How to calculate Trading Days

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? 

On 11/7/10 8:50 AM, Brian G. Peterson wrote:

On Sat, 06 Nov 2010 18:35:13 -0700, Noah Silverman
<noah at 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

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

(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

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

problem.

A more efficient method of extracting holidays would be to generate
vectors of weekends and holidays and the remove the weekends and

vectors from your vector of all days.

Regards,

  - Brian