[R-SIG-Finance] NERC holiday calendar

[Joe W. Byers]

Spencer, Diethelm, and rmetrics followers,

I have created a calendar function to build out the NERC holidays for
power prices.  NERC: North American Reliability Council.  I started this
because I needed a NYMEX calendar as the text at the bottom explains,
but I am still waiting on NYMEX to reply on my questions.

The NERC holiday function is based on teh holidayNYSE function from
rmetrics and the NERC website rules found at
http://www.nerc.com/~oc/offpeaks.html

I would appreciate any help in verifying this function.  It returns the
correct holidays as shown on their website.  I am not sure if the
historical holidays are correct, especially prior to 1971 when Memorial
day was on 5/30.  I have sent the NERC contact an email with this question.

I did add a new argument to the function for the FinCenter of the
timedate class because NERC covers all North America.  User will want to
set this to the FinCenter appropriate for their use (Chicago,
Pacific,...).  It would be cool to add NERC regions to the timedate zone
or fincenter lists, but this is another discussion.

I would be honored if rmetrics would consider adding this function to
the fCalendar package.

The function is:
#North American Energy Reliabibity Council Holidays calendar
# for determining days when the 16 hour on peak hours of a day
# for the region are recognized as off peak hours.
holidayNERC<-function (year = currentYear,FinCenter = "Eastern")
{
    holidays = NULL
    for (y in year) {
        if (y >= 1885)
            holidays = c(holidays, as.character(USNewYearsDay(y)))
        if (y >= 1885)
            holidays = c(holidays, as.character(USIndependenceDay(y)))
        if (y >= 1885)
            holidays = c(holidays, as.character(USThanksgivingDay(y)))
        if (y >= 1885)
            holidays = c(holidays, as.character(USChristmasDay(y)))
        if (y >= 1887)
            holidays = c(holidays, as.character(USLaborDay(y)))
        if (y <= 1970)
            holidays = c(holidays,
as.character(USDecorationMemorialDay(y)))
        if (y >= 1971)
            holidays = c(holidays, as.character(USMemorialDay(y)))
    }
    holidays = sort(holidays)
    ans = timeDate(holidays)
    ans = ans + as.integer(as.POSIXlt(ans at Data)$wday == 0) *
        24 * 3600
    posix = as.POSIXlt(ans at Data)
    y = posix$year + 1900
    m = posix$mon + 1
    lastday = as.POSIXlt((timeCalendar(y = y + (m + 1)%/%13,
        m = m + 1 - (m + 1)%/%13 * 12, d = 1) - 24 * 3600)@Data)$mday
    ExceptOnLastFriday = timeDate(as.character(.last.of.nday(year = y,
        month = m, lastday = lastday, nday = 5)))
    ans = ans - as.integer(ans >= timeDate("1959-07-03") &
as.POSIXlt(ans at Data)$wday ==
        0 & ans != ExceptOnLastFriday) * 24 * 3600
    ans = ans[!(as.POSIXlt(ans at Data)$wday == 0 |
as.POSIXlt(ans at Data)$wday ==
        6)]
    ans at FinCenter = FinCenter
    ans
}
#########################################################################

Thank you
Joe Wayne Byers, Ph.D.

Spencer Graves wrote:
 >       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
 >>
 >> _______________________________________________
 >> R-SIG-Finance at stat.math.ethz.ch mailing list
 >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
 >>
 >