bsetmet/SIT.date

SIT.date - Wrappers for Common Date Operations

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To install Systematic Investor Toolbox (SIT) please visit About page.

SIT.date package is the collection of functions to ease extraction of date period ends.

The first function that i want to highlight is the date.ends function. This is a user friendly wrapper to compute periods ends with optional logic to handle holidays if holiday calendar is provided. It handles various commonly used periodicity by mapping them into corresponding end period functions. For example, weeks, week, weekly, and w are all mapped into `date.week.ends'.

It also handles bi-weekly syntax by taking every other period end. For more precise handling you can directly specify by and skip input parameters.

Please note the date.ends function works differently depending on the input data type. I.e. if xts object is given, assume that xts is sourced from historical data and does not contain holidays otherwise first filter out non business days and next apply dates periodicity function.

Let's checkout some examples:

{% highlight r %} library(SIT.date)

dates = seq(as.Date('1-Oct-2013','%d-%b-%Y'), as.Date('10-Jan-2015','%d-%b-%Y'), 1) out = function(x) { temp = matrix(format( x ,'%d-%b-%Y %a'),nc=1) colnames(temp)='dates' print(temp) }

out( dates[date.ends(dates, 'bi-monthly')] ) {% endhighlight %}

dates
31-Oct-2013 Thu
31-Dec-2013 Tue
28-Feb-2014 Fri
30-Apr-2014 Wed
30-Jun-2014 Mon
29-Aug-2014 Fri
31-Oct-2014 Fri
31-Dec-2014 Wed

{% highlight r %} out( dates[date.ends(dates, 'bi-monthly', skip=1)] ) {% endhighlight %}

dates
29-Nov-2013 Fri
31-Jan-2014 Fri
31-Mar-2014 Mon
30-May-2014 Fri
31-Jul-2014 Thu
30-Sep-2014 Tue
28-Nov-2014 Fri
10-Jan-2015 Sat

{% highlight r %} out( dates[date.ends(dates, 'monthly', skip=1, by=2)] ) {% endhighlight %}

dates
29-Nov-2013 Fri
31-Jan-2014 Fri
31-Mar-2014 Mon
30-May-2014 Fri
31-Jul-2014 Thu
30-Sep-2014 Tue
28-Nov-2014 Fri
10-Jan-2015 Sat

We can also specify a calendar to only consider business dates:

{% highlight r %} dates = seq(as.Date('1-Mar-2015','%d-%b-%Y'), as.Date('1-May-2015','%d-%b-%Y'), 1)

out( dates[date.ends(dates, 'weekly', calendar = 'UnitedStates/NYSE')] ) {% endhighlight %}

dates
06-Mar-2015 Fri
13-Mar-2015 Fri
20-Mar-2015 Fri
27-Mar-2015 Fri
02-Apr-2015 Thu
10-Apr-2015 Fri
17-Apr-2015 Fri
24-Apr-2015 Fri
01-May-2015 Fri

{% highlight r %} out( dates[date.ends(dates, 'weekly', last.date=F, calendar = 'Canada/TSX')] ) {% endhighlight %}

dates
06-Mar-2015 Fri
13-Mar-2015 Fri
20-Mar-2015 Fri
27-Mar-2015 Fri
02-Apr-2015 Thu
10-Apr-2015 Fri
17-Apr-2015 Fri
24-Apr-2015 Fri
01-May-2015 Fri

{% highlight r %}

Good Friday April 3, 2015-04-03 is holiday

out( dates[date.ends(dates, 'weekly')] ) {% endhighlight %}

dates
06-Mar-2015 Fri
13-Mar-2015 Fri
20-Mar-2015 Fri
27-Mar-2015 Fri
03-Apr-2015 Fri
10-Apr-2015 Fri
17-Apr-2015 Fri
24-Apr-2015 Fri
01-May-2015 Fri

You also might find handy the custom.date.bus and custom.date functions. These functions handle custom syntax to specify date ends. The expression given to these functions must be in the following format:

([identifier] [periodicity]) [in/every] ([identifier] [periodicity]) ... [in/every] ([identifier] [periodicity])

For example:

• last day in Apr
• last day in first week in Apr
• 3rd Mon in last M in Q1
• 10th to last day in Apr

The custom.date.bus function also takes in the holiday calendar to properly adjust for holidays.

Let's checkout some examples:

{% highlight r %} library(SIT.date)

dates = seq(as.Date('1-Oct-2010','%d-%b-%Y'), as.Date('1-Jan-2015','%d-%b-%Y'), 1)

out( dates[custom.date('last day in Apr', dates)] ) {% endhighlight %}

dates
30-Apr-2011 Sat
30-Apr-2012 Mon
30-Apr-2013 Tue
30-Apr-2014 Wed

{% highlight r %} out( dates[custom.date.bus('last day in Apr', dates, 'UnitedStates/NYSE')] ) {% endhighlight %}

dates
29-Apr-2011 Fri
30-Apr-2012 Mon
30-Apr-2013 Tue
30-Apr-2014 Wed

{% highlight r %} dates = seq(as.Date('1-Oct-2014','%d-%b-%Y'), as.Date('1-Jan-2015','%d-%b-%Y'), 1)

