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Best, -Tir ________________________________ From: Patnaik, Tirthankar [GWM-CIR] Sent: Tuesday, May 15, 2007 2:55 PM To: '[EMAIL PROTECTED]' Cc: r-help@stat.math.ethz.ch; [EMAIL PROTECTED] Subject: RE: [R] Conditional Sums for Index creation All, Happy to say that the problem could be solved. The key idea was from Patrick Burns (Convert the data-frame to a matrix!). As written earlier, the steps were to first get a object (call it ad) containing the non-missing entries at each row. Then run a sum over each row, selecting only those columns that are pointed to in the object ad. Another quick step was to use the fact that if there's an NA in any column (after a stock has entered the portfolio), then we could use the previous value just as well (e.g., the market cap of a stock). So na.locf was a big help! Just providing the code here for illustration purposes: > set.seed(1) > ab <- matrix(round(runif(100)*100),nrow=20,ncol=5) > ab[1:5,4:5] <- NA > ab[6:10,5] <- NA > ac <- as.data.frame(ifelse(ab <= 7,NA,ab)) > ac V1 V2 V3 V4 V5 1 27 93 82 NA NA 2 37 21 65 NA NA 3 57 65 78 NA NA 4 91 13 55 NA NA 5 20 27 53 NA NA 6 90 39 79 26 NA 7 94 NA NA 48 NA 8 66 38 48 77 NA 9 63 87 73 8 NA 10 NA 34 69 88 NA 11 21 48 48 34 24 12 18 60 86 84 NA 13 69 49 44 35 64 14 38 19 24 33 88 15 77 83 NA 48 78 16 50 67 10 89 80 17 72 79 32 86 46 18 99 11 52 39 41 19 38 72 66 78 81 20 78 41 41 96 60 > > # ----------------------------------------------------- > # Indexes of all the non-missing in all the rows > ad <- apply(ac,1,function(y)which(!is.na(y))) > > af <- data.matrix(na.locf(ac,na.rm=FALSE)) > # Include another column as placeholder > ag <- cbind(af,rep(1,nrow(af))) > # Call it, "sumCorr". > colnames(ag)[6] <- "sumCorr" > ag[1,6] <- sum(ag[1,],na.rm=TRUE) > for (r in 2:nrow(ag)){ + sumCorr <- unlist(sum(ag[r,unlist(ad[r-1])],na.rm=TRUE)) + ag[r,6] <- sumCorr + } > ag V1 V2 V3 V4 V5 sumCorr 1 27 93 82 NA NA 203 2 37 21 65 NA NA 123 3 57 65 78 NA NA 200 4 91 13 55 NA NA 159 5 20 27 53 NA NA 100 6 90 39 79 26 NA 208 7 94 39 79 48 NA 260 8 66 38 48 77 NA 143 9 63 87 73 8 NA 231 10 63 34 69 88 NA 254 11 21 48 48 34 24 130 12 18 60 86 84 24 272 13 69 49 44 35 64 197 14 38 19 24 33 88 202 15 77 83 24 48 78 310 16 50 67 10 89 80 286 17 72 79 32 86 46 315 18 99 11 52 39 41 242 19 38 72 66 78 81 335 20 78 41 41 96 60 316 > Gaurav, Anything to not implement a double for-loop! :) With the implementation, I was able to generate my index at last. Perhaps it's because I'm quite new with R, but I find it quite arcane sometimes! :) best, -Tir Tirthankar Patnaik India Strategy Citigroup Investment Research +91-22-6631 9887 ________________________________ From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] Sent: Monday, May 14, 2007 6:29 PM To: Patnaik, Tirthankar [GWM-CIR] Cc: r-help@stat.math.ethz.ch; [EMAIL PROTECTED] Subject: Re: [R] Conditional Sums for Index creation Hi Tirthankar this will help you ind is a matrix which indicates the start of any new stock. ind[i,j] means that in j + 1 column all the values from 1st row to i - 1 row are all NAs. > x V2 V3 V4 V5 V6 [1,] 27 93 82 NA NA [2,] 37 21 65 NA NA [3,] 57 65 78 NA NA [4,] 91 13 55 NA NA [5,] 20 27 53 NA NA [6,] 90 39 79 26 NA [7,] 94 NA NA 48 NA [8,] 66 38 48 77 NA [9,] 63 87 73 8 NA [10,] NA 34 69 88 NA [11,] 21 48 48 34 24 [12,] 18 60 86 84 NA [13,] 69 49 44 35 64 [14,] 38 19 24 33 88 [15,] 77 83 NA 48 78 [16,] 50 67 10 89 80 [17,] 72 79 32 86 46 [18,] 99 11 52 39 41 [19,] 38 72 66 78 81 [20,] 78 41 41 96 60 > > for ( j in 1:length(x[1,]) - 1) { + for ( i in 2:length(x[,1])) { + indicator<-TRUE + for (k in 1: i - 1){ + indicator <- indicator && is.na(x[k,j+1]) + } + ind[i,j]<-indicator + + } + } > ind V2 V3 V4 V5 V6 [1,] NA NA NA NA NA [2,] 0 0 NA NA 0 [3,] 0 0 NA NA 0 [4,] 0 0 NA NA 0 [5,] 0 0 NA NA 0 [6,] 0 0 NA NA 0 [7,] 0 0 0 NA 0 [8,] 0 0 0 NA 0 [9,] 0 0 0 NA 0 [10,] 0 0 0 NA 0 [11,] 0 0 0 NA 0 [12,] 0 0 0 0 0 [13,] 0 0 0 0 0 [14,] 0 0 0 0 0 [15,] 0 0 0 0 0 [16,] 0 0 0 0 0 [17,] 0 0 0 0 0 [18,] 0 0 0 0 0 [19,] 0 0 0 0 0 [20,] 0 0 0 0 0 > Regards, Gaurav Yadav +++++++++++ Assistant Manager, CCIL, Mumbai (India) Mob: +919821286118 Email: [EMAIL PROTECTED] Bhagavad Gita: Man is made by his Belief, as He believes, so He is "Patnaik, Tirthankar " <[EMAIL PROTECTED]> Sent by: [EMAIL PROTECTED] 05/14/2007 11:53 AM To <r-help@stat.math.ethz.ch> cc Subject [R] Conditional Sums for Index creation Hi, Apologies for the long mail. I have a data.frame with columns of price/mcap data for a portfolio of stocks, and the date. To get the total value of the portfolio on a daily basis, I calculate rowSums of the data.frame. > set.seed(1) > ab <- matrix(round(runif(100)*100),nrow=20,ncol=5) > ab[1:5,4:5] <- NA > ab[6:10,5] <- NA > ac <- as.data.frame(ifelse(ab <= 7,NA,ab)) > ac V1 V2 V3 V4 V5 1 27 93 82 NA NA 2 37 21 65 NA NA 3 57 65 78 NA NA 4 91 13 55 NA NA 5 20 27 53 NA NA 6 90 39 79 26 NA 7 94 NA NA 48 NA 8 66 38 48 77 NA 9 63 87 73 8 NA 10 NA 34 69 88 NA 11 21 48 48 34 24 12 18 60 86 84 NA 13 69 49 44 35 64 14 38 19 24 33 88 15 77 83 NA 48 78 16 50 67 10 89 80 17 72 79 32 86 46 18 99 11 52 39 41 19 38 72 66 78 81 20 78 41 41 96 60 > Here the rows 1:20 are dates (also in my data.frame). Since some of the prices have NA, the rowSums is made to ignore these entries. > rowSums(ac,na.rm=TRUE) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 202 123 200 159 100 234 142 229 231 191 175 248 261 202 286 296 315 242 335 316 > Stocks are being added to the portfolio too. So from date=6 (or row=6) we have the 4th stock V4, and from date=11, we have the 5th stock V5. My problem is that I need to calculate the rowSums for row=6 (When a new stock was added), _with_ and _without_ the new stock. So my answer for row=6 would be 234 for the plain row-sum, and 234 - 26 = 208 for the original set of stocks (without V4). Similarly, my answer for row=11 would be 175 for the plain sum, and 175 - 24 = 151 for the original sum (without V5). Basically I'm interested in finding out the value of the portfolio with and without the new stock for the purposes of creating an index. It's possible that some stocks my get dropped later, in which case there would be an NA series starting for say V1 at row=18 and so on. In that case, the aim would be to find the sum at row=18 with and without the value of V1. Is there any way I can get the sum over columns, deleting specific colums? To get the columns that are NA in any row, I tried (shown for the first 12 rows): > apply(ac[1:12,],1,function(y)which(is.na(y))) Which correctly gives $`1` V4 V5 4 5 $`2` V4 V5 4 5 $`3` V4 V5 4 5 $`4` V4 V5 4 5 $`5` V4 V5 4 5 $`6` V5 5 $`7` V2 V3 V5 2 3 5 $`8` V5 5 $`9` V5 5 $`10` V1 V5 1 5 $`11` integer(0) $`12` V5 5 > But now I'm stuck. I don't how to use this list of indices at each row to exclude my columns. Any pointers please? Would such an exercise be easier if I use a time-series based object, like a zoo. TIA and best, -Tir Tirthankar Patnaik India Strategy Citigroup Investment Research +91-22-6631 9887 ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ======================================================================== ==================== DISCLAIMER AND CONFIDENTIALITY CAUTION:\ \ This message and ...{{dropped}} ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.