timeSeries: Rmetrics - Financial Time Series Objects

Environment for teaching "Financial Engineering and Computational Finance". Managing financial time series objects.

AuthorRmetrics Core Team, Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb]
Date of publication2016-08-10 15:26:35
MaintainerTobias Setz <tobias.setz@rmetrics.org>
LicenseGPL (>= 2)
Version3022.101
http://www.rmetrics.org

View on R-Forge

Man pages

00timeSeries-package: Utilities and Tools Package

base-apply: Apply Functions Over Time Series Periods

base-attach: Attach a timSeries to the search path

base-cbind: Bind two timeSeries objects

base-diff: diff

base-dim: Time Series Columns and Rows

base-merge: Merges two 'timeSeries' objects

base-rank: Sample Ranks of a Time Series

base-rev: Reversion of a 'timeSeries'

base-sample: sample

base-scale: scale

base-sort: Sorting a 'timeSeries' by Time Stamps

base-start: Start and End of a 'timeSeries'

base-subsetting: Subsettig Time Series

base-t: timeSeries Transpose

data-examples: Time Series Data Sets

fin-align: timeSeries Class, Functions and Methods

fin-cumulated: Cumulated Time Series from Returns

fin-daily: Special Daily Time Series

fin-drawdowns: Calculations of Drawdowns

fin-durations: Durations from a Time Series

fin-monthly: Special Monthly Series

fin-periodical: End-of-Period Series, Stats, and Benchmarks

fin-returns: Financial Returns

fin-runlengths: Runlengths of a Time Series

fin-splits: splits

fin-spreads: Spreads and Mid Quotes

fin-turnpoints: Turning Points of a Time Series

fin-wealth: Conversion of an index to wealth

methods-as: timeSeries Class, Coercion and Transformation

methods-base: Methods for 'timeSeries' object

methods-comment: comment for timeSeries objects

methods-is: timeSeries Class, Coercion and Transformation

methods-mathOps: Mathematical Time Series Operations

methods-plot: Plot a Time Series

methods-show: Print a Time Series

methods-stats: Time Series Correlations

statistics-colCumsums: Cumulated Column Statistics

statistics-colSums: Column Statistics

statistics-orderColnames: Reorder Column Names of a Time Series

statistics-orderStatistics: order Statistics

statistics-rollMean: Rolling Statistics

statistics-rowCumsums: Cumulated Column Statistics

statistics-smoothLowess: Smoothes Time Series Objects

stats-aggregate: timeSeries Class, Functions and Methods

stats-filter: Linear Filtering on a Time Series

stats-lag: Lag a Time Series

stats-model.frame: Model Frames for Time Series Objects

stats-na.contiguous: Find Longest Contiguous Stretch of non-NAs

stats-na.omit: Handling Missing Time Series Values

stats-window: window

timeSeries: timeSeries Class

timeSeries-deprecated: Deprecated functions in timeSeries package

timeSeries-getDataPart: DataPart,timeSeries-method

timeSeries-isRegular: Checks if a time series is regular

timeSeries-isUnivariate: Checks if a Time Series is Univariate

timeSeries-readSeries: Reads a 'timeSeries' from a File

timeSeries-slotDocumentation: Get and Set Optional Attributes of a 'timeSeries'

timeSeries-slotFinCenter: Get and Set Financial Center of a 'timeSeries'

timeSeries-slotSeries: Get and Set Data of a 'timeSeries'

timeSeries-slotTime: Get and Set Time stamps of a 'timeSeries'

timeSeries-slotUnits: Get and Set Unit Names of a 'timeSeries'

