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Convert Maturity Code to Corresponding Month

Source: R/scraper-futures.R
code2month.Rd

This function takes a character string representing the maturity code of a futures contract and returns the corresponding month as an integer. It supports both the new and old maturity code formats used in futures contracts.

Usage

code2month(x)

Arguments

x

A character vector with the maturity code(s) of futures contracts. The codes can be either a single letter (e.g., "F", "G", "H", ...) representing the new code format or a three-letter abbreviation (e.g., "JAN", "FEV", "MAR", ...) representing the old code format.

Value

A vector of integers corresponding to the months of the year, where 1 = January, 2 = February, ..., 12 = December.

Details

The function distinguishes between two maturity code formats:

  • The new code format uses a single letter (e.g., "F" = January, "G" = February, etc.).

  • The old code format uses a three-letter abbreviation (e.g., "JAN" = January, "FEV" = February, etc.).

Examples

code2month(c("F", "G", "H", "J", "K", "M", "N", "Q", "U", "V", "X", "Z"))
#>  [1]  1  2  3  4  5  6  7  8  9 10 11 12
code2month(c("JAN", "FEV", "MAR", "NOV", "DEZ"))
#> [1]  1  2  3 11 12