rb3 (version 0.1.0)

maturitycode2date: Convert Maturity Code to Date

Description

This function converts a vector of maturity codes into actual dates.

Usage

maturitycode2date(x, expr = "first day", refdate = NULL)

Value

A vector of dates corresponding to the input maturity codes. Convert Maturity Code to Date

This function converts a vector of maturity codes into actual dates. Get the corresponding maturity date for the three characters string that represent maturity of futures contracts.

a Date vector with maturity dates

Arguments

x

a character vector with three letters string that represent maturity of futures contracts.

expr

a string which indicates the day to use in maturity date, default is "first day". See bizdays::getdate for more details on this argument

refdate

reference date to be passed. It is necessary to convert old maturities like JAN0, that can be Jan/2000 or Jan/2010. If refdate is greater that 2001-01-01 JAN0 is converted to Jan/2010, otherwise, Jan/2000.

Examples

maturitycode2date(c("F22", "F23", "G23", "H23", "F45"), "first day")
maturitycode2date(c("F23", "K35"), "15th day")
maturitycode2date(c("AGO2", "SET2"), "first day")