utils-description: Creates Date and User Information

utils-structure: timeSeries Object Structure

Functions

aggregate Man page
aggregate-methods Man page
aggregate.timeSeries Man page
aggregate,timeSeries-method Man page
align Man page
alignDailySeries Man page
align-methods Man page
align,timeSeries-method Man page
\%*\%,ANY,timeSeries-method Man page
applySeries Man page
apply,timeSeries-method Man page
as Man page
as.data.frame.timeSeries Man page
as.data.frame,timeSeries-method Man page
as.list.timeSeries Man page
as.list,timeSeries-method Man page
as.matrix.timeSeries Man page
as.matrix,timeSeries-method Man page
as.timeSeries Man page
as.timeSeries.character Man page
as.timeSeries.data.frame Man page
as.timeSeries.default Man page
as.timeSeries.ts Man page
as.timeSeries.zoo Man page
as.ts.timeSeries Man page
as.ts,timeSeries-method Man page
attach Man page
attach,timeSeries-method Man page
attributes Man page
cbind Man page
cbind2 Man page
cbind2,ANY,timeSeries-method Man page
cbind2,timeSeries,ANY-method Man page
cbind2,timeSeries,missing-method Man page
cbind2,timeSeries,timeSeries-method Man page
cbind.timeSeries Man page
cbind,timeSeries-method Man page
coerce,ANY,timeSeries-method Man page
coerce,character,timeSeries-method Man page
coerce,data.frame,timeSeries-method Man page
coerce,timeSeries,data.frame-method Man page
coerce,timeSeries,list-method Man page
coerce,timeSeries,matrix-method Man page
coerce,timeSeries,tse-method Man page
coerce,timeSeries,ts-method Man page
coerce,ts,timeSeries-method Man page
colAvgs Man page
colCum Man page
colCummaxs Man page
colCummaxs,matrix-method Man page
colCummaxs,timeSeries-method Man page
colCummins Man page
colCummins,matrix-method Man page
colCummins,timeSeries-method Man page
colCumprods Man page
colCumprods,matrix-method Man page
colCumprods,timeSeries-method Man page
colCumreturns Man page
colCumreturns,matrix-method Man page
colCumreturns,timeSeries-method Man page
colCumsums Man page
colCumsums,matrix-method Man page
colCumsums,timeSeries-method Man page
colKurtosis Man page
colMaxs Man page
colMeans,timeSeries-method Man page
colMins Man page
colnames<-,timeSeries-method Man page
colnames,timeSeries-method Man page
colProds Man page
colQuantiles Man page
colSds Man page
colSkewness Man page
colStats Man page
colStdevs Man page
colSums,timeSeries-method Man page
colVars Man page
comment<-,timeSeries-method Man page
comment,timeSeries-method Man page
coredata Man page
coredata<- Man page
coredata<-,timeSeries,ANY-method Man page
coredata<-,timeSeries,data.frame-method Man page
coredata<-,timeSeries,matrix-method Man page
coredata,timeSeries-method Man page
coredata<-,timeSeries,vector-method Man page
cor-methods Man page
cor,timeSeries-method Man page
countMonthlyRecords Man page
cov-methods Man page
cov,timeSeries-method Man page
c.timeSeries Man page
cummax,timeSeries-method Man page
cummin,timeSeries-method Man page
cumprod,timeSeries-method Man page
cumsum,timeSeries-method Man page
cumulated Man page
cumulated.default Man page
cut.timeSeries Man page
cut,timeSeries-method Man page
daily Man page
daily2monthly Man page
daily2weekly Man page
dcauchy-methods Man page
dcauchy,timeSeries-method Man page
description Man page
diff Man page
diff.timeSeries Man page
diff,timeSeries-method Man page
dimnames<-,timeSeries,list-method Man page
dimnames,timeSeries-method Man page
dim<-,timeSeries-method Man page
dim,timeSeries-method Man page
dnorm-methods Man page
dnorm,timeSeries-method Man page
documentation Man page
drawdowns Man page
drawdownsStats Man page
dt-methods Man page
dt,timeSeries-method Man page
dummyDailySeries Man page
dummySeries Man page
durations Man page
durationSeries Man page
endOfPeriod Man page
endOfPeriodBenchmarks Man page
endOfPeriodSeries Man page
endOfPeriodStats Man page
end.timeSeries Man page
end,timeSeries-method Man page
