[R] Identifying US holidays

[Dimitri Liakhovitski]

Thanks a lot, Michael - that's exactly what I was looking for!
Dimitri

On Tue, Aug 2, 2011 at 9:48 AM, R. Michael Weylandt
<michael.weylandt at gmail.com> <michael.weylandt at gmail.com> wrote:
> Now that I'm back at my computer, I'll actually suggest you do something
> else entirely.
>
> If you look at the code of holidayNYSE() or by calling listHolidays() of the
> timeDate package you'll see that there are many many functions that get
> every conceivable holiday directly. I'll let you pick the holidays you want,
> but a simple script might be like this:
>
> x<-seq(as.Date("2011-01-01"), as.Date("2011-12-31"),by="day")
>
> GetHolidays <- function(x) {
>     years = as.POSIXlt(x)$year+1900
>     years = unique(years)
>     holidays <- NULL
>     for (y in years) {
> #If you don't need the if/then statements to include which years something
> was a NYSE holiday, you should drop the loop since the holiday functions are
> vectorized
>         if (y >= 1885)
>             holidays <- c(holidays, as.character(USNewYearsDay(y)))
>         if (y >= 1885)
>             holidays <- c(holidays, as.character(USIndependenceDay(y)))
>         if (y >= 1885)
>             holidays <- c(holidays, as.character(USThanksgivingDay(y)))
>         if (y >= 1885)
>             holidays <- c(holidays, as.character(USChristmasDay(y)))
>      }
>      holidays = as.Date(holidays,format="%Y-%m-%d")
>      ans = x %in% holidays
>     return(ans)
> }
>
> This should return a boolean vector indicating which dates fall on the
> selected holidays: feel free to add/delete holidays as you wish. To get the
> actual holiday dates, this should work: x[GetHolidays(x)]. If you want to
> identify things by holiday, you'll only have to modify the script slightly.
> Let me know if I can help further!
>
> Michael Weylandt
>
> On Mon, Aug 1, 2011 at 4:57 PM, Dimitri Liakhovitski
> <dimitri.liakhovitski at gmail.com> wrote:
>>
>> To be specific, I only need to get rid of 2 NYSE holidays:
>> Washington's Birthday and Good Friday.
>> Is there a way to reduce the vector of NYSE holidays in timeDate by
>> throwing out those two?
>> Thank you!
>> Dimitri
>>
>> On Mon, Aug 1, 2011 at 4:24 PM, R. Michael Weylandt
>> <michael.weylandt at gmail.com> <michael.weylandt at gmail.com> wrote:
>> > Don't know if this is sufficiently slick for this list (which never
>> > fails to impress me with quick and elegant solutions) but I would point out
>> > to you that GF is the only NYSE holiday falling in March or April so it
>> > shouldn't be hard to discard it if desired.
>> >
>> > Michael Weylandt
>> >
>> > On Aug 1, 2011, at 4:18 PM, Dimitri Liakhovitski
>> > <dimitri.liakhovitski at gmail.com> wrote:
>> >
>> >> Just to clarify - I realize that "major" is subjective here. Maybe I
>> >> should say "most common".
>> >> But maybe there is a way for me to select from a list of all NYSE
>> >> holidays and flag only some of them?
>> >> Just not sure how to do it...
>> >> Thanks!
>> >> Dimitri
>> >>
>> >> On Mon, Aug 1, 2011 at 3:45 PM, Dimitri Liakhovitski
>> >> <dimitri.liakhovitski at gmail.com> wrote:
>> >>> Hello!
>> >>>
>> >>> I am trying to identify which ones of a vector of dates are US
>> >>> holidays. And, ideally, which is which. And I do not know (a-priori)
>> >>> which dates those should be.
>> >>> I have, for example:
>> >>>  x<-seq(as.Date("2011-01-01"),as.Date("2011-12-31"),by="day")
>> >>> (x)
>> >>>
>> >>> I think chron should help me here - but maybe I am not using it
>> >>> properly:
>> >>>
>> >>> library(chron)
>> >>> is.holiday(chron) # Says that none of those dates are holidays
>> >>>
>> >>> ?is.holiday says: "holidays" is an object that should be listing
>> >>> holidays. But I want to figure out which of my dates are US holidays
>> >>> and don't want to provide a list of
>> >>>
>> >>> Package timeDate does almost what I need:
>> >>> library(timeDate)
>> >>> holidayNYSE(2008:2010)
>> >>> holidayNYSE()
>> >>>
>> >>> However, I don't need all the NYSE holidays (like Good Friday). Just
>> >>> the major US holidays - New Years, MLK, Memorial Day, Independence
>> >>> Day, Labor Day, Halloween, Thanksgiving, Christmas.
>> >>> Is there any way to identify major US holidays?
>> >>>
>> >>> Thanks a lot!
>> >>>
>> >>> -
>> >>> Dimitri Liakhovitski
>> >>> marketfusionanalytics.com
>> >>>
>> >>
>> >>
>> >>
>> >> --
>> >> Dimitri Liakhovitski
>> >> marketfusionanalytics.com
>> >>
>> >> ______________________________________________
>> >> R-help at r-project.org mailing list
>> >> https://stat.ethz.ch/mailman/listinfo/r-help
>> >> PLEASE do read the posting guide
>> >> http://www.R-project.org/posting-guide.html
>> >> and provide commented, minimal, self-contained, reproducible code.
>> >
>>
>>
>>
>> --
>> Dimitri Liakhovitski
>> marketfusionanalytics.com
>
>



-- 
Dimitri Liakhovitski
marketfusionanalytics.com