Is there a good package in R that allows to sub-set (i.e. index into) timeseries by times that are not in the time series? E.g. for financial applications, indexing a price series by a time stamp that is not in the database, should return the latest available price before the time stamp.
in code, this is what I would like
n =15
full.dates = seq(Sys.Date(), by = 'day', length = n)
series.dates = full.dates[c(1:10, 12, 15)]
require(zoo)
series=zoo(rep(1,length(series.dates)), series.dates)
series[full.dates[11]]
this returns
Data:
numeric(0)
Index:
character(0)
however, I would like this to return the value of the last existing date before full.dates[11], which is full.dates[10]:
series[full.dates[10]]
2014-01-03
1
Thanks