[R-SIG-Finance] Constant maturity Futures

Tue Sep 8 16:30:54 CEST 2015

Hi Garrett,

I just tested this code out and...it doesn't compute up to the most current
day. As of now, the term.structure function ends at 2015-08-19. AKA in the
last month. Is there a way to make it go up to the last day for which there
is data available? Thanks.

-Ilya

On Thu, Aug 13, 2015 at 5:56 PM, G See <gsee000 at gmail.com> wrote:

> 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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> should go.
>
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