next.future_id: Get the primary_id of the next-to-expire (previously expiring) future_series instrument

Description

Using parse_id, this will figure out where in the month_cycle that id belongs. Then, it will use the next (previous) month in month_cycle to construct the id of the next-to-expire contract.

Usage

next.future_id(id, month_cycle = seq(3, 12, 3), root = NULL,
  format = NULL)
prev.future_id(id, month_cycle = seq(3, 12, 3), root = NULL,
  format = NULL)

Arguments

character string primary_id of a future_series instrument

month_cycle

months in which contracts expire. numeric or month codes. See Details.

root

root_id. usually only used if there is no underscore in the id. See Details.

format

how you would like the returned id to be formatted. If NULL, it will match the format of id. See Details.

Value

character

Details

month_cycle can be a numeric vector (corresponding to the months in which contracts expire), or it can be a vector of month codes, a vector of month abbreviations, or a comma-delimited string of month codes or abbreviations, in which case an attempt will be made to convert it to a numeric vector. by passing it through month_cycle2numeric

root is primarily used when you have an id that does not have an underscore, in which case, providing root will make splitting the id into primary_id and suffix_id easier and more accurate. root can also be used if you want the returned id to be on a different future than the id you passed in (when used this way, format should also be used).

By default, (when called with format=NULL) the returned id will be of the same format as the id that was passed in. The format of the returned id can be specified with the format argument. See format_id for supported values of format

Examples

Run this code

# NOT RUN {
next.future_id("ES_Z1","H,M,U,Z", format=NULL) 
next.future_id("VIXAUG11", 1:12, root='VIX', format=NULL)
next.future_id("YM_Q11", seq(3,12,3)) #gives a warning about 'Q' not being part of month_cycle
# }