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Question

매일 (TRADEDATE) BOOK 및 COMMODITY에서 고유하게 식별되는 항목이 있습니다. 각 항목에는 매일 변경되는 현재 값 (PV)이 있습니다. 지난 달의 마지막 달력 날짜와 PV의 차이가있는 열을 얻고 싶습니다. I 루프를 이용하여 해결하지만 아무도 더 우아한 (빠른 용액)을 제안 할 수 궁금 하였다

library(data.table) 

bwTab 
COMMODITY  BOOK TRADEDATE PV Desired Column 
    1:  CASH HS_OPT_GEN 2012-09-30 66669.68 NA 
    2:  CASH HS_OPT_GEN 2012-10-01 76333.83 9664.15 
    3:  CASH HS_OPT_GEN 2012-10-02 76333.83 9664.15 
    4:  CASH HS_OPT_GEN 2012-10-03 76333.83 9664.15 
    5:  CASH HS_OPT_GEN 2012-10-04 76333.83 9664.15 
    ---  
3050:  OIL HO_OIL_FIN 2012-09-30 21330.55 NA 
    ---  
3066:  OIL HO_OIL_FIN 2012-10-26 42661.28 21330.73 
3067:  OIL HO_OIL_FIN 2012-10-27 21330.69 0.14 
3068:  OIL HO_OIL_FIN 2012-10-28 21330.68 0.13 
3069:  OIL HO_OIL_FIN 2012-10-29 21330.78 0.23 

# Here is my solution 

# Define a function for last day of previous month 
pme <- function(date) {as.Date(paste("01",month(date),year(date),sep="."),"%d.%m.%Y")-1} 

difftopme <- function(a) { 

if (nrow(bwTab[COMMODITY==a[,COMMODITY] & BOOK==a[,BOOK] & TRADEDATE==pme(a[,STICHTAG]),])==0) {NA} else { 
    a[,PV]-bwTab[COMMODITY==a[,COMMODITY] & BOOK==a[,BOOK] & TRADEDATE==pme(a[,TRADEDATE]),PV] } 
} 

for (i in 1:nrow(bwTab)){a <- difftopme(bwTab[i,]) ; if (i==1){diffPVme <- a} else {diffPVme <- c(a,diffPVme)}} 


######################### 
dput(bwTab[1000:1010,]) 
structure(list(COMMODITY = c("ELEC", "ELEC", "ELEC", "ELEC", 
"ELEC", "ELEC", "ELEC", "ELEC", "ELEC", "ELEC", "ELEC"), BOOK = c("HS_OUK_MKT", 
"HS_OUK_MKT", "HS_OUK_MKT", "HS_OUK_MKT", "HS_OUV_EVO", "HS_OUV_EVO", 
"HS_OUV_EVO", "HS_OUV_EVO", "HS_OUV_EVO", "HS_OUV_EVO", "HS_OUV_EVO" 
), STICHTAG = structure(c(1353798000, 1353970800, 1354057200, 
1354143600, 1348956000, 1349042400, 1349128800, 1349215200, 1349301600, 
1349388000, 1349474400), class = c("POSIXct", "POSIXt"), tzone = ""), 
    BROKERAGE = c(123406.66, 61791.17, 62229.17, 62492.57, 0, 
    0, 0, 0, 0, 0, 0), DV = c(72873524.86, 38096138.75, 38283589.07, 
    38236199.05, 23171721.81, 23178889.59, 23187553.93, 23187426.98, 
    23173154.67, 23149439.13, 23149469.88), REALIZED = c(47002372.1, 
    23501186.05, 23501186.05, 23501186.05, 22961528, 22961528, 
    22961528, 22961528, 22961528, 22961528, 22961528), PV = c(25871152.76, 
    14594952.7, 14782403.02, 14735013, 210193.81, 217361.59, 
    226025.93, 225898.98, 211626.67, 187911.13, 187941.88), PV_ND = c(25973196.64, 
    14654807.46, 14843080.44, 14795220.35, 210222.01, 217386.44, 
    226048.76, 225920.76, 211641.41, 187919.95, 187949.85), BROKER_R = c(0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0), CREDIT_R = c(0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0), STRUCTURE_R = c(0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0), BROKER_UR_D = c(0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0 
    ), CREDIT_UR_D = c(0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0), STRUCTURE_UR_D = c(0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0), BROKER_UN_UND = c(0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0), CREDIT_UN_UND = c(0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0), STRUCTURE_UN_UND = c(0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0)), .Names = c("COMMODITY", "BOOK", "STICHTAG", 
"BROKERAGE", "DV", "REALIZED", "PV", "PV_ND", "BROKER_R", "CREDIT_R", 
"STRUCTURE_R", "BROKER_UR_D", "CREDIT_UR_D", "STRUCTURE_UR_D", 
"BROKER_UN_UND", "CREDIT_UN_UND", "STRUCTURE_UN_UND"), sorted = c("COMMODITY", 
"BOOK", "STICHTAG"), class = c("data.table", "data.frame"), row.names = c(NA, 
-11L), .internal.selfref = <pointer: 0x014024a0>) 

Answer 1

# the zoo library has a year-month class, 
# which makes it easy to find the month's end 
library(zoo) 

# just use the first eight records of mtcars as an example 
x <- mtcars[ 1:8 , ] 

# as an example, 
# stick a bunch of dates onto the x data frame 
x$TRADEDATE <- 
    c('2012-10-31' , '2012-11-17' , '2012-11-30' , '2012-12-15' , '2012-12-13' , '2012-12-15' , '2012-08-31' , '2012-09-22') 

# calculate each date's end-of-month of the previous month 
# just subtract by 1/12th to get this! 
month.ends <- 
    as.Date( 
     as.yearmon( 
      x$TRADEDATE 
     ) - 1/12 , 
     # frac = 1 indicates "the end of this period" -- 
     # frac = 0 would be the start. 
     frac = 1 
    ) 

# isolate the rows that exactly match the month end date for each given date 
month.end.rows <- 
    # convert the rows to an integer vector 
    as.integer( 
     # figure out which rows contain the `month.ends` for every record in the data table 
     lapply( 
      # run each value in `month.ends` through.. 
      month.ends , 
      # this new simple which(x == y) function 
      function(x , y) which(x == y) , 
      # where `y` is the full contents of the TRADEDATE column of your data frame 
      as.Date(x$TRADEDATE) 
     ) 
    ) 

# note that month.end.rows' length == nrow(x) 
stopifnot(length(month.end.rows) == nrow(x)) 

# now just subtract something from the same variable using its respective month end date 
x[ , "desired.column" ] <- x[ , "carb" ] - x[ month.end.rows , "carb" ]