Align series to first and last day of month

Sometimes you may not be able to use convenience classes like yearmon to represent timestamps. This exercise will teach you how to manually align merged data to the timestamp representation you prefer.

First you merge the lower-frequency data with the aggregate data, then use na.locf() to fill the NA forward (or backward, using fromLast = TRUE). Then you can subset the result using the index of the object with the representation you prefer.

Your workspace contains FEDFUNDS, monthly_fedfunds (the result of apply.monthly(DFF, mean)), and merged_fedfunds (the result of merge(FEDFUNDS, monthly_fedfunds) where the monthly_fedfunds index is a Date). Note the NA values in merged_fedfunds.

This exercise is part of the course

Importing and Managing Financial Data in R

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Exercise instructions

Use na.locf() to fill the NA values in merged_fedfunds. Assign the result to merged_fedfunds_locf.
Subset merged_fedfunds_locf by index(monthly_fedfunds) to create an xts object with timestamps at month-end. Name the result aligned_last_day.
Use the fromLast argument to na.locf() to fill the NA values with the next observation. Assign the result to merged_fedfunds_locb.
Subset merged_fedfunds_locb by index(FEDFUNDS) to create an xts object with timestamps on the first of the month. Name the result aligned_first_day.

Hands-on interactive exercise

Have a go at this exercise by completing this sample code.

# Fill NA forward
merged_fedfunds_locf <- ___(___)

# Extract index values containing last day of month
aligned_last_day <- merged_fedfunds_locf[___]

# Fill NA backward
merged_fedfunds_locb <- na.locf(___, fromLast = ___)

# Extract index values containing first day of month
aligned_first_day <- merged_fedfunds_locb[___]

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