Date & Time Procedures for Finance

Instructions:
• These procedures can be downloaded individually, or together as one zip file: datetime.zip . Place all files (including declaration files ending in ".dec" into your "/gauss/src" directory.

Individual Programs:

• calender.g Create a calender for options trading and other applications. Particularly useful for simulating financial data and as a precursor to finding expiration dates for options.
• calvecp.g Procedure to convert the 4 columns of output from calender.g above, into yymmdd format.
• tdtxproc.g & tdtxproc.dec Procedure with necessary declaration file to calculate trading days and calender days until expiration for options.

• monthf.g Procedure to extract calender month number from yymmdd format.
• dayf.g Procedure to extract day of month number from yymmdd format.
• mpasthr.g Procedure to calculate the number of minutes (including decimal portion since a certain target time of the day. This is useful for lining up intraday quotes.

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Last modified: 1/1/2003