[R] How to do operations on zoo/xts objects with Monthly and Daily periodicities

thierrydb thierrydb at gmail.com
Thu Oct 6 14:15:58 CEST 2011


Thanks for your suggestion Gabor, it has helped me in my developments during
the last few months.
 
I'm now trying to go further by being able to do the following:

I have a collection of xts time series that are spaced in different ways
(weekdays only, monthly, quarterly etc.). Is there an efficient 'R' way to
transform these time series at will into daily time series (all days, using
locf), in order to do simple arithmetical operations?

Additionally, is there a way to overload arithmetical operators to obtain
the following result:

If SPX is the 5 days time series for the S&P500
If GDP is the monthly calculation for the GDP

SPX/GDP would give me a daily time series (all days) containing the ratio of
the S&P500 by the GDP? (I know this example does not make a lot of sense) 


Thanks,

TDB

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