Pull Return from first business day of the month from XTS object using R

r, xts

Solution

Thanks to the power of the base R language, you can do this in one line:

 library(xts)
 data(sample_matrix)
 x <- as.xts(sample_matrix)
 do.call(rbind, lapply(split(x, "months"), first))

To explain what each step is doing:

 # Split the xts object into a list with an element for each month.
 x1 <- split(x, "months")
 # Loop over the list (x1) and call the first() function on each element.
 # This returns a new list where each element only contains the first observation
 # from each respective element in x1.
 x2 <- lapply(x1, first)
 # Call rbind() with all the elements of x2 as arguments to rbind()
 # Same as rbind(x2[[1]], x2[[2]], ..., x2[[N]])
 x3 <- do.call(rbind, x2)

Problem

I am very new to R so apologies if I get any of the terminology wrong when I explain this problem. I have a set of daily returns data in a csv file that I have managed to convert to an xts object. The data is in the format: ``` HighYield..EUR. MSCI.World..EUR. 2002-01-31 0.0144 0.0031 2002-02-01 0.0056 -0.0132 2002-02-02 0.0373 0.0356 2002-02-03 -0.0167 -0.0644 2002-02-04 -0.0062 -0.0332 2002-02-05 -0.0874 -0.1112 ... ``` I want to create a script that will find the first business day of the month (from the range of values in the index) and then create a new xts object with these returns in it. For example, after the script has run I would have an xts object in the format: ``` HighYield..EUR. MSCI.World..EUR. 2002-01-31 0.0144 0.0031 2002-02-28 0.0011 -0.0112 2002-03-31 0.0222 0.0224 2002-04-30 -0.0333 -0.0223 2002-05-30 -0.0011 -0.0012 2002-06-30 -0.0888 -0.0967 ... ``` Can someone help me please? and if possible explain what each part of the script is doing.

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