R package for continuous futures contract construction
Thanks for the suggestions. However, investing into a whole new data server and mangement platform is overkill and not really an option for us in addressing our requirements wrt continuous contracts. Also, a quick perusal of the LIM Rollover language manual suggests that its functionality does not fully cover our requirements anyway.
If you have a little cash to spare you might take a look at the LIM databasae products that do all of this for you... On 22 Mar 2008, at 22:37, David-Michael Lincke wrote:
Before I reinvent the wheel, I was wondering if anybody is aware of a preexisting R or Matlab package for the assembly of of continuous commodity futures contracts? For my purposes this would have to support construction of ratio-adjusted time series based on a configurable roll calendar. David [[alternative HTML version deleted]]
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