I want to merge three xts objects together with cbind:
> OIH.tmp <-
structure(c(NA, 7.7, 5.1, -6.9, -2.6), index = structure(c(1325221200,
1327986000, 1330491600, 1333080000, 1334894400), tzone = "", tclass = "yearmon"),
tclass = "Date", tzone = "", src = "yahoo", updated = structure(1335041586.83363,
class = c("POSIXct", "POSIXt")), .indexTZ = "", .indexCLASS = "yearmon",
.Dim = c(5L, 1L), .Dimnames = list(NULL, "OIH"), class = c("xts", "zoo"))
> SMH.tmp <-
structure(c(NA, 9.3, 2.9, 3.7, -5), index = structure(c(1325134800,
1327986000, 1330491600, 1333080000, 1334894400), tzone = "", tclass = "yearmon"),
tclass = "Date", tzone = "", src = "yahoo", updated = structure(1335041596.41175,
class = c("POSIXct", "POSIXt")), .indexTZ = "", .indexCLASS = "yearmon",
.Dim = c(5L, 1L), .Dimnames = list(NULL, "SMH"), class = c("xts", "zoo"))
> SU.tmp <-
structure(c(NA, -9.4, -6.9, -2.3, -18.1, -22.6, 22.7, -6.1, -4,
18, 4.1, -9.4, -4.7), index = structure(c(1304049600, 1306814400,
1309406400, 1311912000, 1314763200, 1317355200, 1320033600, 1322629200,
1325221200, 1327986000, 1330491600, 1333080000, 1334894400), tzone = "",
tclass = "yearmon"), tclass = "Date", tzone = "", src = "yahoo",
updated = structure(1335041613.0055, class = c("POSIXct", "POSIXt")),
.indexTZ = "", .indexCLASS = "yearmon", .Dim = c(13L, 1L),
.Dimnames = list(NULL, "SU"), class = c("xts", "zoo"))
> cbind(OIH.tmp, SU.tmp, SMH.tmp)
OIH SU SMH
Apr 2011 NA NA NA
May 2011 NA -9.4 NA
Jun 2011 NA -6.9 NA
Jul 2011 NA -2.3 NA
Aug 2011 NA -18.1 NA
Sep 2011 NA -22.6 NA
Oct 2011 NA 22.7 NA
Nov 2011 NA -6.1 NA
Dec 2011 NA NA NA
Dec 2011 NA -4.0 NA
Jan 2012 7.7 18.0 9.3
Feb 2012 5.1 4.1 2.9
Mar 2012 -6.9 -9.4 3.7
Apr 2012 -2.6 -4.7 -5.0
Notice that there is an additional/duplicate row for Dec 2011, which I don’t want. I can think of messy ways to achieve my end goal (here) but I’m sure there must be something more simple/elegant – merge by the index of one object perhaps. This seems simple enough but I’ve read through documentation for cbind and merge and have not found a simple solution.
I actually have a series of objects that I want to combine/merge. I just used the 3 you see here to illustrate the problem. I actually use the following command to construct the return series:
oneMonthReturn <- do.call(merge, lapply(tickers.tmp, function(x)
round(ROC(Cl(to.monthly(get(x, myEnv))),1) * 100, 1) ))
> dput(tickers.tmp)
c("DJI", "GSPC", "IXIC", "GSPTSE", "XLE", "OIH", "XOP", "XLI",
"XLB", "XLF", "XRT", "XLK", "SMH", "XLY", "XLP", "XLU", "XLV",
"PPH", "MOO", "GLD", "SLV", "GDX", "TLT", "X", "SU", "TCK", "ACHN",
"IDIX", "AGU")
> dput(oneMonthReturn)
structure(c(NA, -1.9, -1.2, -2.2, -4.5, -6.2, 9.1, 0.8, NA, 1.4,
3.3, 2.5, 2, -1.4, NA, -1.4, -1.8, -2.2, -5.8, -7.4, 10.2, -0.5,
NA, 0.8, 4.3, 4, 3.1, -2.1, NA, -1.3, -2.2, -0.6, -6.6, -6.6,
10.6, -2.4, NA, -0.6, 7.7, 5.3, 4.1, -3, NA, -1, -3.7, -2.7,
-1.4, -9.4, 5.3, -0.4, NA, -2.1, 4.1, 1.5, -2, -2, NA, -4.3,
-2.3, 1.4, -10.8, -16, 17.5, 1.7, NA, -2.5, 2.2, 5.8, -4.3, -4,
NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, 7.7, 5.1, -6.9, -2.6,
