third_fridays: List third fridays in the months of the period given by...

third_fridaysR Documentation

List third fridays in the months of the period given by start and end

Description

The 2003 VIX (see the 2009 CBOE Whitepaper) is based on monthly option contracts, which expire on every third friday of a month. This function identifies monthly third fridays in order to select the correct monthly options.

Usage

third_fridays(start, end)

Arguments

start

Date scalar, giving the start date

end

Date scalar, giving the end date

Value

Returns a date vector with all third fridays of the respective period.

Examples


start <- lubridate::ymd("2020-01-01")
end <- lubridate::ymd("2020-06-01")

third_fridays(start, end)

m-g-h/R.MFIV documentation built on July 4, 2022, 3:35 a.m.