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.)
Thanks!!!
--
Noah