[R-SIG-Finance] Adding NYMEX to holidays calendar

Joe W. Byers Joe-Byers at utulsa.edu
Fri Oct 20 19:22:09 CEST 2006


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)
	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

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