誰かが日付を指定した関数を提供できることを期待して、それは月のNYSE取引日を返します。
休日を考慮すればおまけですが、そうでなければあまり心配していません。
前もって感謝します!
timeDateTradingDates
パッケージの休日カレンダーを使用して指定された年のすべての取引日の日付を返すという個人パッケージの関数があります。この投稿の最後に、関数と一緒にその関数のコードを含めました
。これが関数の動機でした
。PrevTradingDate
NextTradingDate
TradingDates
そのコードを入手したら、特定の日付が当たる月のどの取引日を返す関数を簡単に作成できます。今のところ、入力日は(単一の)取引日でなければなりませんが、それはあなたの好みに応じて簡単に変更することができます。
TradingDayOfMonth <- function(Date, FUN=holidayNYSE, ...) {
if (length(Date) > 1) stop('not vectorized; Date should be length 1')
Date <- as.Date(Date, ...)
tdy <- TradingDates(format(Date, "%Y"), FUN=FUN) #trading dates in year
if (!Date %in% tdy) stop("Date is not a Trading Date")
tdm <- tdy[format(tdy, "%m") %in% format(Date, "%m")] # trading dates in the same month as "Date"
which(tdm == Date)
}
R> PrevTradingDate()
[1] "2012-11-02"
R> NextTradingDate()
[1] "2012-11-05"
R> TradingDayOfMonth(PrevTradingDate())
[1] 2
R> TradingDayOfMonth(NextTradingDate())
[1] 3
R> TradingDayOfMonth('2012-11-15')
[1] 11
上記が機能するために必要なコード:
#' Get Trading Dates for one or more years
#'
#' Get a vector of dates of non-holiday weekdays.
#'
#' This uses holiday calendar functions (\code{holidayNYSE} by default)
#' from the \emph{timeDate} package. If \emph{timeDate} is not loaded, it
#' will be temporarily loaded, then unloaded \code{on.exit}.
#'
#' @param year vector of 4 digit years or something that is coercible to
#' a vector 4 digit years via \code{as.numeric}
#' @param FUN a function that takes a \code{year} argument and returns a vector
#' that can be coerced to a \code{Date}. \code{holidayNYSE} by default. Most
#' likely, this will be one of: \sQuote{holidayLONDON}, \sQuote{holidayNERC},
#' \sQuote{holidayNYSE}, \sQuote{holidayTSX}, \sQuote{holidayZURICH}
#' @return a vector of all dates in \code{years} that are weekdays and not
#' holidays.
#' @author GSee
#' @examples
#' \dontrun{
#' TradingDates(2012)
#' TradingDates(2010:2011)
#' }
#' @export
TradingDates <- function(year=format(Sys.Date(), "%Y"), FUN=holidayNYSE) {
# the next few lines should be removed when this code is added to a package
# that Imports timeDate
if (!"package:timeDate" %in% search()) {
suppressPackageStartupMessages({
if (!require(timeDate)) {
stop("timeDate must be installed to use this function.")
}
})
on.exit(detach(package:timeDate, unload=TRUE))
}
## End of code that should be removed when this is added to a package
year <- as.numeric(year)
fun <- match.fun(FUN)
do.call('c', lapply(year, function(y) {
holidays <- as.Date(fun(year=y))
all.days <- seq.Date(as.Date(paste(y, '01-01', sep='-')),
as.Date(paste(y, '12-31', sep='-')), by='days')
nohol <- all.days[!all.days %in% holidays]
nohol[!format(nohol, '%w') %in% c("6", "0")] #neither holiday nor weekend
}))
}
#' Get Date of previous (next) trading day
#'
#' Get the Date of the previous (next) trading day.
#'
#' For \code{PrevTradingDate}, \code{n} is the number of days to go back. So,
#' if \code{n} is 2 and today is a a Monday, it would return the date of the
#' prior Thursday because that would be 2 trading days ago.
#' \code{n} works analogously in \code{NextTradingDate}.
#'
#' The maximum value that \code{n} can be is the total number of days in the
#' year prior to \code{Date} plus the total number of years in the current
#' year of \code{Date}. So, on the last day of the year, the max value of
#' \code{n} will usually be \code{504} (because most years have 252 trading
#' days). One the first day of the year, the max value of \code{n} will usually
#' be \code{252}.
