Question

I have two data frames.
The one consists of three variables, namely “date”, “strike” and “vol” with 20 observations a day, 100 a month and 1200 a year (in trading days), which looks like this

Date         Price       Vol
2008-09-01   20          0.2
2008-09-01   30          0.5
...

So for each month I have certain values for price and vol, ranging from 10 to 40, 0.1 to 0.7, respectively.
The second one includes interpolated values from the first one. So I do not have the date anymore, however small steps for the other variables:

  Price       Vol
   20          0.2
   21          0.21
   22          0.24
   30          0.5

So, while one frame shows values in a discrete time, the other one is more or less of continuous nature.
Now my question: how is it possible to tell R to merge the second data frame into the first one, taking over the dates for the continuous prices/vols between the two discrete ones, to get to something like this:

Date         Price       Vol
2008-09-01   20          0.2
2008-09-01   21          0.21
2008-09-01   22          0.24
...
2008-09-01   30          0.5

I just cannot figure out how to do it. I always ended up with NA values for the dates which are no longer in ascending order.

Thank you very much for your support
Dani

Answer 1

I totally missed the point with the first post. This one does the date. But I agree with Shane that unless some downstream function requires data frames, then a time series is a good idea.

A <- data.frame(date=rep("2001-05-25", 2), price=c(20, 30), vol=c(0.2, 0.5))
B <- data.frame(price=seq(min(A$price), max(A$price), by=1))
C <- merge(A, B, all=TRUE)
index <- which(!is.na(C$vol))
for (i in seq(nrow(A))[-1]) {
    C$date[index[i-1]:index[i]] <- rep(A$date[i-1], A$price[i] - A$price[i-1] + 1)
    C$vol[index[i-1]:index[i]] <- seq(A$vol[i-1], A$vol[i], length=(A$price[i] - A$price[i-1] + 1))
}
ans <- C[, c(2, 1, 3)]

 ans 
         date price  vol
1  2001-05-25    20 0.20
2  2001-05-25    21 0.23
3  2001-05-25    22 0.26
4  2001-05-25    23 0.29
5  2001-05-25    24 0.32
6  2001-05-25    25 0.35
7  2001-05-25    26 0.38
8  2001-05-25    27 0.41
9  2001-05-25    28 0.44
10 2001-05-25    29 0.47
11 2001-05-25    30 0.50