combine_time_series: Combine multiple time-series into one data.frame

In alejandro-sotolongo/InvestmentSuite: Investment Asset and Portfolio Time-Series Analysis

Description

Combine multiple time-series into one data.frame

Usage

combine_time_series(
  ...,
  freq,
  trunc_start = TRUE,
  trunc_end = TRUE,
  data_type = c("ret", "price"),
  fill_NA = TRUE,
  input_list = FALSE
)

Arguments

...	time-series to combine
freq	character to represent desired frequency
trunc_start	boolean to truncate at latest inception
trunc_end	boolean to truncate at earliest ending date
data_type	string to specify time-series being combined as returns or prices
fill_NA	boolean to fill missing values, FALSE leaves NAs
input_list	boolean to specify if returns are being entered in list form

Details

This workflow is set up to combine returns or prices. If you have mixed data you'll need to convert to returns or prices before combining. If you are combining return or price data.frames leave the input_list parameter set to FALSE. Otherwise if your return data.frames have already been combined into a list you can pass the list through ..., and set input_list to TRUE. The freq parameter allows you to change the frequency of all the returns to the specified freq.

Examples

data(ETF)
ret_a <- ret[, 1:2]
ret_b <- ret[, c(1, 3)]
ret_c <- ret[, c(1, 4)]
combo_ret <- combine_time_series(ret_a, ret_b, ret_c, freq = 'd')

alejandro-sotolongo/InvestmentSuite documentation built on Jan. 19, 2020, 5:20 p.m.