The 'current' Rmetrics calendar package is "timeDate", not fCalendar.

HTH,
Jeff

On Sun, Nov 7, 2010 at 12:40 PM, Brian G. Peterson <brian@braverock.com>wrote:

> On Sun, 07 Nov 2010 10:02:29 -0800, Noah Silverman
> <noah@smartmediacorp.com> wrote:
> > That makes perfect sense.
> >
> > However, using the difftimeDate function from fCalendar just gives me a
> > count.  Is there another function that will return a vector of days
> > between two dates?
>
> seq.Date()
>
> and then use the fCalendar functions to sort out your holidays by
> financial center.
>
>  - Brian
>
> > On 11/7/10 8:50 AM, Brian G. Peterson wrote:
> >> On Sat, 06 Nov 2010 18:35:13 -0700, Noah Silverman
> >> <noah@smartmediacorp.com> wrote:
> >>> Hi,
> >>>
> >>> I'm working on some option value pricing models. Starting with the
> >>> GBSvolatility for example.  All of the various formulas require a Time
>
> >>> parameter (fraction of year) until expiration. Ideally, I want to
> >>> compute it as:
> >>> "trading days until expiration" / 252
> >>>
> >>> Give two days, I can use the difftimeDate to get the number of days
> >>> between them, However I can't seem to find a way to get Trading Days
> >>> (which excludes weekends and holidays.)  I've looked through rseek.org
>
> >>> and many library's documentation, but can't find a way to do this.
> >>>
> >>> One thought would be to generate a vector of dates between the start
> and
> >>> end days.  Then test EACH date to see if it was a holiday or weekend.
>
> >>> This could work, but seems very inefficient.
> >>>
> >>> Does anyone know of a way to calculate Trading Days between two
> dates???
> >>> (Surely I can't be the only person here who needs this in R.)
> >> Each exchange has a different calendar.  Most people keep a calendar in
> a
> >> database for each exchange they trade on.  This can then be matched to
> >> the
> >> exchange meta-data for each instrument you trade.
> >>
> >> Since you seem to be using timeDate, you could take a close look at
> >> fCalendar and see if the holiday functions included there will solve
> your
> >> problem.
> >>
> >> A more efficient method of extracting holidays would be to generate
> >> vectors of weekends and holidays and the remove the weekends and
> holidays
> >> vectors from your vector of all days.
> >>
> >> Regards,
> >>
> >>   - Brian
> >>
> >
> > _______________________________________________
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>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
> _______________________________________________
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> should go.
>



-- 
Jeffrey Ryan
jeff.a.ryan@gmail.com

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