fapply Man page
filter,timeSeries-method Man page
finCenter<-,timeSeries-method Man page
finCenter,timeSeries-method Man page
frequency,timeSeries-method Man page
getAttributes Man page
getDataPart,timeSeries-method Man page
getFinCenter Man page
getReturns Man page
getSeries Man page
getSeries.timeSeries Man page
getTime Man page
getUnits Man page
getUnits.default Man page
hclustColnames Man page
head.timeSeries Man page
head,timeSeries-method Man page
index2wealth Man page
index_timeSeries Man page
index_timeSeries-class Man page
initialize,timeSeries-method Man page
interpNA Man page
isDaily,timeSeries-method Man page
isMonthly,timeSeries-method Man page
isMultivariate Man page
is.na,timeSeries-method Man page
isQuarterly,timeSeries-method Man page
isRegular,timeSeries-method Man page
is.signalSeries Man page
is.timeSeries Man page
isUnivariate Man page
is.unsorted,timeSeries-method Man page
lag Man page
lag.timeSeries Man page
lag,timeSeries-method Man page
lines,timeSeries-method Man page
log,timeSeries-method Man page
LPP2005REC Man page
math Man page
Math2,timeSeries-method Man page
Math,timeSeries-method Man page
mean.timeSeries Man page
mean,timeSeries-method Man page
merge Man page
merge,ANY,timeSeries-method Man page
merge,matrix,timeSeries-method Man page
merge,numeric,timeSeries-method Man page
merge.timeSeries Man page
merge,timeSeries,ANY-method Man page
merge,timeSeries,matrix-method Man page
merge,timeSeries,missing-method Man page
merge,timeSeries,numeric-method Man page
merge,timeSeries,timeSeries-method Man page
midquotes Man page
midquoteSeries Man page
model.frame Man page
model.frame.default,ANY,timeSeries-method Man page
monthly Man page
MSFT Man page
na Man page
na.contiguous,timeSeries-method Man page
names<-,timeSeries-method Man page
names,timeSeries-method Man page
na.omit Man page
na.omit.timeSeries Man page
na.omit,timeSeries-method Man page
newPositions<- Man page
Ops,array,timeSeries-method Man page
Ops,timeSeries,array-method Man page
Ops,timeSeries,timeSeries-method Man page
Ops,timeSeries,ts-method Man page
Ops,timeSeries,vector-method Man page
Ops,ts,timeSeries-method Man page
Ops,vector,timeSeries-method Man page
orderColnames Man page
orderStatistics Man page
outlier Man page
outlier,ANY-method Man page
outlier,timeSeries-method Man page
pcaColnames Man page
plot Man page
plot,timeSeries-method Man page
points,timeSeries-method Man page
pretty.timeSeries Man page
print,timeSeries-method Man page
quantile.timeSeries Man page
quantile,timeSeries-method Man page
rank,timeSeries-method Man page
rbind Man page
rbind2 Man page
rbind2,ANY,timeSeries-method Man page
rbind2,timeSeries,ANY-method Man page
rbind2,timeSeries,missing-method Man page
rbind2,timeSeries,timeSeries-method Man page
rbind.timeSeries Man page
rbind,timeSeries-method Man page
readSeries Man page
removeNA Man page
returns Man page
returns0 Man page
returns,ANY-method Man page
returnSeries Man page
returns,timeSeries-method Man page
rev.timeSeries Man page
rev,timeSeries-method Man page
rollDailySeries Man page
rollMax Man page
rollMean Man page
rollMedian Man page
rollMin Man page
rollMonthlySeries Man page
rollMonthlyWindows Man page
rollStats Man page
rowCum Man page
rowCumsums Man page
rowCumsums,ANY-method Man page
rowCumsums,timeSeries-method Man page
rownames<-,timeSeries,ANY-method Man page
rownames,timeSeries-method Man page
rownames<-,timeSeries,timeDate-method Man page
runlengths Man page
sampleColnames Man page
sample,timeSeries-method Man page
scale.timeSeries Man page
scale,timeSeries-method Man page
sd-methods Man page
sd,timeSeries-method Man page
series Man page
series<- Man page
seriesData Man page
seriesPositions Man page
series<-,timeSeries,ANY-method Man page
series<-,timeSeries,data.frame-method Man page
series<-,timeSeries,matrix-method Man page
series,timeSeries-method Man page
