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-----Original Message-----
From: r-sig-finance-bounces@stat.math.ethz.ch <r-sig-finance-bounces@stat.math.ethz.ch>
To: r-sig-finance@stat.math.ethz.ch <r-sig-finance@stat.math.ethz.ch>
Sent: Sun Feb 24 06:00:01 2008
Subject: R-SIG-Finance Digest, Vol 45, Issue 22

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Today's Topics:

   1. functions for quarterly settlement dates (tom soyer)
   2. Re: functions for quarterly settlement dates (Jeff Ryan)
   3. Re: functions for quarterly settlement dates (Jeff Ryan)
   4. Re: functions for quarterly settlement dates (Gabor Grothendieck)
   5. IGARCH? (Spencer Graves)
   6. GARCH-M? (Spencer Graves)
   7. Re: functions for quarterly settlement dates (Jeff Ryan)
   8. where can I find source code for particle filters	applied to
      stochastic volatilities? (Michael)


----------------------------------------------------------------------

Message: 1
Date: Sat, 23 Feb 2008 09:24:41 -0600
From: "tom soyer" <tom.soyer@gmail.com>
Subject: [R-SIG-Finance] functions for quarterly settlement dates
To: R-SIG-Finance <r-sig-finance@stat.math.ethz.ch>
Message-ID:
	<65cc7bdf0802230724p15ed99dcg391d06e64b565367@mail.gmail.com>
Content-Type: text/plain

Hi,

Are there built-in R functions that return both the nearest and the next
nearest quarterly settlement dates for options and futures?

Thanks,

-- 
Tom

	[[alternative HTML version deleted]]



------------------------------

Message: 2
Date: Sat, 23 Feb 2008 10:19:07 -0600
From: "Jeff Ryan" <jeff.a.ryan@gmail.com>
Subject: Re: [R-SIG-Finance] functions for quarterly settlement dates
To: "tom soyer" <tom.soyer@gmail.com>
Cc: R-SIG-Finance <r-sig-finance@stat.math.ethz.ch>
Message-ID:
	<e8e755250802230819y46c0d425n3099eaf3ef67e28f@mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1

Hi Tom,

This gets the job done in almost all cases - there is an exception in
08, of which I don't have in front of me. At the very least it will
get you started.

> library(quantmod)
Loading required package: xts
Loading required package: zoo
Loading required package: Defaults
quantmod: Quantitative Financial Modelling Framework

Version 0.3-2
http://www.quantmod.com

> getSymbols("QQQQ")
[1] "QQQQ"
> index(QQQQ)[futures.expiry(QQQQ)]
[1] "2007-03-16" "2007-06-15" "2007-09-21" "2007-12-21"
> index(QQQQ)[options.expiry(QQQQ)]
 [1] "2007-01-19" "2007-02-16" "2007-03-16" "2007-04-20" "2007-05-18"
 [6] "2007-06-15" "2007-07-20" "2007-08-17" "2007-09-21" "2007-10-19"
[11] "2007-11-16" "2007-12-21" "2008-01-18" "2008-02-15"
>

Jeff

On Sat, Feb 23, 2008 at 9:24 AM, tom soyer <tom.soyer@gmail.com> wrote:
> Hi,
>
>  Are there built-in R functions that return both the nearest and the next
>  nearest quarterly settlement dates for options and futures?
>
>  Thanks,
>
>  --
>  Tom
>
>         [[alternative HTML version deleted]]
>
>  _______________________________________________
>  R-SIG-Finance@stat.math.ethz.ch mailing list
>  https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>  -- Subscriber-posting only.
>  -- If you want to post, subscribe first.
>



-- 
There's a way to do it better - find it.
Thomas A. Edison



------------------------------

Message: 3
Date: Sat, 23 Feb 2008 10:22:33 -0600
From: "Jeff Ryan" <jeff.a.ryan@gmail.com>
Subject: Re: [R-SIG-Finance] functions for quarterly settlement dates
To: "tom soyer" <tom.soyer@gmail.com>
Cc: R-SIG-Finance <r-sig-finance@stat.math.ethz.ch>
Message-ID:
	<e8e755250802230822i599f9980h3a731935a478777@mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1

There isn't much magic here btw:

> futures.expiry
function (x)
{
    which(format(index(x), "%d") > 14 & format(index(x), "%d") <
        22 & format(index(x), "%w") == 5 & as.numeric(months(x,
        TRUE)) %in% c(3, 6, 9, 12))
}
<environment: namespace:quantmod>

It does need a zoo or a 'xts' object.

On Sat, Feb 23, 2008 at 9:24 AM, tom soyer <tom.soyer@gmail.com> wrote:
> Hi,
>
>  Are there built-in R functions that return both the nearest and the next
>  nearest quarterly settlement dates for options and futures?
>
>  Thanks,
>
>  --
>  Tom
>
>         [[alternative HTML version deleted]]
>
>  _______________________________________________
>  R-SIG-Finance@stat.math.ethz.ch mailing list
>  https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>  -- Subscriber-posting only.
>  -- If you want to post, subscribe first.
>



-- 
There's a way to do it better - find it.
Thomas A. Edison



------------------------------

Message: 4
Date: Sat, 23 Feb 2008 11:33:15 -0500
From: "Gabor Grothendieck" <ggrothendieck@gmail.com>
Subject: Re: [R-SIG-Finance] functions for quarterly settlement dates
To: "tom soyer" <tom.soyer@gmail.com>
Cc: R-SIG-Finance <r-sig-finance@stat.math.ethz.ch>
Message-ID:
	<971536df0802230833l2e26f3a8u32d746934ff9c430@mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1

On Sat, Feb 23, 2008 at 10:24 AM, tom soyer <tom.soyer@gmail.com> wrote:
> Are there built-in R functions that return both the nearest and the next
> nearest quarterly settlement dates for options and futures?

