Hello, everyone!
Assume you have this data:
data <- structure(c(66.609375, 67.09375, 66.40625, 66.734375, 67.109375,
66.875, 66.09375, 65.921875, 66.546875, 66.140625, 66.140625,
65.65625, 65.875, 65.59375, 65.515625, 66.09375, 66.015625, 66.140625,
66.109375, 66.421875, 1702.7, 1647.7, 1649.4, 1639.9, 1696.4,
1710.9, 1690.2, 1677.9, 1694.4, 1713.9, 1713.9, 1705.4, 1708.4,
1692.9, 1689.6, 1647.7, 1654.5, 1651.3, 1645.7, 1602.4, 453.7,
447.8, 446.2, 446.5, 447, 446.8, 448.5, 447.8, 449.2, 449, 449,
453.7, 454.4, 453.4, 453.8, 452.2, 450.7, 450.6, 451.4, 447.5,
18.34, 18.29, 17.65, 17.52, 16.96, 17.41, 18.51, 19.02, 19.43,
20.76, 20.76, 21.59, 22.28, 22.4, 22.63, 22.26, 22.71, 22.27,
21.75, 21.65), .Dim = c(20L, 4L), .Dimnames = list(NULL, c("TY1.lev",
"SP1.lev", "GC1.lev", "CL1.lev")), index =
structure(c(10959,
10960, 10961, 10962, 10963, 10966, 10967, 10968, 10969, 10970,
10973, 10974, 10975, 10976, 10977, 10980, 10981, 10982, 10983,
10984), class = "Date"), class = "zoo")
What I want to do is to calculate simple return on each column (return=P1/P0-1)
and put it in new columns.
I've tried like this:
#convenience function
func <- function(x,z){
a <- embed(x[z, drop=FALSE], 2)[,1]/embed(x[z, drop=FALSE], 2)[,2] - 1
return(a)
}
data <- merge(data, Bond.ret=zoo(apply(data, 2, func, z="TY1.lev"),
order.by=time(data)[-1]))
and I get this:
Error in embed(x[z, drop = FALSE], 2) : wrong embedding dimension
What am I doing wrong?
(Somehow I cannot understand how to work with columns in apply(), with
rows, that is apply(,1,FUN) I have no problem.
Thank you for help,
Sergey
See ?diff.zoo dif <- diff(data, arithmetic = FALSE) - 1 cbind(data, dif) On Wed, Feb 11, 2009 at 6:21 AM, Sergey Goriatchev <sergeyg at gmail.com> wrote:> Hello, everyone! > > Assume you have this data: > data <- structure(c(66.609375, 67.09375, 66.40625, 66.734375, 67.109375, > 66.875, 66.09375, 65.921875, 66.546875, 66.140625, 66.140625, > 65.65625, 65.875, 65.59375, 65.515625, 66.09375, 66.015625, 66.140625, > 66.109375, 66.421875, 1702.7, 1647.7, 1649.4, 1639.9, 1696.4, > 1710.9, 1690.2, 1677.9, 1694.4, 1713.9, 1713.9, 1705.4, 1708.4, > 1692.9, 1689.6, 1647.7, 1654.5, 1651.3, 1645.7, 1602.4, 453.7, > 447.8, 446.2, 446.5, 447, 446.8, 448.5, 447.8, 449.2, 449, 449, > 453.7, 454.4, 453.4, 453.8, 452.2, 450.7, 450.6, 451.4, 447.5, > 18.34, 18.29, 17.65, 17.52, 16.96, 17.41, 18.51, 19.02, 19.43, > 20.76, 20.76, 21.59, 22.28, 22.4, 22.63, 22.26, 22.71, 22.27, > 21.75, 21.65), .Dim = c(20L, 4L), .Dimnames = list(NULL, c("TY1.lev", > "SP1.lev", "GC1.lev", "CL1.lev")), index = structure(c(10959, > 10960, 10961, 10962, 10963, 10966, 10967, 10968, 10969, 10970, > 10973, 10974, 10975, 10976, 10977, 10980, 10981, 10982, 10983, > 10984), class = "Date"), class = "zoo") > > What I want to do is to calculate simple return on each column (return=P1/P0-1) > and put it in new columns. > > I've tried like this: > > #convenience function > func <- function(x,z){ > a <- embed(x[z, drop=FALSE], 2)[,1]/embed(x[z, drop=FALSE], 2)[,2] - 1 > return(a) > } > > data <- merge(data, Bond.ret=zoo(apply(data, 2, func, z="TY1.lev"), > order.by=time(data)[-1])) > > and I get this: > Error in embed(x[z, drop = FALSE], 2) : wrong embedding dimension > > What am I doing wrong? > (Somehow I cannot understand how to work with columns in apply(), with > rows, that is apply(,1,FUN) I have no problem. > > Thank you for help, > Sergey > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >
Sergey Goriatchev wrote:> Hello, everyone! > > Assume you have this data: > data <- structure(c(66.609375, 67.09375, 66.40625, 66.734375, 67.109375, > 66.875, 66.09375, 65.921875, 66.546875, 66.140625, 66.140625, > 65.65625, 65.875, 65.59375, 65.515625, 66.09375, 66.015625, 66.140625, > 66.109375, 66.421875, 1702.7, 1647.7, 1649.4, 1639.9, 1696.4, > 1710.9, 1690.2, 1677.9, 1694.4, 1713.9, 1713.9, 1705.4, 1708.4, > 1692.9, 1689.6, 1647.7, 1654.5, 1651.3, 1645.7, 1602.4, 453.7, > 447.8, 446.2, 446.5, 447, 446.8, 448.5, 447.8, 449.2, 449, 449, > 453.7, 454.4, 453.4, 453.8, 452.2, 450.7, 450.6, 451.4, 447.5, > 18.34, 18.29, 17.65, 17.52, 16.96, 17.41, 18.51, 19.02, 19.43, > 20.76, 20.76, 21.59, 22.28, 22.4, 22.63, 22.26, 22.71, 22.27, > 21.75, 21.65), .Dim = c(20L, 4L), .Dimnames = list(NULL, c("TY1.lev", > "SP1.lev", "GC1.lev", "CL1.lev")), index = structure(c(10959, > 10960, 10961, 10962, 10963, 10966, 10967, 10968, 10969, 10970, > 10973, 10974, 10975, 10976, 10977, 10980, 10981, 10982, 10983, > 10984), class = "Date"), class = "zoo") > > What I want to do is to calculate simple return on each column (return=P1/P0-1) > and put it in new columns. > > I've tried like this: > > #convenience function > func <- function(x,z){ > a <- embed(x[z, drop=FALSE], 2)[,1]/embed(x[z, drop=FALSE], 2)[,2] - 1 > return(a) > } > > data <- merge(data, Bond.ret=zoo(apply(data, 2, func, z="TY1.lev"), > order.by=time(data)[-1])) > > and I get this: > Error in embed(x[z, drop = FALSE], 2) : wrong embedding dimension > > What am I doing wrong? > (Somehow I cannot understand how to work with columns in apply(), with > rows, that is apply(,1,FUN) I have no problem.The immediate problem is that you are missing a comma in x[, z, drop FALSE]. But what was wrong with cbind(data,data/lag(data,-1)-1, suffixes=c("","r")) (except that it adds a "." to the orginal names, I see no way of NOT adding a suffix?) -- O__ ---- Peter Dalgaard ?ster Farimagsgade 5, Entr.B c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K (*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918 ~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907