rolling computations in xts by month

Question

I am familiar with the zoo function rollapply which allows you to do rolling computations on zoo or xts objects and you c

Answer 1

You want period.apply(), or its convenience helper apply.monthly(), both in xts.

Example:

R> foo <- xts(1:100, order.by=Sys.Date()+0:99)
R> apply.monthly(foo, sum)
           [,1]
2012-08-31  105
2012-09-30  885
2012-10-31 1860
2012-11-25 2200
R> 

or equally

R> apply.monthly(foo, quantile)
           0%   25%  50%   75% 100%
2012-08-31  1  4.25  7.5 10.75   14
2012-09-30 15 22.25 29.5 36.75   44
2012-10-31 45 52.50 60.0 67.50   75
2012-11-25 76 82.00 88.0 94.00  100
R> 

just to prove that functions returning more than one value can be used too.