def vixExpiration(year, month):
"""
expriration date of a VX future
"""
t = datetime(year, month, 1) + offsets.relativedelta(months=1)
offset = offsets.Week(weekday=4)
if t.weekday() != 4:
t_new = t + 3 * offset
else:
t_new = t + 2 * offset
t_exp = t_new - offsets.relativedelta(days=30)
return t_exp
def vixExpiration(year, month, precise=True):
"""
expriration date of a VX future.
precise option loads data from file, but is limited
"""
if not precise:
t = datetime(year, month, 1) + offsets.relativedelta(months=1)
offset = offsets.Week(weekday=4)
if t.weekday() != 4:
t_new = t + 3 * offset
else:
t_new = t + 2 * offset
t_exp = t_new - offsets.relativedelta(days=30)
else:
t_exp = vixExpirations[(year, month)]
return t_exp