futures.expiry() fails

[pjheink]

x is an xts time series and when calling: futures.expiry(x), a warning is thrown and the result is empty. I was expecting the indices of the futures expiration dates.

It seems that the months.xts() function (from months.R) isn't defined in my session (although futures.expiry() is defined). I can work around the problem by redefining futures.expiry() as:

futures.expiry <- function (x) {
  which(format(index(x), "%d") > 14 &
        format(index(x), "%d") < 22 &
        format(index(x), "%w") == 5 &
        as.numeric(format(index(x), "%m")) %in% c(3, 6, 9, 12)
        )
}

Here's a minimal session that reproduces the problem on my system:

library(quantmod)
x <- getSymbols("^GSPC", from="2018-09-06", to="2018-10-01", auto.assign=F)
futures.expiry(x)

This results in the following:

integer(0)
Warning message:
In as.numeric(months(x, TRUE)) %in% c(3, 6, 9, 12) :
  NAs introduced by coercion

Session Info:

R version 3.4.0 (2017-04-21)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows >= 8 x64 (build 9200)

Matrix products: default

locale:
[1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United States.1252    LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C                           LC_TIME=English_United States.1252    

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] quantmod_0.4-13 TTR_0.23-4      xts_0.11-2      zoo_1.8-4      

loaded via a namespace (and not attached):
[1] compiler_3.4.0  tools_3.4.0     curl_3.2        yaml_2.2.0      grid_3.4.0      lattice_0.20-35

[joshuaulrich]

Thanks for the report! It looks like the cause of this issue was removing S3 generics and methods for months(), years(), etc. back in 2008. This might have been okay for awhile, but S3 method dispatch may have become more restrictive over the years (e.g. -- and this is a guess -- methods in packages must be registered, not just named like a S3 method).

I just pushed a commit. I would really appreciate if you could test it to ensure it works for your situation!

[pjheink]

I installed quantmod from the 257-expiry branch and the futures.expiry() function works just fine now. Thanks!

[pjheink]

I'm not sure of the protocol... the problem seems to be fixed in the 257-expiry commit but should I have waited until you pushed this fix into the master before rating the problem Closed? Thanks!

[joshuaulrich]

Thanks for the testing and feedback! You don't need to close the issue. It would have been closed when I merged the branch into master. No worries though!