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

Spencer Graves spencer.graves at pdf.com
Sun Oct 29 03:36:15 CET 2006

      What level of help do you need?  Have you tried listing the 
function 'holidayNYSE', making a local copy, then editing it do what you 
want?  After you've tried that, please send the results to Diethelm 
Wuertz and me.  If you can't make it work, please explain the problem. 

      Hope this helps. 
      Spencer Graves

Joe W. Byers wrote:
> 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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