series<-,timeSeries,vector-method Man page
setAttributes<- Man page
setDataPart,timeSeries-method Man page
setFinCenter<- Man page
setSeries<- Man page
setTime<- Man page
setUnits<- Man page
show,timeSeries-method Man page
smoothLowess Man page
smoothSpline Man page
smoothSupsmu Man page
sortColnames Man page
sort.timeSeries Man page
sort,timeSeries-method Man page
splits Man page
spreads Man page
spreadSeries Man page
start.timeSeries Man page
start,timeSeries-method Man page
statsColnames Man page
str Man page
str,timeSeries-method Man page
substituteNA Man page
summary,timeSeries-method Man page
Summary,timeSeries-method Man page
tail.timeSeries Man page
tail,timeSeries-method Man page
time Man page
time<- Man page
timeSeries Man page
$<-,timeSeries,ANY,ANY-method Man page
timeSeries,ANY,ANY-method Man page
$<-,timeSeries,ANY,factor-method Man page
[,timeSeries,ANY,index_timeSeries-method Man page
$<-,timeSeries,ANY-method Man page
\%*\%,timeSeries,ANY-method Man page
timeSeries,ANY,missing-method Man page
$<-,timeSeries,ANY,numeric-method Man page
timeSeries,ANY,timeDate-method Man page
[<-,timeSeries,character,ANY-method Man page
[<-,timeSeries,character,character-method Man page
[,timeSeries,character,character-method Man page
[<-,timeSeries,character,index_timeSeries-method Man page
[,timeSeries,character,index_timeSeries-method Man page
[<-,timeSeries,character,missing-method Man page
[,timeSeries,character,missing-method Man page
timeSeries-class Man page
TimeSeriesClass Man page
TimeSeriesData Man page
$<-,timeSeries,factor-method Man page
[<-,timeSeries,index_timeSeries,character-method Man page
[,timeSeries,index_timeSeries,character-method Man page
[,timeSeries,index_timeSeries,index_timeSeries-method Man page
[,timeSeries,index_timeSeries,missing-method Man page
timeSeries,matrix,ANY-method Man page
[<-,timeSeries,matrix,character-method Man page
[,timeSeries,matrix,index_timeSeries-method Man page
[,timeSeries,matrix,missing-method Man page
timeSeries,matrix,missing-method Man page
timeSeries,matrix,numeric-method Man page
timeSeries,matrix,timeDate-method Man page
$,timeSeries-method Man page
timeSeries,missing,ANY-method Man page
[,timeSeries,missing,character-method Man page
[,timeSeries,missing,index_timeSeries-method Man page
-,timeSeries,missing-method Man page
+,timeSeries,missing-method Man page
[,timeSeries,missing,missing-method Man page
timeSeries,missing,missing-method Man page
timeSeries,missing,timeDate-method Man page
$<-,timeSeries,numeric-method Man page
timeSeries-package Man page
TimeSeriesSubsettings Man page
[<-,timeSeries,timeDate,ANY-method Man page
[<-,timeSeries,timeDate,character-method Man page
[,timeSeries,timeDate,character-method Man page
[<-,timeSeries,timeDate,index_timeSeries-method Man page
[,timeSeries,timeDate,index_timeSeries-method Man page
[<-,timeSeries,timeDate,missing-method Man page
[,timeSeries,timeDate,missing-method Man page
[<-,timeSeries,timeSeries,character-method Man page
[<-,timeSeries,timeSeries,index_timeSeries-method Man page
[,timeSeries,timeSeries,index_timeSeries-method Man page
[<-,timeSeries,timeSeries,missing-method Man page
[,timeSeries,timeSeries,missing-method Man page
[,timeSeries,time_timeSeries,ANY-method Man page
[,timeSeries,time_timeSeries,character-method Man page
[,timeSeries,time_timeSeries,index_timeSeries-method Man page
[,timeSeries,time_timeSeries,missing-method Man page
\%*\%,timeSeries,vector-method Man page
time<-.timeSeries Man page
time_timeSeries Man page
time.timeSeries Man page
time_timeSeries-class Man page
time,timeSeries-method Man page
trunc,timeSeries-method Man page
t,timeSeries-method Man page
turns Man page
turnsStats Man page
USDCHF Man page
var-methods Man page
var.timeSeries Man page
var,timeSeries-method Man page
window Man page
window.timeSeries Man page
window,timeSeries-method Man page

