[R] Store vectors as values in xts time-series object

[Sergey Pisarenko]

Joshua,

Thank you for explaining this. I will think of a work-around.

/Sergey

On Sun, Mar 4, 2012 at 3:36 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> Hi Sergey,
>
> Internally, xts objects are a matrix with an index attribute.  While
> you *can* make a matrix of lists, that is not supported in zoo or xts.
>
> Best,
> --
> Joshua Ulrich  |  FOSS Trading: www.fosstrading.com
>
> R/Finance 2012: Applied Finance with R
> www.RinFinance.com
>
>
>
> On Sun, Mar 4, 2012 at 4:23 AM, Sergey Pisarenko <drseergio at gmail.com> wrote:
>> Hi R programmers,
>>
>> I have stumbled across what seems a very simple problem. My goal is to
>> create a xts time series object which contains vectors as values. In
>> other words, I try to create somethingSergey like this:
>>
>> 2009-01-01 => c('aa', 'bb', 'dd')
>> ...
>> 2010-02-01 => c('mm')
>>
>> I have figured out parts of separately. Here's what works (new xts
>> time-series with simple FALSE values):
>>
>>> getSymbols(src='yahoo', Symbols=c('SPY'))           # this loads xts object into global environment under name SPY
>>> v <- vector(length=length(index(SPY)))                   # this creates a vector of the same length as the SPY time-series
>>> new_xts <- xts(v, order.by=index(SPY))                 # this works and creates a time-series with FALSE as every value
>>> new_xts
>> 2009-01-01 FALSE
>> ...
>> 2010-02-01 FALSE
>>
>> Now, I'd like to create a xts object with vectors as values.
>> Presumably, I want lists to be used as values:
>>
>>> myList <- vector("list", length=length(index(SPY)))  # this creates a list of the same length as the SPY time-series
>>> for (i in 1:length(myList)) myList[[i]] <- c('aa', 'bb')    # fill list with dummy test data
>>> new_xts_2 <- xts(myList, order.by=index(SPY))      # and I get an error
>> Error in coredata.xts(x) : currently unsupported data type
>>
>> What am I doing wrong and how can this be implemented?
>>
>> Truly appreciate your effort.
>>
>> --
>> Kind Regards,
>> Sergey Pisarenko.
>>
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