Dear R forum I have data.frame as
df = data.frame(rate_name = c("USD_1w", "USD_1w", "USD_1w", "USD_1w", "USD_1m", "USD_1m", "USD_1m", "USD_1m", "USD_2m", "USD_2m", "USD_2m", "USD_2m", "GBP_1w", "GBP_1w", "GBP_1w", "GBP_1w", "GBP_1m", "GBP_1m", "GBP_1m", "GBP_1m", "GBP_2m", "GBP_2m", "GBP_2m", "GBP_2m", "EURO_1w", "EURO_1w", "EURO_1w", "EURO_1w", "EURO_2w", "EURO_2w", "EURO_2w", "EURO_2w", "EURO_2m", "EURO_2m", "EURO_2m", "EURO_2m"), rates = c(2.05, 2.07, 2.06, 2.06, 2.22, 2.24, 2.23, 2.23, 2.31, 2.33, 2.33, 2.31, 1.06, 1.08, 1.08, 1.08, 1.21, 1.21, 1.23, 1.21, 1.41, 1.39, 1.39, 1.37, 1.82, 1.82, 1.81, 1.80, 1.98, 1.98, 1.97, 1.97, 2.1, 2.09, 2.09, 2.11)) currency = c("EURO", "GBP", "USD") tenor = c("1w", "2w", "1m", "2m", "3m") # _________________________________________ > df rate_name rates rate_name rates 1 USD_1w 2.05 2 USD_1w 2.07 3 USD_1w 2.06 4 USD_1w 2.06 5 USD_1m 2.22 6 USD_1m 2.24 7 USD_1m 2.23 8 USD_1m 2.23 9 USD_2m 2.31 10 USD_2m 2.33 11 USD_2m 2.33 12 USD_2m 2.31 13 GBP_1w 1.06 14 GBP_1w 1.08 15 GBP_1w 1.08 16 GBP_1w 1.08 17 GBP_1m 1.21 18 GBP_1m 1.21 19 GBP_1m 1.23 20 GBP_1m 1.21 21 GBP_2m 1.41 22 GBP_2m 1.39 23 GBP_2m 1.39 24 GBP_2m 1.37 25 EURO_1w 1.82 26 EURO_1w 1.82 27 EURO_1w 1.81 28 EURO_1w 1.80 29 EURO_2w 1.98 30 EURO_2w 1.98 31 EURO_2w 1.97 32 EURO_2w 1.97 33 EURO_2m 2.10 34 EURO_2m 2.09 35 EURO_2m 2.09 36 EURO_2m 2.11 As can be seen that USD_2w, GBP_2w and EURO_1m are missing and I need to INTERPOLATE these rates, which can be done using approx or approxfun. In reality I can have many currencies with many tenors. Problem is when the data.frame "df" is read or accessed in R, I am not aware which tenor is missing. For a given currency, it is possible that mare than 1 consecutive tenors may be missing e.g. in case of EURO, I may have EURO_1w, EURO_2w and then EURO_4m. So EURO_1m, EURO_2m and EURO_3m are missing. I understand it's sort of vague question from me and do apologize for the same. Any suggestion please. Regards Katherine [[alternative HTML version deleted]]
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