Understanding function endpoints

Question

I have a time series of returns. In the first column I have all my dates. With this function (searching for hours) I finally managed to get the first value of every month.

The problem was, that not always day 1 is the first value. Sometimes it is day 2,3,4,5 etc.

Luckily with this function it all works:

library(xts)
month<- data[,1] ## all my dates    
first.values <- month[head(endpoints(month, "months") + 1, -1)]

What I want to understand though: Why the +1 and -1? That is all I would like to understand.

I am not satisfied that the code works, I really want to understand. Unfortunately I do not have enough reputation to contact or comment someone (since I found this code here).

Answer 1

Let's prepare sample data :

month <- seq.Date(from=Sys.Date()-5,to=Sys.Date()+10,by="day")

# [1] "2018-06-18" "2018-06-19" "2018-06-20" "2018-06-21" "2018-06-22" "2018-06-23" "2018-06-24" "2018-06-25" "2018-06-26"
# [10] "2018-06-27" "2018-06-28" "2018-06-29" "2018-06-30" "2018-07-01" "2018-07-02" "2018-07-03"

xts::endpoints gives the index of the last observation of each month, always beginning with 0:

library(xts)
endpoints(month, "months") 
# [1]  0 13 16

So if you add 1, you'll have the index of the first available day of the next month and conveniently, the 0 will be the index of the 1st day of the 1st month:

endpoints(month, "months") + 1
# [1]  1 14 17

The last value is meaningless though, so we drop it:

head(endpoints(month, "months") + 1, -1)
# [1]  1 14

And we end up with your solution:

first.values <- month[head(endpoints(month, "months") + 1, -1)]
# [1] "2018-06-18" "2018-07-01"

An alternate way of doing it:

month <- as.xts(month)
first_as_list <- lapply(split(month,f="month"), function(x) index(x)[1])
do.call(c,first_as_list)
# [1] "2018-06-18" "2018-07-01"