Monthly Archives: March 2012

Download and Parse DJ/UBS Commodities Indexes

Here is another data downloading and parsing script, this one for the Dow Jones/UBS Commodities Indexes. Compared to the last post, this parser deals with multiple sheets and multiple columns in each sheet. It also constructs monthly series from the daily data, and stores it using a different symbol. Finally, it’s a good example of how a script can be functionalized, maybe for use with cron.

Let’s look at the code…
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Download and Parse NAREIT Data

This is the first post of a series that describes how to download and parse specific data sets into R. These kinds of scripts can be functionalized further, but I doubt that these will ever find their way into a formal package. They are intended to be helpful to those facing similar tasks, but as demonstration scripts they will not be supported.

This is a script for downloading and parsing a monthly total return series of the FTSE NAREIT U.S. Real Estate Index. The spreadsheet can be downloaded from their website manually, but as you will see later, we don’t have to. Download the spreadsheet if you want to look at how it is structured.

This script can be found in the /inst/parser directory of FinancialInstrument on R-Forge.

After I parse the data, I want to store it and make it available for other R sessions to use. To do that, I’m going to use FinancialInstrument to register the location of the data so that I can retrieve it with getSymbols, much like I might do to retrieve data from Yahoo.

Let’s take a look at the script…
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