The class 'timeDate' represents date and time objects.
For the management of chronological objects under R three concepts
are available: The first is the implementation of date and time in R's
chron package neglecting locals, time zones and day light saving
times. This approach is in most cases appropriate for economic time
series. The second approach, available in R's base package implements
the POSIX standard to date and time objects, named
Unfortunately, the representation of these objects is in some cases operating system dependent and especially under MS Windows several problems appeared over the time in the management of time zones and day light saving times. Rmetrics overcomes these difficulties with POSIX objects and introduce a new S4 class of 'timeDate' objects which allow for powerful methods to represent dates and times in different financial centers around the world.
Many of the basic functionalities of these objects are in common
timeDate objects and thus many of your privately
written functions for SPlus/FinMetrics may also be used within the
A major difference is the time zone concept which is replaced by the
"Financial Center" concept. The
FinCenter character variable
specifies where you are living and at which financial center you are
working. With the variable
myFinCenter you can overwrite the
default setting with your personal settings. With the specification
FinCenter your system knows what rules rules for day
light saving times should be applied, what is your holiday calendar,
what is your currency, what are your interest rate conventions.
(Not all specifications are already implemented.) Many other
aspects can be easily accessed when a financial center is named. So we
can distinguish between Frankfurt and Zurich, which both belong to the
same time zone, but differed in DST changes in the eighties and have
different holiday calendars. Futhermore, since the underlying time
refers to "GMT" and DST rules and all other information is available
in local (ASCII) databases, we are sure, that R/Rmetrics delivers with
such a date/time concept on every computer independent of the operating
systemin use, identical results.
Another important feature of the
"timeDate" concept used here is
the fact that we don't rely on American or European ways to write dates.
We use consequently the ISO-8601 standard for date and time notations.
Generation of 'timeDate' Objects
We have defined a
timeDate class which is in many aspects similar
to the S-Plus class with the same name, but has also some important
advantageous differeneces. The S4 class has four Slots, the
slot which holds date and time as 'POSIXct' objects in the standard
ISO-8601 format, the
Dim slot which gives the dimension
of the data object (i.e. its length), the
slot and the
FinCenter slot which holds the name of the financial
center. By default this is the value
Three functions allow to cgenerate date/time objects:
from character vectors,
timeCalendar from date and time atoms,
timeSequence from a "from/to" or from a "from/length" sequence
specification. Note, time zone transformations are easily handled by
timeDate functions which can also take
POSIXt objects as inputs, while transforming them between
financial centers and/or time zones specified by the arguments
FinCenter. Finally the function
current system time in form of a
Tests and Representation of timeDate Objects:
Rmetrics has implemented several methods to represent
timeDate objects. For example, the
print method returns the date/time in square
to distinguish the output from other date and time objects.
On top of the date and
time output the name of the
FinCenter is printed. The summary
method returns a printed report with information about the
timeDate object. Finally, the format methods allows to
transform objects into a ISO conform formatted character strings.
Rmetrics supports methods
to perform many mathematical operations. Included are methods
to extract or
to replace subsets from
to perform arithmetic
Ops generic functions,
to return suitably lagged and iterated differences
to return differences
difftimeDate of two
objects, to concatenate objects, to replicate objects,
to truncate objects using
to extract the first or last entry of a vector,
sort the objects of the elements of a date/time vector, and
to revert 'timeDate' vector objects, among other functions.
Transformation of Objects:
Rmetrics has also functions to transform dat/time objects between
different representations. Included are methods to transform
timeDate objects to character strings, to data frames,
to POSIXct or POSIXlt objects, to
counts. One can extract date/time
atoms from calendar
dates, and the
months atoms from a
Objects can be created for example by calls of the functions
Object of class
a vector of POSIXct dates and times always related to
Object of class
a character string denoting the format specification of
the input Data character vector.
Object of class
a character string with the the location of the
financial center named as "continent/city", or just "city".
signature(object = "timeDate"):
prints an object of class 'timeDate'.
