Collapse dates in R

Question

I need to collapse a zoo object in R from daily values to weekly, monthly or yearly. I've tried the to.monthly() etc. approach, but it doesn't seem to do the trick.

The data is organized as follows:

           CARL.B.CO.Adjusted COLOB.CO.Adjusted
2001-03-01             339.70              2.98
2001-03-02             358.57              3.03
2001-03-05             360.46              3.02
2001-03-06             360.46              3.00
2001-03-07             360.46              3.02
2001-03-08             360.46              3.02

It's a matrix containing daily stockprices from Yahoo.finance downloaded through the QuantMod package, and rearranged to use only adjusted close prices. This should be an easy manouvre, but I've spent quite a lot of time googling without any luck.

Thanks in advance.

EDIT:

dput output:

> dput(head(data))
structure(c(339.7, 358.57, 360.46, 360.46, 360.46, 360.46, 2.98, 
3.03, 3.02, 3, 3.02, 3.02), .Dim = c(6L, 2L), .Dimnames = list(
c("2001-03-01", "2001-03-02", "2001-03-05", "2001-03-06", 
"2001-03-07", "2001-03-08"), c("CARL.B.CO.Adjusted", "COLOB.CO.Adjusted"
)), index = structure(c(11382, 11383, 11386, 11387, 11388, 
11389), class = "Date"), class = "zoo")

Code for retrieving data:

GetData <- function(tickers, startdate, enddate, fillforward = TRUE)
            {
                getSymbols(tickers, from=startdate, to = enddate,src="yahoo")
                if (fillforward == TRUE) 
                    {
                        na.locf(zoo(do.call(merge, lapply(tickers, function(x) Ad(get(x))))))
                    }
                else 
                    {
                        do.call(merge, lapply(tickers, function(x) Ad(get(x))))
                    }
            }

I've tried the to.monthly() as proposed here: https://stat.ethz.ch/pipermail/r-sig-finance/2009q1/003704.html

But it won't do the trick when retrieving more than one symbol.

Answer 1

1) aggregate.zoo Assuming that z has a Date class index try this:

library(zoo)
aggregate(z, f, tail, 1)

where function f is one of these:

as.year <- function(x) as.numeric(format(x, "%Y"))

last.date.of.year <- function(x) as.Date(format(x, "%Y-12-31"))

as.yearmon

last.date.of.month <- function(x) as.Date(as.yearmon(x), frac = 1)

nextfri # Date of next Fri or same date if Fri

The nextfri function is a one line function defined in the zoo-quickref vignette.

For example, aggregate(z, nextfri, tail, 1) .

2) period.apply Another approach is to use period.apply in the xts package. See ?period.apply