[R-SIG-Finance] calendar to trading days

[Jeff Ryan]

One typo ...

getSymbols("JPY/USD", src='oanda') #forgot the forward slash



On Nov 21, 2007 9:12 AM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
> Hi Alex,
>
> I think 'trading days' may be open to interpretation with respect to
> FX - sort of up to you : )
>
> As a start with quantmod ( http://www.quantmod.com and on CRAN ) you can try:
>
> # get the rates in a zoo object indexed by Date as an object JPYUSD in
> your environment
> getSymbols("JPYUSD",src='oanda')
>
> # now just the weekdays:
> USDJPY[!weekdays(JPYUSD) %in% c('Sunday','Saturday')]
>
> # and if you always take off monday as well ; )
> USDJPY[!weekdays(JPYUSD) %in% c('Monday','Sunday','Saturday')]
>
> You could further subset that by by a list of trading holidays...
> One of probably an infinite solution set.
>
> Another option from quantmod is sourcing the data from FRED, which is
> the noon spot rate
> per US weekday:
>
> getSymbols("DEXJPUS",src="FRED")
>
> Info on FRED FX is here: http://research.stlouisfed.org/fred2/categories/94
>
> Without quantmod you won't have the quantmod weekdays.zoo function so
> you'll have to spend a bit more
> time typing to get what you want.
>
> Jeff
>
>
>
> On Nov 20, 2007 10:38 PM, Alexander Moreno <alexander.f.moreno at gmail.com> wrote:
> > Hi,
> >
> > Is there some way to convert Oanda's get.hist.quote to trading days
> > instead of calendar days using some simple technique?
> >
> > Thanks,
> > Alex
> >
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