Files

ChangeLog
DESCRIPTION
NAMESPACE
R
R/AllClass.R R/AllGeneric.R R/aaa-Deprecated.R R/base-apply.R R/base-applySeries.R R/base-attach.R R/base-cbind.R R/base-diff.R R/base-dim.R R/base-merge.R R/base-rank.R R/base-rev.R R/base-sample.R R/base-scale.R R/base-sort.R R/base-start.R R/base-subsetting.R R/base-t.R R/data-examples.R R/fin-align.R R/fin-cumulated.R R/fin-daily.R R/fin-drawdowns.R R/fin-durations.R R/fin-monthly.R R/fin-periodical.R R/fin-returns.R R/fin-runlengths.R R/fin-splits.R R/fin-spreads.R R/fin-turnpoints.R R/fin-wealth.R R/methods-as.R R/methods-comment.R R/methods-is.R R/methods-mathOps.R R/methods-plot.R R/methods-plot2.R R/methods-show.R R/statistics-colCumsums.R R/statistics-colSums.R R/statistics-orderColnames.R R/statistics-orderStatistics.R R/statistics-rollMean.R R/statistics-rowCumsums.R R/statistics-smoothLowess.R R/stats-aggregate.R R/stats-filter.R R/stats-lag.R R/stats-model.frame.R R/stats-na.contiguous.R R/stats-na.omit.R R/stats-window.R R/timeSeries-dummy.R R/timeSeries-getDataPart.R R/timeSeries-isOHLC.R R/timeSeries-isRegular.R R/timeSeries-isUnivariate.R R/timeSeries-readSeries.R R/timeSeries-signalCounts.R R/timeSeries-slotDocumentation.R R/timeSeries-slotFinCenter.R R/timeSeries-slotSeries.R R/timeSeries-slotTime.R R/timeSeries-slotUnits.R R/timeSeries.R R/utils-description.R R/utils-head.R R/utils-old2new.R R/utils-structure.R R/zzz.R
build
build/vignette.rds
data
data/LPP2005REC.rda
data/MSFT.rda
data/USDCHF.rda
inst
inst/COPYING
inst/COPYRIGHTS
inst/README
inst/THANKS
inst/doc
inst/doc/timeSeriesPlot.R
inst/doc/timeSeriesPlot.Rnw
inst/doc/timeSeriesPlot.pdf
inst/doc/timeSeriesRefCard.pdf
inst/extensionsTests
inst/extensionsTests/aggregateWrappers.R inst/extensionsTests/alignWrappers.R inst/extensionsTests/attributesExtension.R inst/extensionsTests/chicPlots.R inst/extensionsTests/endpointsWrappers.R inst/extensionsTests/xtsWrappers.R
inst/unitTests
inst/unitTests/Makefile
inst/unitTests/runTests.R inst/unitTests/runit.NA.R inst/unitTests/runit.Omit.R inst/unitTests/runit.TimeSeriesClass.R inst/unitTests/runit.TimeSeriesCoercion.R inst/unitTests/runit.TimeSeriesData.R inst/unitTests/runit.TimeSeriesPositions.R inst/unitTests/runit.aggregate.R inst/unitTests/runit.align.R inst/unitTests/runit.apply.R inst/unitTests/runit.as.R inst/unitTests/runit.attach.R inst/unitTests/runit.bind.R inst/unitTests/runit.colCum.R inst/unitTests/runit.colStats.R inst/unitTests/runit.cor.R inst/unitTests/runit.cumulated.R