The correct behavior is to shift the holiday to Friday (from Sat) or to Monday (from Sun).  I'm not actually using this for NYSE holidays but for power industry holidays and made a version to handle those changes as well as some other idiosyncracies.  Thanks for the suggestion though.

Message: 5
Date: Thu, 6 Sep 2007 16:51:49 -0400
From: "Charles Naylor" <Charles.Naylor@nikkoam.com>
Subject: Re: [R-SIG-Finance] holidayNYSE missing some
To: <r-sig-finance@stat.math.ethz.ch>
Message-ID:
    <A4678959B3D65D449266DE8D3825E0821F7F47@nycmsg501.nikkoam.com>
Content-Type: text/plain;    charset="us-ascii"

This is deliberate behavior.  If you check the code, the third-to-last
line is as follows:
    ans = ans[!(as.POSIXlt(ans@Data)$wday == 0 |
as.POSIXlt(ans@Data)$wday== 6)]


You could make an alternate version of holidayNYSE that omits this line,
if you like.

-CN

Charles Naylor
Assistant Vice President
Global Dynamic Asset Allocation Group
Nikko Alternative Asset Management, Inc.
535 Madison Avenue, Suite 2500
New York, NY 10022
T: 212.610.6158
F: 212.610.6148
E: charles.naylor@nikkoam.com

-----Original Message-----
From: r-sig-finance-bounces@stat.math.ethz.ch
[mailto:r-sig-finance-bounces@stat.math.ethz.ch] On Behalf Of John Putz
Sent: Thursday, September 06, 2007 4:44 PM
To: r-sig-finance@stat.math.ethz.ch
Subject: [R-SIG-Finance] holidayNYSE missing some

Hello,

I'm not sure if this is the correct list to email this too, but it
appears that at least in R 2.5.0 that the holidayNYSE function in
fCalendar does not include holidays that occur on Saturday.  E.g.
holidayNYSE(2004) does not list Christmas.

Thanks, John.
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email: johnputz3655@yahoo.com
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