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

[Daniel Probst]

Hi Noah,

checkout library (timeDate), especially the fns timeSequence, 
isBizday,holidayNYSE.
- Define a calendar for your exchange (use an available one as a 
template, e.g. holidayNYSE)
- define a sequence of days with  timeSequence
- subindex the sequence with isBizday using your calendar as an argument
- count the length of this result

Best
Dan




Am 07.11.2010 19:02, schrieb 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
>>
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