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

Whit Armstrong armstrong.whit at gmail.com
Mon Sep 6 19:52:07 CEST 2010

typically, I use a list in which each element is a time series for a
particular contract.  then you can use functions to create the
continuous backwards adjusted or const maturity series you need from
the underlying individual contracts.


On Mon, Sep 6, 2010 at 6:28 AM, Matthieu Stigler
<matthieu.stigler at gmail.com> wrote:
> Hi
> 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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