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?
Thanks!
-N
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 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