I am trying to convert a time series of daily data (only business days) contained in an xts object into a time series of weekly data. Specifically, I want the resulting time series to contain the end of week entries (meaning last business day of a week) of the original data. I've been trying to achieve this using the function to.weekly of the xts package.
In the discussion regarding another question (Wrong week-ending date using 'to.weekly' function in 'xts' package) the below example code achieved exactly what I need. However, when I run the code, to.weekly uses Mondays as a representative for the weekly data.
I am wondering which global setting might allow me to force to.weekly to use Friday as a week's representative.
Example code:
library(lubridate); library(xts)
test.dates <- seq(as.Date("2000-01-01"),as.Date("2011-10-01"),by='days')
test.dates <- test.dates[wday(test.dates)!=1 & wday(test.dates)!=7] #Remove weekends
test.data <- rnorm(length(test.dates),mean=1,sd=2)
test.xts <- xts(x=test.data,order.by=test.dates)
test.weekly <- to.weekly(test.xts)
test.weekly[wday(test.weekly, label = TRUE, abbr = TRUE) != "Fri"]
test.dates <- test.dates[wday(test.dates)==6]
tail(wday(test.dates, label = TRUE, abbr = TRUE))
#[1] Fri Fri Fri Fri Fri Fri
#Levels: Sun < Mon < Tues < Wed < Thurs < Fri < Sat
OK. With the unstated requirements added to the problem:
require(timeDate)
require(lubridate)
startDate <- as.Date("2000-01-03")
endDate <- as.Date("2011-10-01")
AllDays <- as.timeDate(seq(startDate, endDate, by="day"))
is.wrk <- isBizday(AllDays, holidays = holidayNYSE(), wday = 1:5)
is.wrkdt <- as.Date(names(is.wrk)[is.wrk])
endweeks <- tapply(is.wrkdt, paste(year(is.wrkdt),week(is.wrkdt), sep = ""), max)
head(as.Date(endweeks, origin="1970-01-01"))
# 1 2 3 4 5 6
#"2011-01-06" "2011-01-13" "2011-01-20" "2011-01-27" "2011-02-03" "2011-02-10"
So you want:
as.Date(endweeks, origin="1970-01-01")