Convert index to Date using index timezone

Both the indexClass<-.xts() call and the indexTZ<-.xts() calls set the
index timezone to UTC, but does not change the actual index values.
The call to 'index(x) <- index(x)' updates the values, but the dates
will calculated as if the local time is UTC, not the local time of the
user-specified xts object. This can cause the output to be different
than if the local timezone is used.

Convert the index to Date using the local timezone before updating the
index timezone.

Fixes #53, #277.

NEWS

@@ -1,5 +1,9 @@
 Changed in xts 0.11-2:
 
+o The to.period() family of functions now use the index timezone when
+ converting intraday index values to daily values (or lower frequency).
+ Thanks to Garrett See and Gabor Grothendieck for the reports (#53, #277).
+
 o Make column names for merge() results with unnamed objects shorter and more
  like zoo (#248). This also makes na.fill() much faster (#259).
  BREAKING: This may break existing code for integer unnamed objects.

R/toperiod.R

@@ -192,6 +192,8 @@ function(x) {
  if(is.xts(x)) {
  # if x is xts, drop HHMMSS from index
  if(any(indexClass(x)=='POSIXt')) {
+ # convert index to Date
+ index(x) <- as.Date(index(x), tz = indexTZ(x))
  indexClass(x) <- "Date" # set indexClass to Date
  }
  if(any(indexClass(x) %in% .classesWithoutTZ)) {

inst/unitTests/runit.period.apply.R

@@ -125,3 +125,13 @@ test.period.prod_converts_index_to_integer <- function() {
  storage.mode(e) <- "numeric"
  pm <- period.prod(x, e)
 }
+
+# test conversion from intraday to daily or lower frequency
+test.intraday_to_daily <- function() {
+ set.seed(21)
+ i <- as.POSIXct("2013-02-05 01:01", tz = "America/Chicago")
+ x <- xts(rnorm(10000), i - 10000:1 * 60)
+ d <- to.daily(x)
+ dateseq <- seq(as.Date("2013-01-29"), as.Date("2013-02-05"), "day")
+ checkEqualsNumeric(index(d), dateseq)
+}