You can do it yourself using some functions in fCalendar
(see ?timeSpecialDate).

Another possibility is using as.yearqtr, as.yearmon
in zoo together with the nextfri() function defined in
vignette("zoo-quickref").  If d is a Date then
d1 <- as.Date(as.yearmon(as.yearqtr(d)) + 2/12)
would be the first day in the last month of the quarter and
nextfri(d1)+14
would be 3rd Fri that month.

This requires the zoo package for as.yearmon and as.yearqtr
but does not require a zoo object and d can be a vector of dates.



------------------------------

Message: 5
Date: Sat, 23 Feb 2008 11:37:21 -0800
From: Spencer Graves <spencer.graves@pdf.com>
Subject: [R-SIG-Finance] IGARCH?
To: R-SIG-Finance <r-sig-finance@stat.math.ethz.ch>
Message-ID: <47C075F1.5050006@pdf.com>
Content-Type: text/plain; charset=ISO-8859-1; format=flowed

Hi, All: 

      What facilities are available in R for IGARCH estimation -- apart 
from "GarchOxInterface {fGarch}", which seems to require separate 
purchase and installation of Ox. 

      Thanks,
      Spencer Graves



------------------------------

Message: 6
Date: Sat, 23 Feb 2008 13:04:48 -0800
From: Spencer Graves <spencer.graves@pdf.com>
Subject: [R-SIG-Finance] GARCH-M?
To: R-SIG-Finance <r-sig-finance@stat.math.ethz.ch>
Message-ID: <47C08A70.40309@pdf.com>
Content-Type: text/plain; charset=ISO-8859-1; format=flowed

Hi, All:

     What facilities are available in R for GARCH-M estimation, defined 
in Tsay (2005, p. 123) as follows: 


      r[t] = mu + c*s[t]^2 + a[t],

      a[t] = s[t]*e[t],

      s[t]^2 = alpha0 + alpha1 * a[t-1]^2 +  beta1 * s[t-1]^2,


where r[t] = (log) returns of a financial instrument with volatility 
premium "c". 


      Thanks,
      Spencer
Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley)



------------------------------

Message: 7
Date: Sat, 23 Feb 2008 21:00:49 -0600
From: "Jeff Ryan" <jeff.a.ryan@gmail.com>
Subject: Re: [R-SIG-Finance] functions for quarterly settlement dates
To: "tom soyer" <tom.soyer@gmail.com>
Cc: R-SIG-Finance <r-sig-finance@stat.math.ethz.ch>
Message-ID:
	<e8e755250802231900p562d7cej87122220aaf7637e@mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1

Just to be complete:

March 2008 expiry is on the 22nd, but the last trading day for those
contracts is the 20th, as the 21st is an exchange holiday due to the
early Easter.

http://www.optionsclearing.com/publications/xcal/xcal2008.pdf

So futures.expiry and options.expiry will give the wrong day in that
particular case.  In all cases they give the Friday before the
Saturday expiration.

Jeff

On Sat, Feb 23, 2008 at 10:22 AM, Jeff Ryan <jeff.a.ryan@gmail.com> wrote:
> There isn't much magic here btw:
>
>  > futures.expiry
>  function (x)
>  {
>     which(format(index(x), "%d") > 14 & format(index(x), "%d") <
>         22 & format(index(x), "%w") == 5 & as.numeric(months(x,
>         TRUE)) %in% c(3, 6, 9, 12))
>  }
>  <environment: namespace:quantmod>
>
>  It does need a zoo or a 'xts' object.
>
>
>  On Sat, Feb 23, 2008 at 9:24 AM, tom soyer <tom.soyer@gmail.com> wrote:
>
>
> > Hi,
>  >
>  >  Are there built-in R functions that return both the nearest and the next
>  >  nearest quarterly settlement dates for options and futures?
>  >
>  >  Thanks,
>  >
>  >  --
>  >  Tom
>  >
>  >         [[alternative HTML version deleted]]
>  >
>  >  _______________________________________________
>  >  R-SIG-Finance@stat.math.ethz.ch mailing list
>  >  https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>  >  -- Subscriber-posting only.
>  >  -- If you want to post, subscribe first.
>  >
>
>
>
>
>
> --
>  There's a way to do it better - find it.
>  Thomas A. Edison
>



-- 
There's a way to do it better - find it.
Thomas A. Edison



------------------------------

Message: 8
Date: Sat, 23 Feb 2008 21:37:10 -0800
From: Michael <comtech.usa@gmail.com>
Subject: [R-SIG-Finance] where can I find source code for particle
	filters	applied to stochastic volatilities?
To: r-sig-finance@stat.math.ethz.ch, r-help <R-help@stat.math.ethz.ch>
Message-ID:
	<b1f16d9d0802232137t45a2bce5u6de191a3e7dfef9b@mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1

Hi all,

Could anybody point me to some overview/survey papers about using
particle filters and sequential monte carlo methods to estimate
stochastic volatilities? I couldn't find any such articles giving a
big-picture view of the literature.

How do these estimation methods compare to EMM and other Bayesian
methods for estimating stochastic volatilities?

Also, I am looking for some sample/source code that shows how to
program particle filters and sequential monte carlo methods to
estimate stochastic volatilities... Could anybody give me some
pointers? Thanks a lot



------------------------------

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