gen_futures_codes: Generate futures contract codes and schedule between dates
Description
Generate futures contract codes and schedule between dates
Usage
gen_futures_codes(contract, from, to, frequency, day_exp, year_last_digit = FALSE)
Arguments
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?
Value
returns data.table with columns code, from, to, contract_id.