QuantTools (version 0.5.7.1)

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.