[R-SIG-Finance] Subsetting Second to Last Day of the Month

Am Gut agquantr at gmail.com
Wed Oct 28 18:34:50 CET 2015

Good Morning Everyone,

I have essentially two questions. I am trying to subset a an existing
dataset based on the last two business days of each month in the dataset. I
am able to subset based on the last business day of each month (or the last
day as I am only using business days in my dataset) via the following code:

##identify second to last business day of every month
month_end = lookback_returns_nona[endpoints(lookback_returns_nona,

However, I do not have to make this the second to last day instead. In
addition, can someone help me understand how I could do the last business
day of each month and the second to last business day of each month?

My dataset simply contains a date index, and a few variables with daily

[image: Inline image 1]

As a side note, I am new to the forum so please feel free to let me know if
I am not observing proper posing rules. Thanks in advance as any help would
be extremely useful.

Kind Regards,

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