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gcamilo/create_deciles.R

Created November 22, 2016 16:09
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create_deciles.R
annual_data <- data.table(year=1991:2000,ret=rnorm(200),group=1:20)
yearly_deciles <- annual_data[,data.table(t(quantile(ret,probs=seq(from=.1, to = 1, length.out=10)))),by=year]
find_decile <- function(thisReturn,year,decile_table){
for(i in 2:ncol(decile_table)){
if(thisReturn<decile_table[year==year,i,with=F])
return(i-1)
}
}
annual_data[,decile:=find_decile(ret,year,yearly_deciles),by=c("group","year")]
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