I'm trying to merge two xts objects. One is produced using quantmod and the other manually using xts() on a data.frame.
> class(rets.weekly)
[1] "xts" "zoo"
> class(result.weekly.xts)
[1] "xts" "zoo"
> tail(rets.weekly)
ret
2013-03-22 0.002231087
2013-03-26 -0.007846839
2013-04-06 -0.007501789
2013-04-12 0.001569891
2013-04-20 -0.023628035
2013-04-21 0.005055358
> tail(result.weekly.xts)
prediction.date standard.Deviation
2013-03-22 "2013-03-22" "0.01681222"
2013-03-26 "2013-03-26" "0.01578790"
2013-04-06 "2013-04-06" "0.01578170"
2013-04-12 "2013-04-12" "0.01556793"
2013-04-20 "2013-04-20" "0.01504504"
2013-04-21 "2013-04-21" "0.01696417"
> tail(merge.xts(result.weekly.xts , rets.weekly))
prediction.date standard.Deviation ret
2013-04-07 NA NA -0.007501789
2013-04-12 NA 0.01556793 NA
2013-04-13 NA NA 0.001569891
2013-04-20 NA 0.01504504 NA
2013-04-21 NA 0.01696417 -0.023628035
2013-04-22 NA NA 0.005055358
Warning message:
In merge.xts(result.weekly.xts, rets.weekly) : NAs introduced by coercion
> tail(merge.zoo(result.weekly.xts , rets.weekly))
<< R QUIT>>
As you can see, the dates are identical. Both collections are xts objects. The call to merge.xts produced incorrect output. I don't know where these dates are coming from. When attempting to merge using merge.zoo R just quits (blue screen style).
> sessionInfo()
R version 2.15.3 (2013-03-01)
Platform: i386-w64-mingw32/i386 (32-bit)
locale:
[1] LC_COLLATE=Hebrew_Israel.1255 LC_CTYPE=Hebrew_Israel.1255 LC_MONETARY=Hebrew_Israel.1255 LC_NUMERIC=C LC_TIME=Hebrew_Israel.1255
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] quantmod_0.4-0 TTR_0.22-0 xts_0.9-3 zoo_1.7-9 Defaults_1.1-1
loaded via a namespace (and not attached):
[1] grid_2.15.3 lattice_0.20-13 tools_2.15.3
This is a long-standing timezone bug. The timezone is not being passed to an as.Date call where it should be. I submitted a patch for it via e-mail almost a month ago. In xts/R/index.R, line 29:31 which is currently:
if(value[[1]] == "Date")
#return( as.Date(.index(x)/86400) )
return( structure(.index(x) %/% 86400, class="Date"))
should be changed to
if(value[[1]] == "Date")
as.Date(as.POSIXct.numeric(attr(x, "index"), origin=as.Date('1970-01-01')),
tz=indexTZ(x))
Also, xts:::as.POSIXct.numeric should be updated to match base R.