[R-SIG-Finance] isBizday question

Joe Byers joe-byers at utulsa.edu
Thu Oct 5 20:19:23 CEST 2006


I have the following code to create a calendar time sequence to perform 
a simulation
MTMDate<-'2006-09-25';
lastDay<-'2007-03-31';
traj<-500;
##############end input section
dt<-1/365;

#build calendar
calday<-timeSequence(from = MTMDate, to = lastDay,by = 
"day",FinCenter='America/Eastern')
#get rid of holidays and weekends
calday<-calday[isBizday(calday,holidays=holiday.NYSE())];

The problem is that the holidays are only eliminated for the current 
year, 2006, not the next year 2007.

Does anyone have a suggestion that I can use to get the isBizday method 
to also see the multiple years for the holidays?

Thank you
Joe



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