SpecialDailySeries          package:fSeries          R Documentation

_S_p_e_c_i_a_l_D_a_i_l_y_S_e_r_i_e_s

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of special daily timeSeries
     functions.   

       '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.

_U_s_a_g_e:

     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)
     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", ...)

_A_r_g_u_m_e_n_t_s:

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 from the row whose position is just after the unmatched 
          position, or '"linear"', interpolate linearly between 
          '"before"' and '"after"'.  

  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
          automatically. 
           [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'. 

       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. 

_V_a_l_u_e:

     '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.

_A_u_t_h_o_r(_s):

     Diethelm Wuertz for the Rmetrics R-port.

_E_x_a_m_p_l_e_s:

     ## data - Data Frame:
        # To work with daily data, the best choice is "GMT"
        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 = returnSeries(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)