out( dates[custom.date.bus('first day in Jan', dates, 'UnitedStates/NYSE')] ) {% endhighlight %}

dates

{% highlight r %} dates = seq(as.Date('1-Jan-2014','%d-%b-%Y'), as.Date('5-Jan-2015','%d-%b-%Y'), 1) out( dates[custom.date('first day in Jan', dates)] ) {% endhighlight %}

dates
01-Jan-2014 Wed
01-Jan-2015 Thu

{% highlight r %} out( dates[custom.date.bus('first day in Jan', dates, 'UnitedStates/NYSE')] ) {% endhighlight %}

dates
02-Jan-2014 Thu
02-Jan-2015 Fri

{% highlight r %}

with out calendar the, logic assumes that 1 jan 2014 is first business date

out( dates[custom.date.bus('first day in Jan', dates)] ) {% endhighlight %}

dates
01-Jan-2014 Wed
01-Jan-2015 Thu

{% highlight r %} out( dates[custom.date('last day in Apr', dates)] ) {% endhighlight %}

dates
30-Apr-2014 Wed

{% highlight r %} out( dates[custom.date('first day in Apr', dates)] ) {% endhighlight %}

dates
01-Apr-2014 Tue

{% highlight r %} out( dates[custom.date('last day in first week in Apr', dates)] ) {% endhighlight %}

dates
05-Apr-2014 Sat

{% highlight r %} out( dates[custom.date('last Mon in Apr', dates)] ) {% endhighlight %}

dates
28-Apr-2014 Mon

{% highlight r %} out( dates[custom.date('last Fri in Apr', dates)] ) {% endhighlight %}

dates
25-Apr-2014 Fri

{% highlight r %} out( dates[custom.date('first day in Apr', dates)] ) {% endhighlight %}

dates
01-Apr-2014 Tue

{% highlight r %} out( dates[custom.date('1st day in Apr', dates)] ) {% endhighlight %}

dates
01-Apr-2014 Tue

{% highlight r %} out( dates[custom.date('10th day in Apr', dates)] ) {% endhighlight %}

dates
10-Apr-2014 Thu

{% highlight r %} out( dates[custom.date('50th day in Apr', dates)] ) {% endhighlight %}

dates
30-Apr-2014 Wed

{% highlight r %} out( dates[custom.date('10th to last day in Apr', dates)] ) {% endhighlight %}

dates
20-Apr-2014 Sun

{% highlight r %} out( dates[custom.date('3rd Mon in Q', dates)] ) {% endhighlight %}

dates
20-Jan-2014 Mon
21-Apr-2014 Mon
21-Jul-2014 Mon
20-Oct-2014 Mon
05-Jan-2015 Mon

{% highlight r %} out( dates[custom.date('3rd Mon in 1st Q', dates)] ) {% endhighlight %}

dates
20-Jan-2014 Mon

{% highlight r %} out( dates[custom.date('3rd Mon in Q1', dates)] ) {% endhighlight %}

dates
20-Jan-2014 Mon
05-Jan-2015 Mon

{% highlight r %} out( dates[custom.date('3rd Mon in last M in Q1', dates)] ) {% endhighlight %}

dates
17-Mar-2014 Mon
05-Jan-2015 Mon

{% highlight r %}

Options Expiration is third Friday of the expiration month

the expiration months are the first month of each quarter - January, April, July, October.

out( dates[custom.date('3rd Fri in Q', dates)] ) {% endhighlight %}

dates
17-Jan-2014 Fri
18-Apr-2014 Fri
18-Jul-2014 Fri
17-Oct-2014 Fri
02-Jan-2015 Fri

{% highlight r %} dates = seq(as.Date('1-Jan-2010','%d-%b-%Y'), as.Date('29-Apr-2015','%d-%b-%Y'), 1) out( dates[custom.date('last day in Apr', dates)] ) {% endhighlight %}

dates
30-Apr-2010 Fri
30-Apr-2011 Sat
30-Apr-2012 Mon
30-Apr-2013 Tue
30-Apr-2014 Wed
29-Apr-2015 Wed

{% highlight r %} dates = seq(as.Date('1-Jan-2010','%d-%b-%Y'), as.Date('30-Apr-2015','%d-%b-%Y'), 1) out( dates[custom.date('last day in Apr', dates)] ) {% endhighlight %}

dates
30-Apr-2010 Fri
30-Apr-2011 Sat
30-Apr-2012 Mon
30-Apr-2013 Tue
30-Apr-2014 Wed
30-Apr-2015 Thu

{% highlight r %} dates = seq(as.Date('1-Jan-2010','%d-%b-%Y'), as.Date('29-Apr-2015','%d-%b-%Y'), 1) out( dates[custom.date.bus('last day in Apr', dates, 'UnitedStates/NYSE')] ) {% endhighlight %}

dates
30-Apr-2010 Fri
29-Apr-2011 Fri
30-Apr-2012 Mon
30-Apr-2013 Tue
30-Apr-2014 Wed

Please let me know if stumble upon any bugs.

The SIT.date is available at github.com/systematicinvestor/SIT.date

Please install with devtools::install_github('systematicinvestor/SIT.date')

(this report was produced on: 2015-11-05)