R help - Mar 2011 - Pointwise division of two zoo objects?

Just trying to create returns from prices, and do something like:

returns.z = tail(prices.z,-1)/head(prices.z,-1) - 1  # should be equivalent
to returns = exp(diff(log(prices.z))) - 1

Curiously, I get a zoo object back with zeros everywhere and also with the
index having one fewer element than it should.

Does anyone know how to pointwise divide zoo objects, and what exactly
"/"
is doing?

	[[alternative HTML version deleted]]

Hi,

> returns.z = tail(prices.z,-1)/head(prices.z,-1) - 1  # should be equivalent
> to returns = exp(diff(log(prices.z))) - 1
>
> Curiously, I get a zoo object back with zeros everywhere and also with the
> index having one fewer element than it should.
>
> Does anyone know how to pointwise divide zoo objects, and what exactly
"/"
> is doing?
>
I think any arithmetic operations on zoo objects work on values having the
same indexes. So if

x <- zoo(1:10, 1:10)
y <- zoo(1:10, 11:20)
x/y
# no result as no elements have the same index
y <- zoo(1:10, 6:15)
x/y
# last five elements from x, first five from z

To do your first example, you can use coredata so that one of your obejcts
would be an ordinary vector:

returns.z = tail(prices.z,-1)/coredata(head(prices.z,-1)) - 1

Regards,

Kenn

	[[alternative HTML version deleted]]

On Mon, Mar 14, 2011 at 10:16 PM, Adam Gustafson <amg81 at uw.edu>
wrote:
> Just trying to create returns from prices, and do something like:
>
> returns.z = tail(prices.z,-1)/head(prices.z,-1) - 1 ?# should be equivalent
> to returns = exp(diff(log(prices.z))) - 1
>
> Curiously, I get a zoo object back with zeros everywhere and also with the
> index having one fewer element than it should.
>
> Does anyone know how to pointwise divide zoo objects, and what exactly
"/"
> is doing?
>
Try this:

     diff(x, arithmetic = FALSE) - 1

and see ?diff.zoo




-- 
Statistics & Software Consulting
GKX Group, GKX Associates Inc.
tel: 1-877-GKX-GROUP
email: ggrothendieck at gmail.com