[R-SIG-Finance] How to calculate Trading Days
Brian G. Peterson
brian at braverock.com
Sun Nov 7 19:40:46 CET 2010
On Sun, 07 Nov 2010 10:02:29 -0800, Noah Silverman
<noah at smartmediacorp.com> wrote:
> 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?
and then use the fCalendar functions to sort out your holidays by
> 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
>>> 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
>>> (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
>> database for each exchange they trade on. This can then be matched to
>> 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
>> A more efficient method of extracting holidays would be to generate
>> vectors of weekends and holidays and the remove the weekends and
>> vectors from your vector of all days.
>> - Brian
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Brian G. Peterson
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