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Version 1.6.2  (2003-01-10)

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> invisible(options(echo = TRUE))
> library(survival)
> 
> source("index.r")
> source("stock.r")
> source("bonds.r")
> source("fx.r")
> source("famfr.r")
> 
> assets <- merge(x=index, y=stock, by.x="caldt", by.y="caldt", all=TRUE)
> assets <- merge(x=assets, y=bonds, by.x="caldt", by.y="caldt", all=TRUE)
> assets <- merge(x=assets, y=fx, by.x="caldt", by.y="caldt", all=TRUE)
> 
> caldt <- assets$caldt
> assets <- 100.0*assets;
> assets$caldt <- caldt
> 
> assets <- merge(x=assets, y=famfr, by.x="caldt", by.y="caldt", all=TRUE)
> 
> rm(index,stock,bonds,fx,famfr)
> 
> assets <- assets[assets$caldt > 19710000,]
> 
> crashXLM.idx <- (assets$sp500 < -4.5) & (!is.na(assets$sp500))
> 
> tmp <- assets[crashXLM.idx,]
> dat <- paste("Day",tmp$caldt,sep="")
> tmp <- tmp[,-1]
> lab <- names(tmp)
> tmp <- t(tmp)
> tmp <- cbind(lab,tmp)
> tmp <- data.frame(tmp)
> names(tmp) <- c("PORTFOLIO",dat)
> crashXLM <- tmp
> 
> write.table(crashXLM,file="crashXLM.csv",quote=F,sep=",",na="",row.names=F)
> 
> rallyXLM.idx <- (assets$sp500 >  4.5) & (!is.na(assets$sp500))
> 
> tmp <- assets[rallyXLM.idx,]
> dat <- paste("Day",tmp$caldt,sep="")
> tmp <- tmp[,-1]
> lab <- names(tmp)
> tmp <- t(tmp)
> tmp <- cbind(lab,tmp)
> tmp <- data.frame(tmp)
> names(tmp) <- c("PORTFOLIO",dat)
> rallyXLM <- tmp
> 
> write.table(rallyXLM,file="rallyXLM.csv",quote=F,sep=",",na="",row.names=F)
> 
> crash80.idx <- (assets$sp500 < -3.5) & (!is.na(assets$sp500)) &
+                (assets$caldt > 19800000) & (assets$caldt < 19900000)
> 
> tmp <- assets[crash80.idx,]
> dat <- paste("Day",tmp$caldt,sep="")
> tmp <- tmp[,-1]
> lab <- names(tmp)
> tmp <- t(tmp)
> tmp <- cbind(lab,tmp)
> tmp <- data.frame(tmp)
> names(tmp) <- c("PORTFOLIO",dat)
> crash80 <- tmp
> 
> write.table(crash80,file="crash80.csv",quote=F,sep=",",na="",row.names=F)
> 
> rally80.idx <- (assets$sp500 >  3.5) & (!is.na(assets$sp500)) &
+                (assets$caldt > 19800000) & (assets$caldt < 19900000)
> 
> tmp <- assets[rally80.idx,]
> dat <- paste("Day",tmp$caldt,sep="")
> tmp <- tmp[,-1]
> lab <- names(tmp)
> tmp <- t(tmp)
> tmp <- cbind(lab,tmp)
> tmp <- data.frame(tmp)
> names(tmp) <- c("PORTFOLIO",dat)
> rally80 <- tmp
> 
> write.table(rally80,file="rally80.csv",quote=F,sep=",",na="",row.names=F)
> 
> crash90.idx <- (assets$sp500 < -3.5) & (!is.na(assets$sp500)) &
+                (assets$caldt > 19900000) & (assets$caldt < 20000000)
> 
> tmp <- assets[crash90.idx,]
> dat <- paste("Day",tmp$caldt,sep="")
> tmp <- tmp[,-1]
> lab <- names(tmp)
> tmp <- t(tmp)
> tmp <- cbind(lab,tmp)
> tmp <- data.frame(tmp)
> names(tmp) <- c("PORTFOLIO",dat)
> crash90 <- tmp
> 
> write.table(crash90,file="crash90.csv",quote=F,sep=",",na="",row.names=F)
> 
> rally90.idx <- (assets$sp500 >  3.5) & (!is.na(assets$sp500)) &
+                (assets$caldt > 19900000) & (assets$caldt < 20000000)
> 
> tmp <- assets[rally90.idx,]
> dat <- paste("Day",tmp$caldt,sep="")
> tmp <- tmp[,-1]
> lab <- names(tmp)
> tmp <- t(tmp)
> tmp <- cbind(lab,tmp)
> tmp <- data.frame(tmp)
> names(tmp) <- c("PORTFOLIO",dat)
> rally90 <- tmp
> 
> write.table(rally90,file="rally90.csv",quote=F,sep=",",na="",row.names=F)
> 
> proc.time()
[1] 14.28  0.20 14.56  0.00  0.00
>