NA, -4.5, -3.5, 5.7, -14.8, -22.5, 22.8, 2.4, NA, -4.6, 3.5,
8.3, -4.1, -7.7, NA, -2.8, -1, -7.1, -6.8, -10.3, 13.4, 1.4,
NA, -0.4, 7.1, 2.8, 0.5, -1.8, NA, -2.8, -1, -3.5, -7.3, -18.5,
16, 0.2, NA, -3, 10.4, -0.6, 0, -1.3, NA, -3.4, -3.1, -3.6, -10.1,
-12.5, 13.4, -5.2, NA, 1.5, 7.8, 4.9, 6.8, -3.9, NA, 1.5, -1.4,
-0.2, -7.1, -7.1, 12.9, -1.3, NA, 1.3, 4.8, 6.5, 3.9, -0.5, NA,
-1.1, -2.9, 0.4, -5.5, -3.5, 9.7, -1.5, NA, -0.7, 6, 6.9, 4.1,
-3, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, 9.3, 2.9, 3.7, -5,
NA, -0.3, -0.6, -1.4, -5.4, -7.5, 11.3, -0.7, NA, 0.7, 5.7, 4.4,
4.3, -1, NA, 2.5, -3.4, -1.3, 0.2, -4.1, 4.5, 2.7, NA, 1.8, -1.4,
3.7, 2.5, 0.7, NA, 2.1, -1.2, -0.9, 2.1, -0.8, 3.6, 1, NA, 2.2,
-3.7, 0.6, 0.4, -0.1, NA, 2.4, -1.6, -4, -2.1, -5.1, 5.6, 0.9,
NA, 2.4, 3.1, 1.1, 3.9, -0.9, NA, NA, NA, NA, NA, NA, NA, NA,
NA, NA, 0, 2.5, 3, 0.2, NA, -2.4, -3.1, 0.6, -3.6, -18.9, 14.6,
-1.6, NA, -4.4, 8.5, 2.5, 0.4, -1.5, NA, -1.8, -2.5, 8.1, 11.6,
-11.7, 5.7, 1.7, NA, -11.3, 10.8, -3, -1.3, -1.6, NA, -22.1,
-10.5, 13.8, 4, -33.6, 14.6, -4.4, NA, -17.2, 18.1, 3.9, -6.7,
-2, NA, -6.7, -6.3, 4.1, 9.9, -12.9, 6.4, 2.7, NA, -16.1, 9.3,
-1.9, -11.2, -7.2, NA, 2.9, -2.7, 4, 8.9, 12.1, -4.2, 1.7, NA,
2.8, -0.3, -2.9, -4.6, 4.2, NA, -3.4, -0.2, -14.1, -28.4, -31.3,
14.2, 7.4, NA, -3.1, 13.2, -10.4, 7.6, -1.3, NA, -9.4, -6.9,
-2.3, -18.1, -22.6, 22.7, -6.1, NA, -4, 18, 4.1, -9.4, -4.7,
NA, -3.1, -3.5, -2.6, -10.9, -41.8, 31.8, -9.4, NA, -3.6, 18.4,
-5.7, -11.4, 3.5, NA, 29.4, -0.7, -0.4, -18.8, -26.3, 29.2, 5.1,
NA, 13.6, 37.5, -5.5, -9.2, -14.6, NA, -6.7, 5.1, 29, -14, -15.2,
18.4, 23.6, NA, -2, 58.6, -12.8, -18.5, -16.9, NA, -2.7, -0.3,
-0.4, -1.6, -25.4, 21.1, -16.2, NA, -4.2, 17.9, 5.9, 1.4, 0.2
), .Dim = c(14L, 29L), .Dimnames = list(NULL, c("DJI", "GSPC",
"IXIC", "GSPTSE", "XLE", "OIH", "XOP", "XLI", "XLB", "XLF", "XRT",
"XLK", "SMH", "XLY", "XLP", "XLU", "XLV", "PPH", "MOO", "GLD",
"SLV", "GDX", "TLT", "X", "SU", "TCK", "ACHN", "IDIX", "AGU")), index = structure(c(1304049600,
1306814400, 1309406400, 1311912000, 1314763200, 1317355200, 1320033600,
1322629200, 1325134800, 1325221200, 1327986000, 1330491600, 1333080000,
1334894400), tzone = "", tclass = "yearmon"), .indexTZ = "", .indexCLASS = "yearmon", tclass = c("POSIXct",
"POSIXt"), tzone = "", src = "yahoo", updated = structure(1335041583.80238, class = c("POSIXct",
"POSIXt")), class = c("xts", "zoo"))
Appreciate the help.
The issue with your call to
to.monthly, not withmerge.xts(as I originally thought). This solution will not work with the version of xts currently on CRAN, but it will work with revision 613 or greater from R-forge.The problem arises because
to.monthlyaligns the series on the last time of the period in the actual index, not the theoretical last time of the period; and it does not drop the time component of the index by default. In your case, the last time of 2011-12 is 2011-12-29 forSMHand 2011-12-30 for the other two objects.If you set
drop.time=TRUE(again this only current works with the R-forge version of xts), the results are as you expect: