R help - Jan 2008 - zoo object

I have an ordered series of 3 month t-bill rates (annual). I transform
this to a daily series, however, the observations are constructed only
from the dates on which the t-bills were issued, which is every week.

So now I have ordered observations of the daily 'risk-free rate' for
one day every week. I want to expand this zoo object to give a value
for every day, and to do so, copy the previous value to the next date
(which is as yet not in the zoo object).

For example:

head(rf)
 1993-01-01  1993-01-09  1993-01-16  1993-01-23  1993-01-30  1993-02-06
0.007306621 0.007659046 0.007681013 0.007817548 0.007847579 0.007867313

I want to insert values between each of the dates, and copy the
previous value for those days. Any suggestions would be greatly
appreciated. Thanks in anticipation.


Regards,

Vishal Belsare

Create a sequence of dates, dd, spanning the data and
then merge the data with a zero width zoo object
having those dates.  Finally na.locf will fill in the
NAs just generated with the last ocurrence carried forward.

z <- zoo(c(0.007306621, 0.007659046, 0.007681013,
	0.007817548, 0.007847579, 0.007867313),
	as.Date(c("1993-01-01", "1993-01-09",
"1993-01-16",
	"1993-01-23", "1993-01-30", "1993-02-06")))

dd <- seq(min(time(z)), max(time(z)), "day")
na.locf(merge(z, zoo(, dd)))


On Jan 14, 2008 9:02 AM, Vishal Belsare <shoot.spam at gmail.com>
wrote:
> I have an ordered series of 3 month t-bill rates (annual). I transform
> this to a daily series, however, the observations are constructed only
> from the dates on which the t-bills were issued, which is every week.
>
> So now I have ordered observations of the daily 'risk-free rate'
for
> one day every week. I want to expand this zoo object to give a value
> for every day, and to do so, copy the previous value to the next date
> (which is as yet not in the zoo object).
>
> For example:
>
> head(rf)
>  1993-01-01  1993-01-09  1993-01-16  1993-01-23  1993-01-30  1993-02-06
> 0.007306621 0.007659046 0.007681013 0.007817548 0.007847579 0.007867313
>
> I want to insert values between each of the dates, and copy the
> previous value for those days. Any suggestions would be greatly
> appreciated. Thanks in anticipation.
>
>
> Regards,
>
> Vishal Belsare
>
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