[R-SIG-Finance] Futures Roll?

Whit Armstrong armstrong.whit at gmail.com
Thu Aug 5 03:04:49 CEST 2010

you can play with this:

it will need some tweaking to do what you want.


On Wed, Aug 4, 2010 at 4:45 PM, Raghu <r.raghuraman at gmail.com> wrote:
> guRus
> Is there any function to get a continuous stream of futures time series when
> the inputs are a series of contracts? specifically if the contracts are x1,
> x2, x3 etc, then the output X should be defined as x1 which gets rolled over
> to x2 at a predetermined date (say n days before the expiry of x1) and then
> x2 to x3 etc.
> x= x1 (upto date1) then x=x2(upto date2).......
> Bloomberg's GFUT does something similar.
> Also Is there a function to check an expiry date given a logic, say every
> third wednesday of the month prior to the futures month (options expiry)
> etc?
> Thx
> --
> 'Raghu'
>        [[alternative HTML version deleted]]
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

More information about the R-SIG-Finance mailing list