[R-SIG-Finance] Adding NYMEX to holidays calendar
Joe W. Byers
Joe-Byers at utulsa.edu
Fri Oct 20 19:22:09 CEST 2006
Rmetrics
Can anyone help me create a new holidays calendar method like
holidaysNYSE() for NYMEX holidays. The only difference is the holidays
for Independence day and thanks giving.
Independence Day
Monday, July 3*
Tuesday, July 4
(Electronic trading closed Sunday and Monday, July 2 and 3; reopens
6:00 PM, July 4)
Thanksgiving
Thursday, November 23
Friday, November 24
(NYMEX ClearPort® and CME Globex® open both days)
NYMEX is closed on Monday July 3rd this year since the 4th is on a
Tuesday and Friday the day following Thanksgiving. This will end in
2007 according to NYMEX. The Independence day holiday I think will
observe Friday as a holiday when the 4th is on a Thurs but, according to
NYMEX they are not sure for 2007. Also the webpage
http://www.nymex.com/holida_schedu.aspx notes that Christmas eve will
become a holiday in 2007 but expirations will not change. I am sending
their customer service a request to post a document with the holiday
rules as well as these tables for those of us who worry about a
derivatives calendar.
Thank you
Joe
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