Create a new time variable in R

Question

I am creating a time series object with new variables using the transform () function in R and cannot find the correct function to calculate the difference in the C variable between today and yesterday.

This is what I have so far:

                 O       H       L       C  Typical Range 
2010-07-23 1092.17 1103.73 1087.88 1102.66 1098.090 15.85 
2010-07-26 1102.89 1115.01 1101.30 1115.01 1110.440 13.71  
2010-07-27 1117.36 1120.95 1109.78 1113.84 1114.857 11.17  
2010-07-28 1112.84 1114.66 1103.11 1106.13 1107.967 11.55  
2010-07-29 1108.07 1115.90 1092.82 1101.53 1103.417 23.08  
2010-07-30 1098.44 1106.44 1088.01 1101.60 1098.683 18.43

The next line will be added with the following function:

SPX <- transform(SPX, Return = (C - C(yesterday) ) / C(yesterday)))

Obviously, C (yesterday) is wrong. I tried lag (), diff () and did not find the right combination.

Bonus question: how do you get a typical variable to show only hundreth?

Answer 1

The correct function is diff if you are trying to calculate the C difference between today and yesterday.

> SPX$Return <- diff(SPX$C)
> SPX
                 O       H       L       C  Typical Range Return
2010-07-23 1092.17 1103.73 1087.88 1102.66 1098.090 15.85     NA
2010-07-26 1102.89 1115.01 1101.30 1115.01 1110.440 13.71  12.35
2010-07-27 1117.36 1120.95 1109.78 1113.84 1114.857 11.17  -1.17
2010-07-28 1112.84 1114.66 1103.11 1106.13 1107.967 11.55  -7.71
2010-07-29 1108.07 1115.90 1092.82 1101.53 1103.417 23.08  -4.60
2010-07-30 1098.44 1106.44 1088.01 1101.60 1098.683 18.43   0.07

, , ROC TTR.

> SPX$Return <- ROC(SPX$C)
> SPX
                 O       H       L       C  Typical Range        Return
2010-07-23 1092.17 1103.73 1087.88 1102.66 1098.090 15.85            NA
2010-07-26 1102.89 1115.01 1101.30 1115.01 1110.440 13.71  1.113793e-02
2010-07-27 1117.36 1120.95 1109.78 1113.84 1114.857 11.17 -1.049869e-03
2010-07-28 1112.84 1114.66 1103.11 1106.13 1107.967 11.55 -6.946068e-03
2010-07-29 1108.07 1115.90 1092.82 1101.53 1103.417 23.08 -4.167314e-03
2010-07-30 1098.44 1106.44 1088.01 1101.60 1098.683 18.43  6.354596e-05