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
Adding NYMEX to holidays calendar
3 messages · Joe W. Byers, Spencer Graves, Joe Byers
8 days later
What level of help do you need? Have you tried listing the
function 'holidayNYSE', making a local copy, then editing it do what you
want? After you've tried that, please send the results to Diethelm
Wuertz and me. If you can't make it work, please explain the problem.
Hope this helps.
Spencer Graves
Joe W. Byers wrote:
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
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Spencer, I will look at the code for holidayNYSE. I had several conversations with NYMEX right after I posted my message so I wanted to make sure I had a handle on their upcoming changes for 2007. These changes will require several test within the holiday method. I also need to get the a couple of years from NYMEX and compare to NYSE to see how much they will differ for the current holidays and the proposed changes. I have given NYMEX rmetrics links and quantlib links to the calendar libraries of these two software packages along with links to other calendar rules posted for NYSE, NERC,... in hopes that NYMEX will post the actual rules they use for their holiday calendars. This would alleviate me from implying the rules. Even if NYMEX would say we follow the "Federal holidays" and any others would help minimize assumptions on my part. I will see what I can come up with and send to you both. Thank you for your reply. Joe
Spencer Graves wrote:
What level of help do you need? Have you tried listing the
function 'holidayNYSE', making a local copy, then editing it do what
you want? After you've tried that, please send the results to
Diethelm Wuertz and me. If you can't make it work, please explain the
problem.
Hope this helps. Spencer Graves
Joe W. Byers wrote:
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
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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