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RQuantLib (version 0.4.0)

Enum: Documentation for parameters

Description

Reference for parameters when constructing a bond

Arguments

DayCounter
an int value ll{ 0 Actual360 1 Actual360FixEd 2 ActualActual 3 ActualBusiness252 4 OneDayCounter 5 SimpleDayCounter 6
businessDayConvention
an int value ll{ 0 Following 1 ModifiedFollowing 2 Preceding 3 ModifiedPreceding anything else UNadjusted }
compounding
an int value ll{ 0 Simple 1 Compounded 2 Continuous 3 SimpleThenCompounded }
period or frequency
an int value ll{ -1 NoFrequency 0 Once 1 Annual 2 Semiannual 3 EveryFourthMonth 4 Quarterly 6 BiMonthtly 12
date generation
an int value to specify date generation rule ll{ 0 Backward 1 Forward 2 Zero 3 ThirdWednesday 4 Twentieth anything else TwentiethIMM
durationType
an int value to specify duration type ll{ 0 Simple 1 Macaulay 2 Modified }

Value

  • None

Details

Please see any decent Finance textbook for background reading, and the QuantLib documentation for details on the QuantLib implementation, particularly the datetime classes.

References

http://quantlib.org for details on QuantLib.