Description

The class 'timeDate' represents date and time objects.

Details

For the management of chronological objects under R three concepts are available: The first is the implementation of date and time in R's chron package neglecting locals, time zones and day light saving times. This approach is in most cases appropriate for economic time series. The second approach, available in R's base package implements the POSIX standard to date and time objects, named "POSIXt".

Unfortunately, the representation of these objects is in some cases operating system dependent and especially under MS Windows several problems appeared over the time in the management of time zones and day light saving times. Rmetrics overcomes these difficulties with POSIX objects and introduce a new S4 class of 'timeDate' objects which allow for powerful methods to represent dates and times in different financial centers around the world.

Many of the basic functionalities of these objects are in common with S-Plus' timeDate objects and thus many of your privately written functions for SPlus/FinMetrics may also be used within the R/Rmetrics environment.

A major difference is the time zone concept which is replaced by the "Financial Center" concept. The FinCenter character variable specifies where you are living and at which financial center you are working. With the variable myFinCenter you can overwrite the default setting with your personal settings. With the specification of the FinCenter your system knows what rules rules for day light saving times should be applied, what is your holiday calendar, what is your currency, what are your interest rate conventions. (Not all specifications are already implemented.) Many other aspects can be easily accessed when a financial center is named. So we can distinguish between Frankfurt and Zurich, which both belong to the same time zone, but differed in DST changes in the eighties and have different holiday calendars. Futhermore, since the underlying time refers to "GMT" and DST rules and all other information is available in local (ASCII) databases, we are sure, that R/Rmetrics delivers with such a date/time concept on every computer independent of the operating systemin use, identical results.

Another important feature of the "timeDate" concept used here is the fact that we don't rely on American or European ways to write dates. We use consequently the ISO-8601 standard for date and time notations.

Generation of 'timeDate' Objects

We have defined a timeDate class which is in many aspects similar to the S-Plus class with the same name, but has also some important advantageous differeneces. The S4 class has four Slots, the Data slot which holds date and time as 'POSIXct' objects in the standard ISO-8601 format, the Dim slot which gives the dimension of the data object (i.e. its length), the format specification slot and the FinCenter slot which holds the name of the financial center. By default this is the value

Three functions allow to cgenerate date/time objects: timeDate from character vectors, timeCalendar from date and time atoms, and timeSequence from a "from/to" or from a "from/length" sequence specification. Note, time zone transformations are easily handled by by the timeDate functions which can also take timeDate and POSIXt objects as inputs, while transforming them between financial centers and/or time zones specified by the arguments zone and FinCenter. Finally the function Sys.timeDate returns current system time in form of a timeDate object.

Tests and Representation of timeDate Objects:

Rmetrics has implemented several methods to represent timeDate objects. For example, the print method returns the date/time in square "[]" brackets to distinguish the output from other date and time objects. On top of the date and time output the name of the FinCenter is printed. The summary method returns a printed report with information about the timeDate object. Finally, the format methods allows to transform objects into a ISO conform formatted character strings.

Mathematical Operations:

Rmetrics supports methods to perform many mathematical operations. Included are methods to extract or to replace subsets from timeDate objects, to perform arithmetic "+" and "-" operations, to group Ops generic functions, to return suitably lagged and iterated differences diff, to return differences difftimeDate of two timeDate objects, to concatenate objects, to replicate objects, to round objects, to truncate objects using trunc, to extract the first or last entry of a vector, to sort the objects of the elements of a date/time vector, and to revert 'timeDate' vector objects, among other functions.

Transformation of Objects:

Rmetrics has also functions to transform dat/time objects between different representations. Included are methods to transform timeDate objects to character strings, to data frames, to POSIXct or POSIXlt objects, to julian counts. One can extract date/time atoms from calendar dates, and the months atoms from a timeDate object.

Objects from the Class

Objects can be created for example by calls of the functions timeDate, timeCalender and timeCalendar among others.

Slots

Data:

Object of class "POSIXct": a vector of POSIXct dates and times always related to "GMT".

format:

Object of class "character": a character string denoting the format specification of the input Data character vector.

FinCenter:

Object of class "character": a character string with the the location of the financial center named as "continent/city", or just "city".

Methods

show

signature(object = "timeDate"): prints an object of class 'timeDate'.

Note

Originally, these functions were written for Rmetrics users using R and Rmetrics under Microsoft's Windows XP operating system where time zones, daylight saving times and holiday calendars are not or insuffeciently supported.

The usage of the Ical Library and the introduction of the FinCenter concept was originally develloped for R Version 1.5. The timeDate and timeSeries objects were added for R Version 1.8.1. Minor changes were made to adapt the functions for R Version 1.9.1. As a consequence, newer concepts like the Date objects were not yet considered and included in this collection of date and time concepts. With R Version 2.3.0 a major update has been made adding many new generic functions and renaming a few already existing functions, please be aware of this.

Note, the date/time conversion from an arbitry time zone to GMT cannot be unique, since date/time objects appear twice during the hour when DST changes and the isdt flag was not recorded. A bookkeeping which takes care if DST is effective or not is not yet included. However, in most applications this is not necessary since the markets are closed on weekends, especially at times when DST usually changes. It is planned for the future to implement the DST supporting this facility.

The ISO-8601 midnight standard has been implemented. Note, that for example "2005-01-01 24:00:00" is accepted as a valid date/time string.

Also available is an automated format recognition, so the user has not longer specify the format string for the most common date/time formats.

Examples