我在个人包中有一个函数,TradingDates它使用来自timeDate包的假日日历来返回指定年份中所有交易日的日期.我在本文末尾包含了该函数的代码以及函数PrevTradingDate,NextTradingDate这是函数
的动机
TradingDates.
一旦您获得了该代码,就可以很容易地创建一个函数,该函数将返回给定日期所在月份的交易日.目前,输入日期必须是(单个)交易日期,但可以根据您的偏好轻松更改.
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
上述工作所需的代码:
#' 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))
}
}