[realtraders] VBA Code for contract expiry {01}

["Robert Hodge" <r-hodge@xxxxxxxxxxxxxxx>]

I've just written a small  routine in VB/A to work out the expiry or roll
date for any given futures contract code and date rule.

If you'd like to have a look you can download the VB code module from

http://www.r-hodge.dircon.co.uk/


It basically allows you to have a function in Excel like:

    =CodeDate("USZ9","14:00_LBD-7_EM",MyHolidayCalendarRange,-1)
[in words return the 7th last business day of the expiry month]

which will return a double with the date and time of expiry for this
contract optionally modified for any holiday calendar you have constructed.
It also copes with daterules based on calendar days and 3rd Fridays etc...

I've tested it a bit and it appears to work but I'd welcome any feedback
from the list as my testing is nowhere near exhaustive.

For more info, visit the site.

Regards,

Robert Hodge
Moonlight Systems Limited
r-hodge@xxxxxxxxxxxxxxx