Pull Return from first business day of the month from XTS object using R

Question

I am very new to R so apologies if I get any of the terminology wrong when I explain this problem.

I have a set of daily returns data in a csv file that I have manag

Answer 1

Thanks to the power of the base R language, you can do this in one line:

 library(xts)
 data(sample_matrix)
 x <- as.xts(sample_matrix)
 do.call(rbind, lapply(split(x, "months"), first))

To explain what each step is doing:

 # Split the xts object into a list with an element for each month.
 x1 <- split(x, "months")
 # Loop over the list (x1) and call the first() function on each element.
 # This returns a new list where each element only contains the first observation
 # from each respective element in x1.
 x2 <- lapply(x1, first)
 # Call rbind() with all the elements of x2 as arguments to rbind()
 # Same as rbind(x2[[1]], x2[[2]], ..., x2[[N]])
 x3 <- do.call(rbind, x2)