The 'current' Rmetrics calendar package is "timeDate", not fCalendar.
HTH, Jeff On Sun, Nov 7, 2010 at 12:40 PM, Brian G. Peterson <[email protected]>wrote: > On Sun, 07 Nov 2010 10:02:29 -0800, Noah Silverman > <[email protected]> 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 > >> <[email protected]> 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 > >> > > > > _______________________________________________ > > [email protected] mailing list > > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > -- Subscriber-posting only. If you want to post, subscribe first. > > -- Also note that this is not the r-help list where general R questions > > should go. > > -- > Brian G. Peterson > http://braverock.com/brian/ > Ph: 773-459-4973 > IM: bgpbraverock > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > -- Jeffrey Ryan [email protected] [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
