Description Usage Arguments Details Value Author(s) See Also Examples
Using parse_id
, this will figure out where in the month_cycle
that id
belongs. Then, it will use the next (previous) month in month_cycle
to construct the id of the
next-to-expire contract.
1 2 3 4 5 | next.future_id(id, month_cycle = seq(3, 12, 3), root = NULL,
format = NULL)
prev.future_id(id, month_cycle = seq(3, 12, 3), root = NULL,
format = NULL)
|
id |
character string primary_id of a future_series instrument |
month_cycle |
months in which contracts expire. numeric or month codes. See Details. |
root |
root_id. usually only used if there is no underscore in the |
format |
how you would like the returned id to be formatted. If NULL, it will match the format of |
month_cycle
can be a numeric vector (corresponding to the months in which contracts expire),
or it can be a vector of month codes, a vector of month abbreviations, or a comma-delimited
string of month codes or abbreviations, in which case an attempt will be made to convert it to a numeric vector.
by passing it through month_cycle2numeric
root
is primarily used when you have an id that does not have an underscore, in which case, providing root
will make splitting the id into primary_id and suffix_id easier and more accurate. root
can also be used if you want
the returned id to be on a different future
than the id you passed in (when used this way, format
should also be used).
By default, (when called with format=NULL
) the returned id will be of the same format as the id
that was passed in.
The format of the returned id can be specified with the format
argument. See format_id
for supported values of format
character
Garrett See
format_id
for supported values of format
.
month_cycle2numeric
1 2 3 | next.future_id("ES_Z1","H,M,U,Z", format=NULL)
next.future_id("VIXAUG11", 1:12, root='VIX', format=NULL)
next.future_id("YM_Q11", seq(3,12,3)) #gives a warning about 'Q' not being part of month_cycle
|
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