[R-SIG-Finance] How to deal with futures data?
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:
> 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
> Thanks a lot
> Matthieu Stigler
> R-SIG-Finance at stat.math.ethz.ch mailing list
> -- 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