fit.data.cast: fit.data.cast

In rogerjbos/fit.factor.models: Factor models for attribution and risk

Description

Function to create a data.table (wide format) from a column of long format, uses reshape2::dcast()

Usage

fit.data.cast(datMat, item, id.var, date.var, reverse = FALSE)

Arguments

datMat	data.table of rawdata
item	string name of the data items to extract
id.var	string name of the identifier that will make up the row names
date.var	string name of the dates that will make up the column names
reverse	logical to reverse the dates in the output, so the first column will be the most recent date, defaults to FALSE

Value

data.table with the first column being the ids and the subsequent columns being the data 'item'

Author(s)

Roger J. Bos, [e-mail]

Examples

load("data/Stock.df.Rdata")
retMat <- fit.data.cast(stock, item='RETURN', id.var = 'TICKER', date.var = 'DATE', reverse = TRUE)

rogerjbos/fit.factor.models documentation built on July 23, 2020, 3:44 p.m.