[R-SIG-Finance] How to calculate Trading Days
Brian G. Peterson
brian at braverock.com
Sun Nov 7 17:50:29 CET 2010
On Sat, 06 Nov 2010 18:35:13 -0700, Noah Silverman
<noah at smartmediacorp.com> wrote:
> Hi,
>
> I'm working on some option value pricing models. Starting with the
> GBSvolatility for example. All of the various formulas require a Time
> parameter (fraction of year) until expiration. Ideally, I want to
> compute it as:
> "trading days until expiration" / 252
>
> Give two days, I can use the difftimeDate to get the number of days
> between them, However I can't seem to find a way to get Trading Days
> (which excludes weekends and holidays.) I've looked through rseek.org
> and many library's documentation, but can't find a way to do this.
>
> One thought would be to generate a vector of dates between the start and
> end days. Then test EACH date to see if it was a holiday or weekend.
> This could work, but seems very inefficient.
>
> Does anyone know of a way to calculate Trading Days between two dates???
> (Surely I can't be the only person here who needs this in R.)
Each exchange has a different calendar. Most people keep a calendar in a
database for each exchange they trade on. This can then be matched to the
exchange meta-data for each instrument you trade.
Since you seem to be using timeDate, you could take a close look at
fCalendar and see if the holiday functions included there will solve your
problem.
A more efficient method of extracting holidays would be to generate
vectors of weekends and holidays and the remove the weekends and holidays
vectors from your vector of all days.
Regards,
- Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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