[R-SIG-Finance] Futures Roll?

[Whit Armstrong]

you can play with this:
http://github.com/armstrtw/RCommodity/blob/master/R/r.commodity.R

it will need some tweaking to do what you want.

-Whit


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'
>
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>
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