在数据中，会计年度定义为开始和结束日期，并补充每月股票价格。股票价格基于当月最后一个交易日的价格，因此并不总是在当月最后一天。

例如：由于会计年度从2001年1月1日开始，所以我希望获得2000年12月底的股价。

以下是数据示例：

dt <- data.table(id = rep(c(59328, 61241), each = 36), fyear = c(rep(2001, 
    each = 12), rep(2002, each = 12), rep(2003, each = 12), rep(2001, 
    each = 12), rep(2002, each = 12), rep(2003, each = 12)), 
    fyear_start = as.Date(c(rep("2001-01-01", each = 12), rep("2002-01-01", 
        each = 12), rep("2003-01-01", each = 12), rep("2000-07-01", 
        each = 12), rep("2001-07-01", each = 12), rep("2002-07-01", 
        each = 12))), fyear_end = as.Date(c(rep("2001-12-31", 
        each = 12), rep("2002-12-31", each = 12), rep("2003-12-31", 
        each = 12), rep("2001-06-30", each = 12), rep("2002-06-30", 
        each = 12), rep("2003-06-30", each = 12))), prc_month_end = as.Date(c("2001-01-31", 
        "2001-02-28", "2001-03-30", "2001-04-30", "2001-05-31", 
        "2001-06-29", "2001-07-31", "2001-08-31", "2001-09-28", 
        "2001-10-31", "2001-11-30", "2001-12-31", "2002-01-31", 
        "2002-02-28", "2002-03-28", "2002-04-30", "2002-05-31", 
        "2002-06-28", "2002-07-31", "2002-08-30", "2002-09-30", 
        "2002-10-31", "2002-11-29", "2002-12-31", "2003-01-31", 
        "2003-02-28", "2003-03-31", "2003-04-30", "2003-05-30", 
        "2003-06-30", "2003-07-31", "2003-08-29", "2003-09-30", 
        "2003-10-31", "2003-11-28", "2003-12-31", "2000-07-31", 
        "2000-08-31", "2000-09-29", "2000-10-31", "2000-11-30", 
        "2000-12-29", "2001-01-31", "2001-02-28", "2001-03-30", 
        "2001-04-30", "2001-05-31", "2001-06-29", "2001-07-31", 
        "2001-08-31", "2001-09-28", "2001-10-31", "2001-11-30", 
        "2001-12-31", "2002-01-31", "2002-02-28", "2002-03-28", 
        "2002-04-30", "2002-05-31", "2002-06-28", "2002-07-31", 
        "2002-08-30", "2002-09-30", "2002-10-31", "2002-11-29", 
        "2002-12-31", "2003-01-31", "2003-02-28", "2003-03-31", 
        "2003-04-30", "2003-05-30", "2003-06-30")), prc = c(37, 
        28.56, 26.31, 30.91, 27.01, 29.25, 29.81, 27.96, 20.44, 
        24.42, 32.66, 31.45, 35.04, 28.55, 30.41, 28.61, 27.62, 
        18.27, 18.79, 16.67, 13.89, 17.3, 20.88, 15.57, 15.7, 
        17.26, 16.28, 18.37, 20.82, 20.81, 24.89, 28.59, 27.52, 
        32.95, 33.54, 32.05, 24.6, 21.5, 26.54, 31, 28.25, 28.9, 
        18.26, 13.55, 8.15, 9.84, 13.56, 15.86, 16.05, 13.5, 
        14.71, 11.18, 11.43, 9.72, 8.03, 8.85, 5.34, 6.14, 9, 
        6.46, 5.24, 5.49, 6.18, 7.44, 7.28, 6.41, 7.3, 11.29, 
        11.11, 15.2, 17.97, 14.9))

前三行：

       id fyear fyear_start  fyear_end prc_month_end   prc
 1: 59328  2001  2001-01-01 2001-12-31    2001-01-31 37.00
 2: 59328  2001  2001-01-01 2001-12-31    2001-02-28 28.56
 3: 59328  2001  2001-01-01 2001-12-31    2001-03-30 26.31

