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

Matthieu Stigler matthieu.stigler at gmail.com
Tue Sep 7 09:36:54 CEST 2010

Thanks Whit for your advice!

Indeed using a list could in some aspects be easier to deal for futures! 
But I feel one then loose the time series attributes, and need to 
recreate them every time, no?

Are there maybe solutions from packages dealing with options? In this 
case, one also has this double time dimension, i.e. one day has many 
different options maturities? What is the preferred way to deal with this?



Le 06. 09. 10 19:52, Whit Armstrong a écrit :
> 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.
> -Whit
> 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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