[R-SIG-Finance] Constant maturity Futures

Thu Aug 13 23:56:15 CEST 2015

Hi Samuel,

Here's some code (also attached) that creates constant maturity
futures for VIX futures.  I wrote this code 4 years ago.  I'm not
particularly proud of it.  I don't know for sure that it works.  It
might not be elegant.  etc.  Take it for what it's worth.

You should be able to source this code and get a time series plot of
several different CMFs of varying maturities.  You'll need my qmao
package which you can install with
devtools::install_github("gsee/qmao")

#' @export
#' @rdname primary2expiry
suffix2expiry <- function(suffix, root='VX', ...) {
    if (exists(paste('suffix2expiry',root,sep="."))) {
        do.call(paste('suffix2expiry',root,sep='.'),list(suffix, ...))
    } else {
        warning(paste(root, 'is not and available suffix2expiry
method; using "VX" instead'))
        do.call('suffix2expiry.VX',list(suffix, ...))
    }
}

#' Get the expiration date of an instrument given it's primary_id
#'
#' \code{primary2expiry} is basically a wrapper for
\code{\link{suffix2expiry}}.  It uses
#' \code{\link[FinancialInstrument]{parse_id}} to split the
\code{primary_id} into rood_id and suffix_id.
#' then it calls the appropriate \code{\link{suffix2expiry}} method.
#'
#' \code{suffix2expiry} is a generic-like function.  There should be a
method defined
#' the "root_id".  Currently, written methods include "VX", "ES" (and
aliases "YM", "NQ").
#' There are links to methods help pages in the seealso section.
#'
#' @param primary_id character string.  Primary identifier of the instrument
#' @param root character string. root symbol like "ES" or "VX" (NULL)
#' @param silent silence warnings? (TRUE)
#' @param suffix character string that indicates expiration month and
year (and, for options, right and strike).
#' See \code{\link[FinancialInstrument]{parse_suffix}} for examples of
acceptable formats.
#' @param ... any arguments to be passed to the \code{suffix2expiry} method
#' @return expiration Date
#' @seealso \code{\link{suffix2expiry.VX}}, \code{\link{suffix2expiry.ES}}
#' @aliases primary2expiry, suffix2expiry
#' @author gsee
#' @examples
#' primary2expiry("ESU1")
#' suffix2expiry('V11', root='VX')
#' @export
#' @rdname primary2expiry
primary2expiry <- function(primary_id, root=NULL, silent=TRUE) {
  idlist <- parse_id(primary_id, silent=silent)
  if (is.null(root)) root <- idlist$root
  do.call(paste("suffix2expiry",root,sep='.'),
list(suffix=idlist$suffix, silent=silent))
}

#' VIX future contract expiration date
#'
#' Calculate the expiration date of a VIX future contract given a suffix_id
#'
#' Per the contract specs, expiration will occur on \dQuote{the Wednesday that
#' is thirty days prior to the third Friday of the calendar month
#' immediately following the month in which the contract expires
("Final Settlement Date").
#' If the third Friday of the month subsequent to expiration of the applicable
#' VIX futures contract is a CBOE holiday, the Final Settlement Date
for the contract
#' shall be thirty days prior to the CBOE business day immediately
preceding that Friday.}
#' @param suffix suffix_id that should be something like (\sQuote{U1},
\sQuote{U11}, or \sQuote{SEP11})
#' @param silent silence warnings? (TRUE)
#' @return an expiration Date
#' @author gsee
#' @references \url{http://cfe.cboe.com/products/spec_vix.aspx}
#' @examples
#' \dontrun{
#' suffix2expiry.VX('U11')
#' suffix2expiry.VX("JUN09")
#' }
#' @export
suffix2expiry.VX <- suffix2expiry.VIX <- function(suffix, silent=TRUE) {
    #require('timeDate')
    sl <- parse_suffix(suffix,silent=silent)
    DT <- as.Date(paste(15, sl$month, sl$year,sep='-'),format="%d-%b-%Y")
    Y <- format(DT,"%Y")
    M <- format((DT + 30),"%m")
    if (as.numeric(M) == 1) Y <- paste(as.numeric(Y) + 1)
    DS <- as.Date(paste(Y,M,01,sep='-'))+0:22
    DS <- DS[months(DS, abbreviate=TRUE) == C2M()[as.numeric(M)]]
    ds <- which(weekdays(DS) == "Friday")[3]
    if (DS[ds] %in% as.Date(holidayNYSE(as.numeric(Y))@Data)) {
        while (DS[ds] %in% as.Date(holidayNYSE(as.numeric(Y))@Data)
                || any(c('Saturday', 'Sunday') == weekdays(DS[ds])))
            ds <- ds-1
    }
    #try(detach(package:timeDate), silent=TRUE);
try(detach(package:timeSeries), silent=TRUE)
    DS[ds] - 30
}

