Question

Hoping that someone could provide a function that given a date, it will return the NYSE trading day of month.

If it takes into consideration holidays that is a bonus, if not I’m not too worried.

Thanks in advance!

Answer 1

There are a few packages that handle fiddly calendar issues, which are fiddly. To quote from timeDate:

“It is non-trivial to implement function for business days, weekends and holidays. It is not difficult in an algorithmic sense, but it can become tedious to implement the rules of the calendar themselves, for example the date of Easter.”

Still, if I have interpreted your question correctly, something like this should work (although you might want to think about the result you want if myDate is not itself a trading day…at the moment it gives the trading day of the previous trading day).

library(RQuantLib)

tradingDayOfMonth <- function(myDate, calendar = "UnitedStates/NYSE") {
  FirstOfMonth <- as.Date(paste(year(myDate), month(myDate), "01", sep="/")) 
  businessDaysBetween(calendar, from = FirstOfMonth, to = myDate,
                      includeFirst = 1, includeLast = 1)
}

tradingDayOfMonth(as.Date("2012/11/05"))
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