gen_futures_codes: Generate futures contract codes and schedule between dates

In QuantTools: Enhanced Quantitative Trading Modelling

Description

Generate futures contract codes and schedule between dates

Usage

gen_futures_codes(contract, from, to, frequency, day_exp,
  year_last_digit = FALSE)

Arguments

contract	contract base name
from, to	text dates in format "YYYY-MM-DD"
frequency	expiration frequency, e.g. 3 for quarterly contracts
day_exp	expiration day number, e.g. 15 for middle of month
year_last_digit	should only last digit of year present in code?

Value

returns data.table with columns code, from, to, contract_id.

QuantTools documentation built on Oct. 23, 2020, 7:54 p.m.