[R-SIG-Finance] How to deal with futures data?

Matthieu Stigler matthieu.stigler at gmail.com
Mon Sep 6 12:28:39 CEST 2010


I would like to ask you which package you would recommend to handle 
futures data. My need is just to store the data appropriately, and 
extract simple series like nearby future or fixed maturity future.

To store the data, I tried till now with zoo, but as zoo claims itself, 
there might be problems when date entries are not unique, which is 
typically the case with futures data.

What would you recomend to store the data? And also, are you aware of 
any function that would compute a constant maturity series? I did not 
find till now...

Thanks a lot

Matthieu Stigler

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