markleeds at verizon.net
2006-Jun-01 16:26 UTC
[R] date sequencing using the Fcalendar package
I am using the following command from the Fcalendar Package : x = timeSequence("1992-12-31","1994-12-31") and then y = as.character(x) is a vector of character strings "[1] 1992-12-31" "1993-01-31" "1993-03-03" "1993-03-31" "1993-05-01" etc This is very close to what I need and thank you very much to whomever wrote Fcalendar. The problem is that I'm not sure what the algorithm is for creating these speicific dates ? At first I thought it might be 31 days between each but that's not the case for March ( see above). Regardless of what the algorithm is, does anyone know of an easy way to make sure the months I get back are US business days ? In other words, push any date that is not a US business day to the next US business day ? I can do it by hand but I have 10 years of data so it would be easier if there was some R way to do it ? I've looked through the fCalendar package but without success. Thanks a lot.
Have you reviewed "White Paper" on "timeDate / timeSeries" downloadable from "www.rmetrics.org"? I believe this should answer your question. It is my understanding that "fCalendar" was designed to help people coordinate trading times and dates between different financial markets all around the world, adjusting for varying national holidays as well as time zone and weekend effects. If you would like further help from this listserve, please submit another post. Hope this helps, Spencer Graves markleeds at verizon.net wrote:> I am using the following command from the Fcalendar Package : > > x = timeSequence("1992-12-31","1994-12-31") > > and then y = as.character(x) is a vector of character strings > > "[1] 1992-12-31" "1993-01-31" "1993-03-03" "1993-03-31" "1993-05-01" etc > > This is very close to what I need and thank you very much > to whomever wrote Fcalendar. > The problem is that I'm not sure what the algorithm is forcreating these speicific dates ? At first I thought it might be 31 days between each but that's not the case for March ( see above). Regardless of what the algorithm is, does anyone know of an easy way to make sure the months I get back are US business days ? In other words, push any date that is not a US business day to the next US business day ? I can do it by hand but I have 10 years of data so it would be easier if there was some R way to do it ? I've looked through the fCalendar package but without success.> > Thanks a lot. > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html