[R-SIG-Finance] How to calculate Trading Days
noah at smartmediacorp.com
Sun Nov 7 19:02:29 CET 2010
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?
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:
>> 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
> 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.
> - Brian
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