QuantTools: gen_futures_codes – R documentation

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gen_futures_codes

Generate futures contract codes and schedule between dates

Generate futures contract codes and schedule between dates

gen_futures_codes(contract, from, to, frequency, day_exp,
  year_last_digit = FALSE)

`contract`	contract base name
`from, to`	text dates in format `"YYYY-MM-DD"`
`frequency`	expiration frequency, e.g. 3 for quarterly contracts
`day_exp`	expiration day number, e.g. 15 for middle of month
`year_last_digit`	should only last digit of year present in code?

returns data.table with columns code, from, to, contract_id.

Enhanced Quantitative Trading Modelling

v0.5.7.1

GPL-3

Authors

Stanislav Kovalevsky

Initial release