This function converts a vector of maturity codes into actual dates.
Arguments
- x
a character vector with three letters string that represent maturity of futures contracts.
- expr
a string which indicates the day to use in maturity date, default is "first day". See
bizdays::getdate
for more details on this argument- refdate
reference date to be passed. It is necessary to convert old maturities like JAN0, that can be Jan/2000 or Jan/2010. If
refdate
is greater that 2001-01-01 JAN0 is converted to Jan/2010, otherwise, Jan/2000.
Value
A vector of dates corresponding to the input maturity codes. Convert Maturity Code to Date
This function converts a vector of maturity codes into actual dates. Get the corresponding maturity date for the three characters string that represent maturity of futures contracts.
a Date vector with maturity dates
Examples
maturitycode2date(c("F22", "F23", "G23", "H23", "F45"), "first day")
#> [1] "2022-01-01" "2023-01-01" "2023-02-01" "2023-03-01" "2045-01-01"
maturitycode2date(c("F23", "K35"), "15th day")
#> [1] "2023-01-15" "2035-05-15"
maturitycode2date(c("AGO2", "SET2"), "first day")
#> [1] "2002-08-01" "2002-09-01"