Learning Quantitative Finance with R

xts

xts is an extensible time series object which carries all the features of a zoo object. It consists of a matrix and index which has to be time-based. There are two ways of constructing xts objects: one is by calling as.xts and another is constructing the xts object from scratch.

Construction of an xts object using as.xts

Let us read a few lines of our sample data through zoo and construct the xts object by executing the following code:

> StockData <- read.zoo("DataChap4.csv",header = TRUE, sep = ",",format="%m/%d/%Y",nrows=3) 
> matrix_xts <- as.xts(StockData,dateFormat='POSIXct') 
> matrix_xts 

This gives the following output:

	Volume	Adj.Close	Return
12/12/2016	615800	192.43	0.13
12/13/2016	6816100	198.15	2.97
12/14/2016	4144600 ...