Message-ID: <ehb0k2$8d0$1@sea.gmane.org>
Date: 2006-10-20T17:22:09Z
From: Joe W. Byers
Subject: Adding NYMEX to holidays calendar
Rmetrics
Can anyone help me create a new holidays calendar method like
holidaysNYSE() for NYMEX holidays. The only difference is the holidays
for Independence day and thanks giving.
Independence Day
Monday, July 3*
Tuesday, July 4
(Electronic trading closed Sunday and Monday, July 2 and 3; reopens
6:00 PM, July 4)
Thanksgiving
Thursday, November 23
Friday, November 24
(NYMEX ClearPort? and CME Globex? open both days)
NYMEX is closed on Monday July 3rd this year since the 4th is on a
Tuesday and Friday the day following Thanksgiving. This will end in
2007 according to NYMEX. The Independence day holiday I think will
observe Friday as a holiday when the 4th is on a Thurs but, according to
NYMEX they are not sure for 2007. Also the webpage
http://www.nymex.com/holida_schedu.aspx notes that Christmas eve will
become a holiday in 2007 but expirations will not change. I am sending
their customer service a request to post a document with the holiday
rules as well as these tables for those of us who worry about a
derivatives calendar.
Thank you
Joe