.interp.fut.VX <- function(x1, x2, n=36, prefer='Close') {
    xs <- c(x1,x2) # names of 2 instruments
    x1 <- get(x1,pos=.GlobalEnv)
    x2 <- get(x2,pos=.GlobalEnv)

    x1$DTE <- primary2expiry(xs[1])-index(x1)#, index(x1)) #dlf(x1)
    x2$DTE <- primary2expiry(xs[2])-index(x2)#, index(x2)) #dlf(x2)
    df <- merge(x1$DTE,x2$DTE,all=FALSE)
    df <- na.omit(df)
    if (length(df[,1]) && length(df[,2])) {
        Pcmf <- xts()
        if(all(df[,1] < df[,2])) {
            col1 <- 1
            col2 <- 2
        } else if (all(df[,2] < df[,1])) {
            col1 <- 2
            col2 <- 1
        } else stop(paste("ambiguous nearby contract",xs))
        for (ns in n) {
            idx <- index(df[(df[,col1] <= ns) & (df[,col2] > ns)])
            if (length(idx) == 0) return(NULL)
            w <- 1/ns
            P1 <- try(getPrice(x1[idx],prefer=prefer))
            P2 <- try(getPrice(x2[idx],prefer=prefer))
            wP <- try((w*P1) + ((1-w)*P2))
            if (!any(sapply(list(P1,P2,wP), inherits, 'try-error')))
                Pcmf <- cbind(Pcmf,wP)
        }
    #indexClass(Pcmf) <- 'Date' ## xts kind of broke this.
    Pcmf
    }
}

term.structure <- function(Symbols, cdays=c(35,60,90,120)) {
    s <- Symbols
    cnames <- paste(strsplit(s[[1]],"_")[[1]][1], "cm", cdays, sep=".")
    a <- list()
    for (i in 2:length(s)) {
        tmp <- .interp.fut.VX(s[i-1],s[i],cdays)
        if (length(tmp)) {
            a[[i-1]] <- tmp
            colnames(a[[i-1]]) <- cnames
        }
    }
    #for (i in 1:length(a)) colnames(a[[i]]) <- paste("VX.CM", tdays, sep=".")
    cb <- NULL
    for (i in 1:length(cdays)) {
        rb <- na.omit(a[[1]][,i])
        for (j in 2:(length(s)-1)) {
            if (length(a) > j && length(a[[j]][,i]) &&
                length(na.omit(a[[j]][,i])))
              rb <- rbind(rb, na.omit(a[[j]][,i]))
        }
        cb <- as.xts(cbind(cb, rb), dateFormat="Date")
    }
    cb
}

library(qmao)
library(timeDate) # for holidayNYSE
setSymbolLookup(VX='cfe')
vx <- getSymbols('VX',Month=1:12,Year=2007:2011)

plot.zoo(term.structure(vx, seq(20, 200, 20)), screens=1, col=rainbow(10))

-----

HTH,
Garrett

On Thu, Aug 13, 2015 at 2:54 PM, Samuel Wilson
<samuelcoltwilson at gmail.com> wrote:
> Before I write the code, I was wondering if anyone had already created a
> function or code for calculating constant maturity for a futures contract
> in R.
>
>         [[alternative HTML version deleted]]
>
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