Aggregate to weekly, ending on Wednesdays

Sometimes you may need to aggregate in a more general way. In this exercise, you will learn how to aggregate daily data to weekly, but with weeks ending on Wednesdays. This is often done in stock market research papers to avoid some of the intra-week seasonality.

You can do many different types of aggregations by using period.apply() and supplying your own end points (versus using endpoints()). Recall that endpoints() returns the locations of the last observation in the period specified by its on argument, and the result always starts with a zero and ends with total number of observations. The end points you pass to period.apply() must follow this convention.

This exercise will use the daily Fed Funds data (DFF) from prior exercises.

Instructions

Use the .indexwday() function to get the day of the week of each index entry in DFF. Assign these indices to an object named index_weekdays.
Complete the command to create an object containing the locations of the Wednesdays in index_weekdays. Store the result in an object named wednesdays.
Complete the command to make the end_points object follow the convention of the endpoints() function output.
Use period.apply() and end_points to aggregate the DFF data to weekly averages, and assign the result to an object named weekly_mean.

Take Hint (-30xp)