我已阅读以下文章以获取指导，但没有得到预期的结果。

How to loop lapply to create LAG terms over multiple variables in R
- 使用thelatemail的解决方案，我可以使股价滞后。但是，它采用的是上个月的股价，而没有考虑会计年度。
```
vars <- c("prc")
rpv <- rep(1:2, each=length(vars))
dt_test <- dt[, paste(vars, "lag", rpv, sep="_") := Map(shift, .SD, rpv), by=id, .SDcols=vars]
```
How to create lag variables
- 与上述相同，滞后可变股票价格基于上个月。
Create lead and lag variables in R
- 与上述相同，滞后可变股票价格基于上个月。

不能使用data.table的.SD [1] /。N语句，因为它返回会计年度的第一个月/最后一个月，而不是上一个会计年度的最后一个月。

是否有办法在一个会计年度内返回上一会计年度的最后一个月度股票价格？

所需结果如下：

output <- data.table(id = rep(c(59328, 61241), each = 3), fyear = c(2001, 
    2002, 2003, 2001, 2002, 2003), fyear_start = as.Date(c("2001-01-01", 
    "2002-01-01", "2003-01-01", "2000-07-01", "2001-07-01", "2002-07-01")), 
    fyear_end = as.Date(c("2001-12-31", "2002-12-31", "2003-12-31", 
        "2001-06-30", "2002-06-30", "2003-06-30")), begin_prc = c(NA, 
        31.45, 15.57, NA, 15.86, 6.46))

      id fyear fyear_start  fyear_end begin_prc
1: 59328  2001  2001-01-01 2001-12-31        NA
2: 59328  2002  2002-01-01 2002-12-31     31.45
3: 59328  2003  2003-01-01 2003-12-31     15.57
4: 61241  2001  2000-07-01 2001-06-30        NA
5: 61241  2002  2001-07-01 2002-06-30     15.86
6: 61241  2003  2002-07-01 2003-06-30      6.46

希望您能提供一些帮助。预先感谢。

Answer 1

是否有办法在一个会计年度内返回上一会计年度的最后一个月度股票价格？

out = unique(dt[, .(id, fyear, fyear_start, fyear_end)])

out[, prc_end := {
  dt[.(id = .SD$id, prc_month_end = .SD$fyear_start - 1L), on=.(id, prc_month_end), roll=TRUE, x.prc]
}]

      id fyear fyear_start  fyear_end prc_end
1: 59328  2001  2001-01-01 2001-12-31      NA
2: 59328  2002  2002-01-01 2002-12-31   31.45
3: 59328  2003  2003-01-01 2003-12-31   15.57
4: 61241  2001  2000-07-01 2001-06-30      NA
5: 61241  2002  2001-07-01 2002-06-30   15.86
6: 61241  2003  2002-07-01 2003-06-30    6.46

这是滚动更新连接：对于表out的行

使用.(id, fyear_start - 1)（数据的子集）构建查找向量.SD = out
查找dt行，将最后一个向量fyear_start - 1“滚动”到最近的较早日期
从x.prc的{{1}}列中获取prc的匹配值

符号dt来自x.*连接/查找语法。有关更多详细信息，请参见x[i]。

Answer 2

这适用于您的示例，但是您需要仔细检查逻辑-对我来说有点琐。我将在稍后重访并仔细考虑。希望这可以帮助您入门！

dt[, test := (shift(fyear_start, -1) - prc_month_end) > 0, by = id]
out <- dt[test == T | is.na(test)][, prc := shift(prc, 1), by = id]
out[, c("test", "prc_month_end") := NULL]

dt
      id fyear fyear_start  fyear_end   prc
1: 59328  2001  2001-01-01 2001-12-31    NA
2: 59328  2002  2002-01-01 2002-12-31 31.45
3: 59328  2003  2003-01-01 2003-12-31 15.57
4: 61241  2001  2000-07-01 2001-06-30    NA
5: 61241  2002  2001-07-01 2002-06-30 15.86
6: 61241  2003  2002-07-01 2003-06-30  6.46

使用条件创建滞后变量并按ID分组

2 个答案: