[R-SIG-Finance] R package for continuous futures contract construction

[dave at lincke.net]

Thanks for the suggestions. However, investing into a whole new data server and mangement platform is overkill and not really an option for us in addressing our requirements wrt continuous contracts. Also, a quick perusal of the LIM Rollover language manual suggests that its functionality does not fully cover our requirements anyway.


>If you have a little cash to spare you might take a look at the LIM  
>databasae products that do all of this for you...
>
>On 22 Mar 2008, at 22:37, David-Michael Lincke wrote:
>
>> Before I reinvent the wheel, I was wondering if anybody is aware of a
>> preexisting R or Matlab package for the assembly of of continuous  
>> commodity
>> futures contracts? For my purposes this would have to support  
>> construction
>> of ratio-adjusted time series based on a configurable roll calendar.
>>
>> David
>>
>> 	[[alternative HTML version deleted]]
>>
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