Calculating daily stock returns with some missing values

Question

I have data like

date         price 
26-12-2015   112
25-12-2015   115
24-12-2015   119
23-12-2015   NA
22-12-2015   120

I want to calculate daily returns so the syntax using ttr package is

ROC(data$price, type="discrete")

The calculation will be (112-115)-1 and so on but it will show NA for date 23-12-2015.

I want for when NA is present for previous date it should take price of the day before. I don't want to delete that row as I have dataframe with many other prices and I will lose that information.

Did you read the rules before posting? Doesnt look like. – CuriousBeing Dec 26 '15 at 13:57 — CuriousBeing, Dec 26 '15 at 13:57

score 0 · Accepted Answer · answered Dec 26 '15 at 13:58

0

If we need to replace the NA by the price of the previous row, na.locf from zoo can be used (assuming that the dataset is orderered by 'date').

library(zoo)
df1$price <- na.locf(df1$price)

answered Dec 26 '15 at 13:58

akrun

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Calculating daily stock returns with some missing values

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