[R-SIG-Finance] Constant maturity Futures
G See
gsee000 at gmail.com
Tue Sep 8 16:58:05 CEST 2015
I don't really remember how it works, to be honest. :-P I wish I had
time to look into it. 2015-08-19 is 20 days ago, so I guess the 20
day CMF needs 20 days of data as it's currently implemented?
Sorry I can't be of more help.
Garrett
On Tue, Sep 8, 2015 at 9:30 AM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
> Hi Garrett,
>
> I just tested this code out and...it doesn't compute up to the most current
> day. As of now, the term.structure function ends at 2015-08-19. AKA in the
> last month. Is there a way to make it go up to the last day for which there
> is data available? Thanks.
>
> -Ilya
>
> On Thu, Aug 13, 2015 at 5:56 PM, G See <gsee000 at gmail.com> wrote:
>>
>> Hi Samuel,
>>
>> Here's some code (also attached) that creates constant maturity
>> futures for VIX futures. I wrote this code 4 years ago. I'm not
>> particularly proud of it. I don't know for sure that it works. It
>> might not be elegant. etc. Take it for what it's worth.
>>
>> You should be able to source this code and get a time series plot of
>> several different CMFs of varying maturities. You'll need my qmao
>> package which you can install with
>> devtools::install_github("gsee/qmao")
>>
>>
>> #' @export
>> #' @rdname primary2expiry
>> suffix2expiry <- function(suffix, root='VX', ...) {
>> if (exists(paste('suffix2expiry',root,sep="."))) {
>> do.call(paste('suffix2expiry',root,sep='.'),list(suffix, ...))
>> } else {
>> warning(paste(root, 'is not and available suffix2expiry
>> method; using "VX" instead'))
>> do.call('suffix2expiry.VX',list(suffix, ...))
>> }
>> }
>>
>> #' Get the expiration date of an instrument given it's primary_id
>> #'
>> #' \code{primary2expiry} is basically a wrapper for
>> \code{\link{suffix2expiry}}. It uses
>> #' \code{\link[FinancialInstrument]{parse_id}} to split the
>> \code{primary_id} into rood_id and suffix_id.
>> #' then it calls the appropriate \code{\link{suffix2expiry}} method.
>> #'
>> #' \code{suffix2expiry} is a generic-like function. There should be a
>> method defined
>> #' the "root_id". Currently, written methods include "VX", "ES" (and
>> aliases "YM", "NQ").
>> #' There are links to methods help pages in the seealso section.
>> #'
>> #' @param primary_id character string. Primary identifier of the
>> instrument
>> #' @param root character string. root symbol like "ES" or "VX" (NULL)
>> #' @param silent silence warnings? (TRUE)
>> #' @param suffix character string that indicates expiration month and
>> year (and, for options, right and strike).
>> #' See \code{\link[FinancialInstrument]{parse_suffix}} for examples of
>> acceptable formats.
>> #' @param ... any arguments to be passed to the \code{suffix2expiry}
>> method
>> #' @return expiration Date
>> #' @seealso \code{\link{suffix2expiry.VX}}, \code{\link{suffix2expiry.ES}}
>> #' @aliases primary2expiry, suffix2expiry
>> #' @author gsee
>> #' @examples
>> #' primary2expiry("ESU1")
>> #' suffix2expiry('V11', root='VX')
>> #' @export
>> #' @rdname primary2expiry
>> primary2expiry <- function(primary_id, root=NULL, silent=TRUE) {
>> idlist <- parse_id(primary_id, silent=silent)
>> if (is.null(root)) root <- idlist$root
>> do.call(paste("suffix2expiry",root,sep='.'),
>> list(suffix=idlist$suffix, silent=silent))
>> }
>>
>>
>> #' VIX future contract expiration date
>> #'
>> #' Calculate the expiration date of a VIX future contract given a
>> suffix_id
>> #'
>> #' Per the contract specs, expiration will occur on \dQuote{the Wednesday
>> that
>> #' is thirty days prior to the third Friday of the calendar month
>> #' immediately following the month in which the contract expires
>> ("Final Settlement Date").
