拆分数据帧为基于在XTS信息的多个数据帧对象

Question

我真的需要你对以下问题的帮助：

我有两个数据帧 - 含ISIN和群集信息证券的投资组合之一。

> dfInput 

      TICKER     CLUSTER     SECURITY.NAME 
1  LU0937588209    High Yield  Prime Capital Access SA SICAV- 
2  LU0694362343    High Yield  ECM CREDIT FUND SICAV - ECM Hi 
3  IE0030390896    High Yield  Putnam World Trust - Global Hi 
4  LU0575374342     EM Debt  Ashmore SICAV - Emerging Marke 
5  LU0493865678     EM Debt  Ashmore SICAV - Emerging Marke 
6  LU0972237696     EM Debt  Galloway Global Fixed Income F 
7  IE00B6TLWG59     ILS/CAT  GAM Star Fund PLC - Cat Bond F 
8  LU0816333396     ILS/CAT  LGT Lux I - Cat Bond Fund 
9  LU0879473352    L/S Credit  Merrill Lynch Investment Solut 
10 HINCFEF ID Equity    L/S Credit  Hedge Invest International Fun 
11  FR0011034800    L/S Credit  Schelcher Prince Opportunite E 
12 PIMCSEI ID Equity    L/S Credit  PIMCO Funds Global Investors S 
13  VTR US Equity     REITs  Ventas Inc 
14  HCP US Equity     REITs  HCP Inc 
15 VGSIX US Equity     REITs  Vanguard REIT Index Fund 
16  NLY US Equity     M REITs  Annaly Capital Management Inc 
17 CLNY US Equity     M REITs  Colony Financial Inc 
18 AGNC US Equity     M REITs  American Capital Agency Corp 
19  REM US Equity     M REITs  iShares Mortgage Real Estate C 
20  ES0130960018 Infrastructure Equities  Enagas SA 
21 SDRL US Equity Infrastructure Equities  Seadrill Ltd 
22  IGF US Equity Infrastructure Equities  iShares Global Infrastructure 
23  KMP US Equity      MLP  Kinder Morgan Energy Partners 
24  EPD US Equity      MLP  Enterprise Products Partners L 
25 MLPI US Equity      MLP  ETRACS Alerian MLP Infrastruct 
26 HTGC US Equity      BDC  Hercules Technology Growth Cap 
27 TCPC US Equity      BDC  TCP Capital Corp 
28 MAIN US Equity      BDC  Main Street Capital Corp 
29 BDCS US Equity      BDC  ETRACS Linked to the Wells Far 

另含有多个时间序列这些证券与证券名称作为列名的回报率（该数据从一个Excel文件来）

> PortfolioR.xts 

       Ventas.Inc  HCP.Inc .... 
2011-01-03 0.0000000000 0.0000000000 
2011-01-04 -0.0117725362 -0.0056323067 
2011-01-05 -0.0081155489 0.0018809625 
2011-01-06 -0.0009479572 -0.0154202974 
2011-01-07 -0.0058974774 -0.0054674822 
2011-01-10 -0.0074691528 -0.0077050464 
2011-01-11 -0.0036591278 0.0052348928 
2011-01-12 0.0132249172 -0.0091097938 
2011-01-13 0.0015220703 0.0085600412 
2011-01-14 0.0058762372 -0.0038567541 
2011-01-17 0.0000000000 0.0000000000 
2011-01-18 0.0157513101 -0.0002760525 
2011-01-19 -0.0059712810 -0.0074823683 
2011-01-20 0.0013092679 0.0049944610 
2011-01-21 0.0013075560 -0.0055509440 
... 

我怎么能现在拆分XTS对象基于投资组合的集群信息？

结果应该是为每个CLUSTER单独的data.frame或xts对象包含属于该集群的证券的返回历史记录。

这可能吗？

预先感谢您...

Answer 1

下面是做这件事：

setNames(lapply(unique(dfInput$CLUSTER), function(x) { 
    PortfolioR[, which(dfInput$CLUSTER[match(colnames(PortfolioR), 
              dfInput$SECURITY.NAME)] == x)] 
}), unique(dfInput$CLUSTER)) 

例如：

# Set up some fake data 
d1 <- data.frame(grp=sample(LETTERS[1:4], 10, replace=TRUE), 
       name=letters[1:10]) 

d1 

# grp name 
# 1 A a 
# 2 B b 
# 3 B c 
# 4 D d 
# 5 C e 
# 6 B f 
# 7 B g 
# 8 A h 
# 9 D i 
# 10 A j 

d2 <- matrix(round(runif(50), 2), ncol=10) 
colnames(d2) <- letters[1:10] 
library(xts) 
d2 <- xts(d2, seq.Date(as.Date('01-01-2011', '%d-%m-%Y'), 
         as.Date('5-01-2011', '%d-%m-%Y'), 1)) 

d2 

#    a b c d e f g h i j 
# 2011-01-01 0.51 0.41 0.69 0.87 0.37 0.86 0.47 0.68 0.64 0.73 
# 2011-01-02 0.72 0.92 0.53 0.55 0.62 0.54 0.75 0.64 0.04 0.72 
# 2011-01-03 0.34 0.50 0.92 0.23 0.59 0.09 0.78 0.53 0.26 0.27 
# 2011-01-04 0.52 0.47 0.49 0.25 0.18 0.07 0.65 0.13 0.46 0.74 
# 2011-01-05 0.10 0.87 0.10 0.48 0.58 0.72 0.96 0.71 0.78 0.80 

out <- setNames(sapply(unique(d1$grp), function(x) { 
    d2[, which(d1$grp[match(colnames(d2), d1$name)] == x)] 
}), unique(d1$grp)) 

out 

# $A 
#    a h j 
# 2011-01-01 0.51 0.68 0.73 
# 2011-01-02 0.72 0.64 0.72 
# 2011-01-03 0.34 0.53 0.27 
# 2011-01-04 0.52 0.13 0.74 
# 2011-01-05 0.10 0.71 0.80 
# 
# $B 
#    b c f g 
# 2011-01-01 0.41 0.69 0.86 0.47 
# 2011-01-02 0.92 0.53 0.54 0.75 
# 2011-01-03 0.50 0.92 0.09 0.78 
# 2011-01-04 0.47 0.49 0.07 0.65 
# 2011-01-05 0.87 0.10 0.72 0.96 
# 
# $C 
#    d i 
# 2011-01-01 0.87 0.64 
# 2011-01-02 0.55 0.04 
# 2011-01-03 0.23 0.26 
# 2011-01-04 0.25 0.46 
# 2011-01-05 0.48 0.78 
# 
# $D 
#    e 
# 2011-01-01 0.37 
# 2011-01-02 0.62 
# 2011-01-03 0.59 
# 2011-01-04 0.18 
# 2011-01-05 0.58 

如果你想在列表中的元素（这是xts对象）要在全局环境中独立xts对象，可以使用list2env：

list2env(out, globalenv()) 

这将覆盖全局环境中与列表元素具有相同名称的所有对象（即， A，B，C和D）。