Determine the number of trading days for XETRA or EUREX in a given period

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Determine the number of trading days for XETRA or EUREX in a given period

Joachim Breit
Hello,

say you want to determine the number of trading days for DAX options on
EUREX from now til day x.

I am looking for a function for this task.

Looked in package timeDate but found nothing for the german exchanges.

Can somebody help, please?

Joachim

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Re: Determine the number of trading days for XETRA or EUREX in a given period

Mark Breman-3
Hello Joachim,

Why not create a holidayEUREX yourself? Look at holidayNYSE for an example
and it should not be too difficult.

Regards,

-Mark-


2011/12/30 Joachim Breit <[hidden email]>

> Hello,
>
> say you want to determine the number of trading days for DAX options on
> EUREX from now til day x.
>
> I am looking for a function for this task.
>
> Looked in package timeDate but found nothing for the german exchanges.
>
> Can somebody help, please?
>
> Joachim
>
> ______________________________**_________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/**listinfo/r-sig-finance<https://stat.ethz.ch/mailman/listinfo/r-sig-finance>
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

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Re: Determine the number of trading days for XETRA or EUREX in a given period

Joachim Breit
Mark, I was hoping that somebody else had done that job already... :-)
After all, I should not be the only person interested in the problem.
Besides, function holidayNYSE looks intimidating for an R newbie.

Regards,
Joachim

Am 31.12.2011 10:37, schrieb Mark Breman:

> Hello Joachim,
>
> Why not create a holidayEUREX yourself? Look at holidayNYSE for an
> example and it should not be too difficult.
>
> Regards,
>
> -Mark-
>
>
> 2011/12/30 Joachim Breit <[hidden email] <mailto:[hidden email]>>
>
>     Hello,
>
>     say you want to determine the number of trading days for DAX options
>     on EUREX from now til day x.
>
>     I am looking for a function for this task.
>
>     Looked in package timeDate but found nothing for the german exchanges.
>
>     Can somebody help, please?
>
>     Joachim
>
>     _________________________________________________
>     [hidden email] <mailto:[hidden email]>
>     mailing list
>     https://stat.ethz.ch/mailman/__listinfo/r-sig-finance
>     <https://stat.ethz.ch/mailman/listinfo/r-sig-finance>
>     -- Subscriber-posting only. If you want to post, subscribe first.
>     -- Also note that this is not the r-help list where general R
>     questions should go.
>
>

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Re: Determine the number of trading days for XETRA or EUREX in a given period

Enrico Schumann

Hi Joachim,

I don't think you need much experience with R to count the days; but it
may take some work to tabulate the holidays.

You could do something like this:

start <- as.Date("2012-01-01")
end <- as.Date("2012-12-31")

## define a list of holidays
holidays <- as.Date(c("2012-01-01","2012-12-25"))

## create date sequence
allDates <- seq(start, end, by = "day")

## remove weekends
dayofweek <- as.POSIXlt(allDates)$wday
isweekend <- dayofweek==0L | dayofweek==6L
allDates <- allDates[!isweekend]

## delete holidays
allDates <- allDates[-match(holidays, allDates, nomatch = 0L)]

## count (including 'start' and 'end')
length(allDates)


Quite a lot of this seems already implemented in package RQuantLib. I
say 'seems' because I do not use these functions, so I cannot guarantee
that the package gives you what you need. Try this:


require("RQuantLib")
allDates <- seq(start, end, by = "day")
istradingday <- !isHoliday("Germany/Eurex", allDates)
length(allDates[istradingday])

## or ...
businessDaysBetween(calendar = "Germany/Eurex",
                     from = start,
                     to = end,
                     includeFirst = 1, includeLast = 1)

Regards,
Enrico


--
Enrico Schumann
Lucerne, Switzerland
http://nmof.net/

Am 02.01.2012 09:08, schrieb Joachim Breit:

> Mark, I was hoping that somebody else had done that job already... :-)
> After all, I should not be the only person interested in the problem.
> Besides, function holidayNYSE looks intimidating for an R newbie.
>
> Regards,
> Joachim
>
> Am 31.12.2011 10:37, schrieb Mark Breman:
>> Hello Joachim,
>>
>> Why not create a holidayEUREX yourself? Look at holidayNYSE for an
>> example and it should not be too difficult.
>>
>> Regards,
>>
>> -Mark-
>>
>>
>> 2011/12/30 Joachim Breit <[hidden email] <mailto:[hidden email]>>
>>
>> Hello,
>>
>> say you want to determine the number of trading days for DAX options
>> on EUREX from now til day x.
>>
>> I am looking for a function for this task.
>>
>> Looked in package timeDate but found nothing for the german exchanges.
>>
>> Can somebody help, please?
>>
>> Joachim
>>
>> _________________________________________________
>> [hidden email] <mailto:[hidden email]>
>> mailing list
>> https://stat.ethz.ch/mailman/__listinfo/r-sig-finance
>> <https://stat.ethz.ch/mailman/listinfo/r-sig-finance>
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R
>> questions should go.
>>
>>
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

--
Enrico Schumann
Lucerne, Switzerland
http://nmof.net/

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Re: Determine the number of trading days for XETRA or EUREX in a given period

Joachim Breit
Thank you, Enrico. I wasn't aware of the RQuantLib functions. Looks good...

Regards,
Joachim

Am 02.01.2012 17:55, schrieb Enrico Schumann:

>
> Hi Joachim,
>
> I don't think you need much experience with R to count the days; but it
> may take some work to tabulate the holidays.
>
> You could do something like this:
>
> start <- as.Date("2012-01-01")
> end <- as.Date("2012-12-31")
>
> ## define a list of holidays
> holidays <- as.Date(c("2012-01-01","2012-12-25"))
>
> ## create date sequence
> allDates <- seq(start, end, by = "day")
>
> ## remove weekends
> dayofweek <- as.POSIXlt(allDates)$wday
> isweekend <- dayofweek==0L | dayofweek==6L
> allDates <- allDates[!isweekend]
>
> ## delete holidays
> allDates <- allDates[-match(holidays, allDates, nomatch = 0L)]
>
> ## count (including 'start' and 'end')
> length(allDates)
>
>
> Quite a lot of this seems already implemented in package RQuantLib. I
> say 'seems' because I do not use these functions, so I cannot guarantee
> that the package gives you what you need. Try this:
>
>
> require("RQuantLib")
> allDates <- seq(start, end, by = "day")
> istradingday <- !isHoliday("Germany/Eurex", allDates)
> length(allDates[istradingday])
>
> ## or ...
> businessDaysBetween(calendar = "Germany/Eurex",
> from = start,
> to = end,
> includeFirst = 1, includeLast = 1)
>
> Regards,
> Enrico
>
>

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