Originally, these functions were written for Rmetrics users using R and Rmetrics under Microsoft's Windows XP operating system where time zones, daylight saving times and holiday calendars are not or insuffeciently supported.
The usage of the Ical Library and the introduction of the FinCenter
concept was originally develloped for R Version 1.5. The
timeSeries objects were added for
R Version 1.8.1. Minor changes were made to adapt the functions
for R Version 1.9.1. As a consequence, newer concepts like the
Date objects were not yet considered and included in this
collection of date and time concepts. With R Version 2.3.0 a major
update has been made adding many new generic functions and renaming
a few already existing functions, please be aware of this.
Note, the date/time conversion from an arbitry time zone to GMT cannot be unique, since date/time objects appear twice during the hour when DST changes and the isdt flag was not recorded. A bookkeeping which takes care if DST is effective or not is not yet included. However, in most applications this is not necessary since the markets are closed on weekends, especially at times when DST usually changes. It is planned for the future to implement the DST supporting this facility.
The ISO-8601 midnight standard has been implemented. Note, that for example "2005-01-01 24:00:00" is accepted as a valid date/time string.
Also available is an automated format recognition, so the user has not longer specify the format string for the most common date/time formats.
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## Examples for Objects of class 'timeDate': ## timeDate - Sys.timeDate() # direct timeDate(Sys.time()) # transformed from "POSIX(c)t" # Local Time in Zurich timeDate(Sys.time(), FinCenter = "Zurich") # Character Vector Strings: dts = c("1989-09-28", "2001-01-15", "2004-08-30", "1990-02-09") dts tms = c( "23:12:55", "10:34:02", "08:30:00", "11:18:23") tms t1 <- timeDate(dts, format = "%Y-%m-%d", FinCenter = "GMT" ) t1 stopifnot(identical(t1, timeDate(dts, FinC = "GMT"))) # auto-format timeDate(dts, format = "%Y-%m-%d", FinCenter = "Europe/Zurich") timeDate(paste(dts, tms), format = "%Y-%m-%d %H:%M:%S", zone = "GMT", FinCenter = "GMT") timeDate(paste(dts, tms), zone = "Europe/Zurich", FinCenter = "Europe/Zurich") timeDate(paste(dts, tms), format = "%Y-%m-%d %H:%M:%S", zone = "GMT", FinCenter = "Europe/Zurich") ## Non Standard Format: timeDate(paste(20:31, "03.2005", sep="."), format = "%d.%m.%Y") # Note, ISO and American Formats are Auto-Detected: timeDate("2004-12-31", FinCenter = "GMT") timeDate("12/11/2004", FinCenter = "GMT") timeDate("1/31/2004") # auto-detect American format ## ... from POSIX?t, and Using NAs: ## lsec <- as.POSIXlt(.leap.seconds) ## lsec[c(2,4:6)] <- NA ## timeDate(lsec) ## dtms <- paste(dts,tms) ## dtms[2:3] <- NA ## timeDate(dtms, FinCenter = "Europe/Zurich") # but in GMT ## timeCalendar - getRmetricsOptions("currentYear") timeCalendar() # 12 months of current year timeCalendar(m = c(9, 1, 8, 2), d = c(28, 15, 30, 9), y = c(1989, 2001, 2004, 1990), FinCenter = "GMT") timeCalendar(m = c(9, 1, 8, 2), d = c(28, 15, 30, 9), y = c(1989, 2001, 2004, 1990), FinCenter = "Europe/Zurich") timeCalendar(h = c(9, 14), min = c(15, 23)) ## timeSequence - timeSequence(from = "2004-03-12", to = "2004-04-11", format = "%Y-%m-%d", FinCenter = "GMT") timeSequence(from = "2004-03-12", to = "2004-04-11", format = "%Y-%m-%d", FinCenter = "Europe/Zurich") ## print | summary | format - tC = timeCalendar() print(tC) summary(tC) format(tC)