>> #' If the third Friday of the month subsequent to expiration of the
>> applicable
>> #' VIX futures contract is a CBOE holiday, the Final Settlement Date
>> for the contract
>> #' shall be thirty days prior to the CBOE business day immediately
>> preceding that Friday.}
>> #' @param suffix suffix_id that should be something like (\sQuote{U1},
>> \sQuote{U11}, or \sQuote{SEP11})
>> #' @param silent silence warnings? (TRUE)
>> #' @return an expiration Date
>> #' @author gsee
>> #' @references \url{http://cfe.cboe.com/products/spec_vix.aspx}
>> #' @examples
>> #' \dontrun{
>> #' suffix2expiry.VX('U11')
>> #' suffix2expiry.VX("JUN09")
>> #' }
>> #' @export
>> suffix2expiry.VX <- suffix2expiry.VIX <- function(suffix, silent=TRUE) {
>> #require('timeDate')
>> sl <- parse_suffix(suffix,silent=silent)
>> DT <- as.Date(paste(15, sl$month, sl$year,sep='-'),format="%d-%b-%Y")
>> Y <- format(DT,"%Y")
>> M <- format((DT + 30),"%m")
>> if (as.numeric(M) == 1) Y <- paste(as.numeric(Y) + 1)
>> DS <- as.Date(paste(Y,M,01,sep='-'))+0:22
>> DS <- DS[months(DS, abbreviate=TRUE) == C2M()[as.numeric(M)]]
>> ds <- which(weekdays(DS) == "Friday")[3]
>> if (DS[ds] %in% as.Date(holidayNYSE(as.numeric(Y))@Data)) {
>> while (DS[ds] %in% as.Date(holidayNYSE(as.numeric(Y))@Data)
>> || any(c('Saturday', 'Sunday') == weekdays(DS[ds])))
>> ds <- ds-1
>> }
>> #try(detach(package:timeDate), silent=TRUE);
>> try(detach(package:timeSeries), silent=TRUE)
>> DS[ds] - 30
>> }
>>
>>
>>
>>
>>
>> .interp.fut.VX <- function(x1, x2, n=36, prefer='Close') {
>> xs <- c(x1,x2) # names of 2 instruments
>> x1 <- get(x1,pos=.GlobalEnv)
>> x2 <- get(x2,pos=.GlobalEnv)
>>
>> x1$DTE <- primary2expiry(xs[1])-index(x1)#, index(x1)) #dlf(x1)
>> x2$DTE <- primary2expiry(xs[2])-index(x2)#, index(x2)) #dlf(x2)
>> df <- merge(x1$DTE,x2$DTE,all=FALSE)
>> df <- na.omit(df)
>> if (length(df[,1]) && length(df[,2])) {
>> Pcmf <- xts()
>> if(all(df[,1] < df[,2])) {
>> col1 <- 1
>> col2 <- 2
>> } else if (all(df[,2] < df[,1])) {
>> col1 <- 2
>> col2 <- 1
>> } else stop(paste("ambiguous nearby contract",xs))
>> for (ns in n) {
>> idx <- index(df[(df[,col1] <= ns) & (df[,col2] > ns)])
>> if (length(idx) == 0) return(NULL)
>> w <- 1/ns
>> P1 <- try(getPrice(x1[idx],prefer=prefer))
>> P2 <- try(getPrice(x2[idx],prefer=prefer))
>> wP <- try((w*P1) + ((1-w)*P2))
>> if (!any(sapply(list(P1,P2,wP), inherits, 'try-error')))
>> Pcmf <- cbind(Pcmf,wP)
>> }
>> #indexClass(Pcmf) <- 'Date' ## xts kind of broke this.
>> Pcmf
>> }
>> }
>>
>>
>> term.structure <- function(Symbols, cdays=c(35,60,90,120)) {
>> s <- Symbols
>> cnames <- paste(strsplit(s[[1]],"_")[[1]][1], "cm", cdays, sep=".")
>> a <- list()
>> for (i in 2:length(s)) {
>> tmp <- .interp.fut.VX(s[i-1],s[i],cdays)
>> if (length(tmp)) {
>> a[[i-1]] <- tmp
>> colnames(a[[i-1]]) <- cnames
>> }
>> }
>> #for (i in 1:length(a)) colnames(a[[i]]) <- paste("VX.CM", tdays,
>> sep=".")
>> cb <- NULL
>> for (i in 1:length(cdays)) {
>> rb <- na.omit(a[[1]][,i])
>> for (j in 2:(length(s)-1)) {
>> if (length(a) > j && length(a[[j]][,i]) &&
>> length(na.omit(a[[j]][,i])))
>> rb <- rbind(rb, na.omit(a[[j]][,i]))
>> }
>> cb <- as.xts(cbind(cb, rb), dateFormat="Date")
>> }
>> cb
>> }
>>
>> library(qmao)
>> library(timeDate) # for holidayNYSE
>> setSymbolLookup(VX='cfe')
>> vx <- getSymbols('VX',Month=1:12,Year=2007:2011)
>>
>> plot.zoo(term.structure(vx, seq(20, 200, 20)), screens=1, col=rainbow(10))
>>
>> -----
>>
>> HTH,
>> Garrett
>>
>>
>>
>> On Thu, Aug 13, 2015 at 2:54 PM, Samuel Wilson
>> <samuelcoltwilson at gmail.com> wrote:
>> > Before I write the code, I was wondering if anyone had already created a
>> > function or code for calculating constant maturity for a futures
>> > contract
>> > in R.
>> >
>> > [[alternative HTML version deleted]]
>> >
>> > _______________________________________________
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>>
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