Convert univariate series to OHLC data

Aggregating time series can be a frustrating task. For example, in financial series it is common to find Open-High-Low-Close data (or OHLC) calculated over some repeating and regular interval.

Also known as range bars, aggregating a series based on some regular window can make analysis easier amongst series that have varying frequencies. A weekly economic series and a daily stock series can be compared more easily if the daily is converted to weekly.

In this exercise, you'll convert from a univariate series into OHLC series, and then convert your final OHLC series back into a univariate series using the xts function to.period(). This function takes a time-series, x, and a string for the period (i.e. months, days, etc.), in addition to a number of other optional arguments.

to.period(x,
          period = "months", 
          k = 1, 
          indexAt, 
          name=NULL,
          OHLC = TRUE,
          ...)

You will use a new data set for this exercise, usd_eur, a daily USD/EUR exchange rate from 1999 to August 2016, which has been loaded into your workspace.

Convert usd_eur into a weekly OHLC series using to.period(). Call this new series usd_eur_weekly. Note that by default OHLC = TRUE.
Convert usd_eur into a monthly OHLC series. Call this series usd_eur_monthly.
Convert usd_eur into a yearly univariate (no OHLC bars) series. Call this series usd_eur_yearly.

Exercise

Convert univariate series to OHLC data

Instructions