R Bindings to the Calendaring Functionality of 'QuantLib'

Description

'QuantLib' bindings are provided for R using 'Rcpp' via an updated variant of the header-only 'Quantuccia' project (put together initially by Peter Caspers) offering an essential subset of 'QuantLib' (and now maintained separately for the calendaring subset). See the included file 'AUTHORS' for a full list of contributors to both 'QuantLib' and 'Quantuccia'.

Details

The DESCRIPTION file:

Package Content

Index of help topics:

RcppQuantuccia-package
                        R Bindings to the Calendaring Functionality of
                        'QuantLib'
adjust_cpp              Compute adjusted dates
advanceDate             Advance a date
advanceUnits_cpp        Compute adjusted dates
businessDaysBetween     Compute number of business dates between
                        calendar dates
calendars               The 'calendars' vector contains all calendar
                        identifiers.
getEndOfMonth           Compute end-of-month
getHolidays             Compute holidays or business days
getName                 Get calendar name, or id
isBusinessDay           Test for business days
isEndOfMonth            Test for end-of-month
isHoliday               Test for holidays
isWeekend               Test for weekends
setCalendar             Set a calendar

Maintainer

Dirk Eddelbuettel <edd@debian.org>

Author(s)

Dirk Eddelbuettel; the authors and contributors of QuantLib

References

https://www.quantlib.org/

Compute adjusted dates

Description

Adjust a vector of dates following a business-day convention

Usage

adjust_cpp(dates, bdc = 0L)

adjust(dates, bdc = c("Following", "ModifiedFollowing", "Preceding",
  "ModifiedPreceding", "Unadjusted", "HalfMonthModifiedFollowing", "Nearest"))

Arguments

Details

This function takes a vector of dates and returns another vector of dates of the same length returning at each position the adjusted date according to the selected business-day convention. Currently supported values for the business day convention are (starting from zero): ‘Following’, ‘ModifiedFollowing’, ‘Preceding’, ‘ModifiedPreceding’, ‘Unadjusted’, ‘HalfModifiedFollowing’ and ‘Nearest’.

Value

A Date vector with dates adjust according to business-day convention

Examples

adjust(Sys.Date()+0:6)

Advance a date

Description

Advance a date to the next business day plus an optional shift

Usage

advanceDate(rd, days = 0L)

Arguments

Details

This function takes a given date and advances it to the next business day under the current (global) calendar setting. If an optional offset value is given it is applied as well.

Value

The advanced date is returned

Examples

advanceDate(Sys.Date(), 2)  # today to the next biz day, plus 2 days

Compute adjusted dates

Description

Advance a vector of dates by a given number of time units

Usage

advanceUnits_cpp(dates, n, unit, bdc, emr)

advanceUnits(dates, n, unit = c("Days", "Weeks", "Months", "Years", "Hours",
  "Minutes", "Seconds", "Milliseconds", "Microseconds"), bdc = c("Following",
  "ModifiedFollowing", "Preceding", "ModifiedPreceding", "Unadjusted",
  "HalfMonthModifiedFollowing", "Nearest"), emr = FALSE)

Arguments

Details

This function takes a vector of dates and returns another vector of dates of the same length returning at each position the date advanced by the given number of steps in the selected time unit, also respecting a business day convention and and of month boolean switch. Currently supported values for the time unit are ‘Days’, ‘Weeks’, ‘Months’ ‘Years’, ‘Hours’, ‘Seconds’, ‘Milliseconds’ and ‘Microseconds’; all are specified as integers. Note that intra-daily units are not currently supported for advancing ‘Date’ objects. Currently supported values for the business day convention are (starting from zero): ‘Following’, ‘ModifiedFollowing’, ‘Preceding’, ‘ModifiedPreceding’, ‘Unadjusted’, ‘HalfModifiedFollowing’ and ‘Nearest’.

Value

A Date vector with dates advanced according to the selected inputs

Examples

advanceUnits(Sys.Date()+0:6, 5, "Days", "Following")

Compute number of business dates between calendar dates

Description

Compute the number of business days between dates

Usage

businessDaysBetween(from, to, includeFirst = TRUE, includeLast = FALSE)

Arguments

Details

This function takes two vectors of start and end dates and returns another vector of the number of business days between each corresponding date pair according to the active calendar.

Value

A numeric vector with the number of business dates between the corresponding date pair

Examples

businessDaysBetween(Sys.Date() + 0:6, Sys.Date() + 3 + 0:6)

The calendars vector contains all calendar identifiers.

Description

The calendars vector contains all calendar identifiers.

Examples

head(calendars, 10)

Compute end-of-month

Description

Compute a vector of dates with end-of-month

Usage

getEndOfMonth(dates)

Arguments

Details

This function takes a vector of dates and returns another vector of dates of the same length returning at each position whether the corresponding end-of-month date in the currently active (global) calendar.

Value

A Date vector with dates which are end-of-month

Examples

getEndOfMonth(Sys.Date()+0:6)

Compute holidays or business days

Description

Compute the number of holidays (or business days) between two dates

Usage

getHolidays(from, to, includeWeekends = FALSE)

getBusinessDays(from, to)

Arguments

Details

This function takes a start and end date and returns a vector of holidays (or business days) between them according to the active calendar.

Value

A Date vector with holidays or business days between the given dates

Examples

getHolidays(Sys.Date(), Sys.Date() + 30)

Get calendar name, or id

Description

Get calendar name or id

Usage

getName()

getId()

Details

This function returns the corresponding (full) name (as in the underlying implementationclass) or identification string (used to select it) of the current calendar.

Value

A string with the calendar name

Examples

getName()

Test for business days

Description

Test a vector of dates for business day

Usage

isBusinessDay(dates)

Arguments

Details

This function takes a vector of dates and returns a logical vector of the same length indicating at each position whether the corresponding date is a business day in the currently active (global) calendar.

Value

A logical vector indicating which dates are business days

Examples

isBusinessDay(Sys.Date()+0:6)

Test for end-of-month

Description

Test a vector of dates for end-of-month

Usage

isEndOfMonth(dates)

Arguments

Details

This function takes a vector of dates and returns a logical vector of the same length indicating at each position whether the corresponding date is at the end of a month in the currently active (global) calendar.

Value

A logical vector indicating which dates are end-of-month

Examples

isEndOfMonth(Sys.Date()+0:6)

Test for holidays

Description

Test a vector of dates for holiday

Usage

isHoliday(dates)

Arguments

Details

This function takes a vector of dates and returns a logical vector of the same length indicating at each position whether the corresponding date is a holiday in the currently active (global) calendar.

Value

A logical vector indicating which dates are holidays

Examples

isHoliday(Sys.Date()+0:6)

Test for weekends

Description

Test a vector of dates for weekends

Usage

isWeekend(dates)

Arguments

Details

This function takes a vector of dates and returns a logical vector of the same length indicating at each position whether the corresponding date is a weekend in the currently active (global) calendar.

Value

A logical vector indicating which dates are weekends

Examples

isWeekend(Sys.Date()+0:6)

Set a calendar

Description

Set a calendar

Usage

setCalendar(calstr)

Arguments

Details

This function sets a calendar to the given market or country convention. Note that at present only the default ‘TARGET’ and ‘UnitedStates’ are supported.

Value

Nothing is returned but the global state is changed

Examples

setCalendar("UnitedStates")