makeXTS: Convert a dataframe of returns to xts format.

In gtog/dMisc: A Collection of Helper Functions for Doing Financial Data Analysis

Description

Supposing you have read in a data file that has the first column containing dates followed by subsequent columns of asset returns, this function will convert that dataframe into an xts object suitable for analysis with xts based analysis routines, like PerformanceAnalytics.

Usage

makeXTS(x, format = "%Y-%m-%d", names = colnames(x)[2:ncol(x)])

Arguments

x	a data frame of returns with the first column a date column labeled 'Date'.
format	a recognized date format. Defaults to "Y-m-d" format.
names	a vector of names for each of the columns, excluding the date column. Defaults to the colnames of the dataframe x[2:ncol(x)].

Value

an xts object based on x.

Examples

mydata <- read.csv("mydata.csv",sep = ",")
mydata.xts <- makeXTS(mydata)

gtog/dMisc documentation built on May 17, 2019, 8:57 a.m.