[R-sig-finance] nearby

Rick Ram r.ramyar at gmail.com
Mon Apr 25 17:05:44 CEST 2005


Or alternatively you could concatanate all Jan contracts, Feb contracts, 
etc... this tends to deal with jump issues and also caters for those 
securities which have seasonal tendencies e.g. agricultural, energies, etc. 
 My 2c,
 R.


On 2/16/05, davidr at rhotrading.com <davidr at rhotrading.com> wrote: 
> 
> Even if this were available, I wouldn't use it.
> This method will give you jumps when the contracts roll
> (for almost all products.)
> I would roll my own, blending from the old to the new over some period to
> smooth out the jumps. This results in more realistic volatilities and
> correlations.
> At least, that's what I've been doing for 20 years.
> 
> David Reiner
> 
> -----Original Message-----
> From: Omar Lakkis [mailto:uofiowa at gmail.com]
> Sent: Wednesday, February 16, 2005 9:06 AM
> To: r-sig-finance at stat.math.ethz.ch
> Subject: [R-sig-finance] nearby
> 
> In Splus there is a function called "nearby" (description below). Is
> there an equivalent utility in R?
> 
> Futures Nearby Creation Function
> 
> DESCRIPTION:
> Create a nearby series from a multivariate time series representing
> multiple futures contracts.
> 
> USAGE:
> nearby(x, rule, contracts)
> 
> REQUIRED ARGUMENTS:
> <b>x </b>
> multivariate time series containing futures prices for the contracts.
> <b>rule</b>
> rule giving the roll date (last date to use each contract) from one
> futures contract to the next, relative to the beginning of the
> contract month. This can be given as a time span or relative time
> object, or a character string which can be coerced into a relative
> time object.
> <b>contracts</b>
> the contract months for the columns of the time series, given as
> character strings of the form "F95", or "F1995", where the first
> letter is the month code and the remainder is the year, and where
> two−digit years are converted to four−digit years using
> options("time.century"). These should be in ascending order.
> 
> VALUE:
> a single−column time series containing the specified nearby series.
> 
> DETAILS:
> The series is generated with the following steps. First, the contract
> months are converted to dates of the first of the month, e.g. Z98
> becomes December 1, 1998. Then the roll rule is added to each date,
> to calculate the last day each column of the data set should be used.
> The time series positions and the end dates are then passed to the cut
> function to determine which column is needed for each output date,
> and these data values are subscripted from x and returned. NA will be
> the result for positions that have no valid column data.
> 
> SEE ALSO:
> timeRelative, timeSeries
> 
> EXAMPLES:
> # make a 5−column time series
> x <− timeSeries(data=matrix(1:750, ncol=5),
> pos=timeDate("1/1/1995", format="%a %02m/%02d/%Y")+1:150)
> # make a nearby series, assuming this are Feb−June 1995 contracts (ignori
> # the fact that there should be NAs in the matrix), rolling on the 3rd
> # Friday of the month before the contract month
> nearby(x, timeRelative("−1mth −1day +3fri"),
> paste(c("G", "H", "J", "K", "M"), 1995, sep=""))
> 
> _______________________________________________
> R-sig-finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> 
> _______________________________________________
> R-sig-finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>

	[[alternative HTML version deleted]]



More information about the R-sig-finance mailing list