[R-SIG-Finance] How to calculate Trading Days

[Noah Silverman]

That makes perfect sense. 

However, using the difftimeDate function from fCalendar just gives me a
count.  Is there another function that will return a vector of days
between two dates? 

Thanks!

-N


On 11/7/10 8:50 AM, Brian G. Peterson wrote:
> 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
>