Let \(wd\) be the number of working days in a given month
and \(nwd\) the number of non-working days.
The trading day variable at time \(t\) is built as follows:
$$wd = wd - holidays$$
$$nwd = nwd + holidays$$
$$td_t = wd - (5/2) \times nwd$$
By default, working days are the days from Monday to Friday and
non-working days are Saturdays and Sundays. If there are additional
non-working days they can be defined in argument holidays
.
For example, if the 1st of February is a local holiday, the user can define
a variable containing zeros for all periods except for the periods related
to February where the 1st of February falls within a working day (Monday to Friday);
these data are set to one so that they are considered as non working days.
Easter effect is defined as the proportion of days before Easter
(by default easter = 6
) that lie in March and April,
respectively for each month. It contains zeros for the remaining months.
The leap year is a vector of zeros for all months except February,
where the variable takes on the value \(0.75\) if the year is a leap year
and \(-0.25\) otherwise.