#'
#' @param n number of days to go back. 1 is the previous trading day; 2 is the
#' trading day before that, etc. \code{n} should be less than 365, but see
#' details
#' @param Date a \code{Date} or something that can be coerced to a \code{Date}
#' @return \code{PrevTradingDate} returns the date of the previous trading day
#' up to, but not including, \code{Date}. \code{NextTradingDate} returns the
#' date of the next trading day.
#' @author GSee
#' @seealso \code{\link{TradingDates}}
#' @examples
#' \dontrun{
#' PrevTradingDate()
#' PrevTradingDate('2012-01-03')
#' NextTradingDate()
#' NextTradingDate('2012-12-24')
#' }
#' @export
#' @rdname PrevTradingDate
PrevTradingDate <- function(Date=Sys.Date(), n=1) {
stopifnot(require(xts)) #remove this line when this is added to a package that Imports xts (needed for first/last)
D <- as.Date(Date)
y <- as.numeric(format(D, "%Y"))
trading.days <- TradingDates(y)
out <- trading.days[trading.days < Date]
if (length(out) >= n) {
first(last(out, n))
} else {
prev.year.td <- TradingDates(y - 1)
max.n <- length(out) + length(prev.year.td)
if (n > max.n) stop("'n' is too large. Try something less than 252.")
new.n <- n - length(out) # we need this many trading days from previous year
# if it's the 1st trading day of the year, return the last trading date of
# previous year
first(last(TradingDates(y - 1), new.n))
}
}
#' @export
#' @rdname PrevTradingDate
NextTradingDate <- function(Date=Sys.Date(), n=1) {
stopifnot(require(xts)) #remove this line when this is added to a package that Imports xts (needed for first/last)
D <- as.Date(Date)
y <- as.numeric(format(D, "%Y"))
trading.days <- TradingDates(y)
out <- trading.days[trading.days > Date]
if (length(out) >= n) {
last(first(out, n))
} else {
next.year.td <- TradingDates(y + 1)
max.n <- length(out) + length(next.year.td)
new.n <- n - length(out) # how many trading days we need from next year
if (n > max.n) stop("'n' is too large. Try something less than 252.")
# if it's the last trading day of the year, return the first trading date of
# next year
last(first(TradingDates(y + 1), new.n))
}
}
面倒なカレンダーの問題を処理するパッケージがいくつかありますが、面倒です。引用するにはtimeDate
:
「営業日、週末、休日に機能を実装することは簡単ではありません。アルゴリズムの意味では難しいことではありませんが、イースターの日付など、カレンダー自体のルールを実装するのは面倒になる可能性があります。」
それでも、私があなたの質問を正しく解釈した場合、このようなものが機能するはずです(ただし、それ自体が取引日でない場合は、希望する結果について考えたいと思うかもしれませんmyDate
...現時点では、前の取引日の取引日を示しています)。
library(RQuantLib)
tradingDayOfMonth <- function(myDate, calendar = "UnitedStates/NYSE") {
FirstOfMonth <- as.Date(paste(year(myDate), month(myDate), "01", sep="/"))
businessDaysBetween(calendar, from = FirstOfMonth, to = myDate,
includeFirst = 1, includeLast = 1)
}
tradingDayOfMonth(as.Date("2012/11/05"))
# [1] 3
取引は市場が開いている日だけ記録されるため:
TradeDates <- function() {
# KO is one of the oldest publicly traded companies
getSymbols("KO", from = as.Date("1973-01-02"), to = Sys.Date())
TradeDays <- index(KO)
rm(KO)
TradeDates
}
TradingDays <- function(TradeDates, year = 2001, month = 5) {
Date2Month <- function(date) as.numeric(substring(as.Date(date),6,7))
Date2Year <- function(date) as.numeric(substring(as.Date(date),1,4))
TradeDates[which(Date2Month(TradeDates) == month & Date2Year(TradeDates) == year)]
}
TradingDays(TradeDates, year = 2001, month = 5)
# [1] "2001-02-01" "2001-02-02" "2001-02-05" "2001-02-06" "2001-02-07" "2001-02-08"
# [7] "2001-02-09" "2001-02-12" "2001-02-13" "2001-02-14" "2001-02-15" "2001-02-16"
# [13] "2001-02-20" "2001-02-21" "2001-02-22" "2001-02-23" "2001-02-26" "2001-02-27"
# [19] "2001-02-28"