third_fridays | R Documentation |
start
and end
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.
third_fridays(start, end)
start |
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end |
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Returns a date vector
with all third fridays of the respective period.
start <- lubridate::ymd("2020-01-01") end <- lubridate::ymd("2020-06-01") third_fridays(start, end)
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