使用 R 从 XTS 对象中提取每月第一个工作日的返回值 [英] Pull Return from first business day of the month from XTS object using R

问题描述

我对 R 很陌生，所以如果我在解释这个问题时弄错了任何术语，我深表歉意.

I am very new to R so apologies if I get any of the terminology wrong when I explain this problem.

我在 csv 文件中有一组每日返回数据，我已设法将其转换为 xts 对象.数据格式如下:

I have a set of daily returns data in a csv file that I have managed to convert to an xts object. The data is in the format:

           HighYield..EUR. MSCI.World..EUR.
2002-01-31          0.0144           0.0031    
2002-02-01          0.0056          -0.0132       
2002-02-02          0.0373           0.0356       
2002-02-03         -0.0167          -0.0644      
2002-02-04         -0.0062          -0.0332      
2002-02-05         -0.0874          -0.1112 
...

我想创建一个脚本来查找当月的第一个工作日(从索引中的值范围)，然后创建一个包含这些返回值的新 xts 对象.

I want to create a script that will find the first business day of the month (from the range of values in the index) and then create a new xts object with these returns in it.

例如，在脚本运行后，我会有一个 xts 对象，格式如下:

For example, after the script has run I would have an xts object in the format:

           HighYield..EUR. MSCI.World..EUR.
2002-01-31          0.0144           0.0031    
2002-02-28          0.0011          -0.0112       
2002-03-31          0.0222           0.0224       
2002-04-30         -0.0333          -0.0223      
2002-05-30         -0.0011          -0.0012      
2002-06-30         -0.0888          -0.0967 
...

有人可以帮我吗?如果可能，请解释脚本的每个部分在做什么.

Can someone help me please? and if possible explain what each part of the script is doing.

推荐答案

感谢基础 R 语言的强大功能，您可以在一行中完成:

Thanks to the power of the base R language, you can do this in one line:

 library(xts)
 data(sample_matrix)
 x <- as.xts(sample_matrix)
 do.call(rbind, lapply(split(x, "months"), first))

解释每一步的作用:

 # Split the xts object into a list with an element for each month.
 x1 <- split(x, "months")
 # Loop over the list (x1) and call the first() function on each element.
 # This returns a new list where each element only contains the first observation
 # from each respective element in x1.
 x2 <- lapply(x1, first)
 # Call rbind() with all the elements of x2 as arguments to rbind()
 # Same as rbind(x2[[1]], x2[[2]], ..., x2[[N]])
 x3 <- do.call(rbind, x2)

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