inst/unitTests/runit.daily.R inst/unitTests/runit.dim.R inst/unitTests/runit.drawdowns.R inst/unitTests/runit.durations.R inst/unitTests/runit.lag.R inst/unitTests/runit.mathOps.R inst/unitTests/runit.merge.R inst/unitTests/runit.methods-plot.R inst/unitTests/runit.methods-print.R inst/unitTests/runit.methods-summary.R inst/unitTests/runit.model.frame.R inst/unitTests/runit.monthly.R inst/unitTests/runit.na.contiguous.R inst/unitTests/runit.order.R inst/unitTests/runit.periodical.R inst/unitTests/runit.rank.R inst/unitTests/runit.returns.R inst/unitTests/runit.rowCum.R inst/unitTests/runit.signalCounts.R inst/unitTests/runit.spreads.R inst/unitTests/runit.subset.R inst/unitTests/runit.time.R inst/unitTests/runit.timeSeries.R
man
man/00timeSeries-package.Rd man/base-apply.Rd man/base-attach.Rd man/base-cbind.Rd man/base-diff.Rd man/base-dim.Rd man/base-merge.Rd man/base-rank.Rd man/base-rev.Rd man/base-sample.Rd man/base-scale.Rd man/base-sort.Rd man/base-start.Rd man/base-subsetting.Rd man/base-t.Rd man/data-examples.Rd man/fin-align.Rd man/fin-cumulated.Rd man/fin-daily.Rd man/fin-drawdowns.Rd man/fin-durations.Rd man/fin-monthly.Rd man/fin-periodical.Rd man/fin-returns.Rd man/fin-runlengths.Rd man/fin-splits.Rd man/fin-spreads.Rd man/fin-turnpoints.Rd man/fin-wealth.Rd man/methods-as.Rd man/methods-base.Rd man/methods-comment.Rd man/methods-is.Rd man/methods-mathOps.Rd man/methods-plot.Rd man/methods-show.Rd man/methods-stats.Rd man/statistics-colCumsums.Rd man/statistics-colSums.Rd man/statistics-orderColnames.Rd man/statistics-orderStatistics.Rd man/statistics-rollMean.Rd man/statistics-rowCumsums.Rd man/statistics-smoothLowess.Rd man/stats-aggregate.Rd man/stats-filter.Rd man/stats-lag.Rd man/stats-model.frame.Rd man/stats-na.contiguous.Rd man/stats-na.omit.Rd man/stats-window.Rd man/timeSeries-deprecated.Rd man/timeSeries-getDataPart.Rd man/timeSeries-isRegular.Rd man/timeSeries-isUnivariate.Rd man/timeSeries-readSeries.Rd man/timeSeries-slotDocumentation.Rd man/timeSeries-slotFinCenter.Rd man/timeSeries-slotSeries.Rd man/timeSeries-slotTime.Rd man/timeSeries-slotUnits.Rd man/timeSeries.Rd man/utils-description.Rd man/utils-structure.Rd
tests
tests/doRUnit.R
tests/msft.dat.csv
vignettes
vignettes/characterTableFig.pdf
vignettes/colorPalettes1Fig.pdf
vignettes/colorPalettes2Fig.pdf
vignettes/colorTableFig.pdf
vignettes/colorwheel.pdf
vignettes/symbolTableFig.pdf
vignettes/timeSeriesPlot.Rnw

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.