Date sequence and manipulation with business days and holidays.
A package for manipulating vectors of class Date. Support for other vectors and classes may be added in the future.
The general idea with the behavior of functions from this package is
that they should return an object of the same class as they are given,
dateWarp() applied to a vector of dates in character format
should return a vector of dates in character format, and
dateWarp() applied to a
Date class vector should return a
Date class vector.
This functionality is currently implemented for
POSIXlt classes. For other
classes, functions from this package will currently return a
vector, but that may change as other classes are added.
Version 1.0 of
TimeWarp does not handle times on
POSIXlt: the functions in
TimeWarp will return the same
type of object stripped of times. This may change in the future.
Jeffrey Horner, Lars Hansen, Tony Plate
Maintainer: Tony Plate email@example.com
Holidays package loads a database of holidays into the
pitfalls describes some pitfalls with date class conversions.
On the use of
POSIXt classes: Gabor Grothendieck
and Thomas Petzoldt. R help desk: Date and time classes in
R. http://cran.r-project.org/doc/Rnews/Rnews_2004-1.pdf (Has a
helpful table of how to accomplish various tasks with the different
On the creation and use of the
POSIXt classes (
Brian D. Ripley and Kurt Hornik. Date-time classes. http://cran.r-project.org/doc/Rnews/Rnews_2001-2.pdf
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35
library(Holidays) # View counts of registered holidays by year sapply(as.character(1998:2012), function(y) sapply(allHolidays(), function(h) length(holidays(y, h, silent=TRUE)))) # Find US option expiration dates in 2011 (The pricing day, usually a Friday) # Technically speaking, standardized options expire on the Saturday # following the third Friday of the month. The reason that equity and # index options expire on this day is due to the fact that this day offers # the least number of scheduling conflicts, i.e. holidays. # When an options expiration date falls on a holiday, all trading dates # are moved earlier. For example, in 2008, options expiration date falls # on Good Friday. In this situation, options will still expire on # Saturday following Good Friday -- however the last trading day for # Equity options will be the Thursday preceding the Good Friday trading # holiday. yy <- 2011 (d1 <- dateSeq(paste(yy, '-01-01', sep=''), len=12, by='months')) (d2 <- dateAlign(d1, by='months', dir=-1)) (d3 <- dateAlign(d2, by='weeks', week.align=5)) (d4 <- dateWarp(d3, 14, by='days')) (d5 <- dateAlign(d4, by='bizdays@NYSEC', dir=-1)) # Find option expiration dates that have been shifted because they would have # occured on a holiday yy <- 1990 d1 <- dateSeq(paste(yy, '-01-01', sep=''), len=288, by='months') d2 <- dateAlign(d1, by='months', dir=-1) d3 <- dateAlign(d2, by='weeks', week.align=5) d4 <- dateWarp(d3, 14, by='days') d5 <- dateAlign(d4, by='bizdays@NYSEC', dir=-1) data.frame(holiday=d4, option.expiration=d5)[which(d4 != d5), ]
Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.