r - 在R中向后滚动时间序列

Question

我需要在知道回报的情况下向后填充历史价格（在实际情况下它们是模拟的）。到目前为止，我有这个代码：

library(quantmod)
getSymbols("AAPL")
df = AAPL["2014-01-01/2015-01-01", "AAPL.Close"]
df_ret = diff(log(df),1)
# imagine the half of the past prices are missing
df["2014-01-01/2014-07-01"] = NA
df_tot = cbind(df, df_ret)

fillBackwards = function(data, range_to_fill){
  index_array = index(data[range_to_fill,])
  data_out = data
  for (i in (length(index_array)-1):1){
    inx = index_array[i]
    inx_0 = index_array[i+1]
    data_out[inx,1] = exp(-(data_out[inx_0,2]))*(data_out[inx_0,1])
  }
  return (data_out)
}

df_filled = fillBackwards(df_tot,"2014-01-01/2014-07-02")

sum(AAPL["2014-01-01/2015-01-01", "AAPL.Close"] - df_filled[,1]) # zero up to computation error, i.e. identical

这很完美，但有点慢。您能否建议使用内置的 rollapply()

# i want something like this 
df_filled = rollapply(df_tot["2014-07-02/2014-01-01",], by=-1, function(x) {....})

Answer 1

您不需要rollapply, 或循环。您可以cumprod在退货时使用。这是一个fillBackwards使用的版本cumprod：

fillBackwards <- function(data, range_to_fill) {
  data_range <- data[range_to_fill,]

  returns <- rev(coredata(data_range[-1L, 2L]))
  last_price <- drop(coredata(last(data_range[, 1L])))

  new_prices <- rev(last_price * cumprod(exp(-returns)))
  data[range_to_fill, 1L] <- c(last_price, new_prices)

  return(data)
}