RQuantLib (version 0.3.2)

endOfMonth: Calendar functions from QuantLib

Description

The endOfMonth function evaluates the given dates in the context of the given calendar, and returns a vector that corresponds to the end of month.

Usage

endOfMonth(calendar="TARGET", dates=Sys.Date())

Arguments

calendar

A string identifying one of the supported QuantLib calendars, see Details for more

dates

A vector (or scalar) of Date types.

Value

• An named vector of dates, each of which is the end of month date that corresponds to the input dates. The element names are the dates (formatted as text in yyyy-mm-dd format).

Details

The calendars are coming from QuantLib, and the QuantLib documentation should be consulted for details.

Currently, the following strings are recognised: TARGET (a default calendar), Canada and Canada/Settlement, Canada/TSX, Germany and Germany/FrankfurtStockExchange, Germany/Settlement, Germany/Xetra, Germany/Eurex, Italy and Italy/Settlement, Italy/Exchange, Japan, UnitedKingdom and UnitedKingdom/Settlement, UnitedKingdom/Exchange, UnitedKingdom/Metals, UnitedStates and UnitedStates/Settlement, UnitedStates/NYSE, UnitedStates/GovernmentBond, UnitedStates/NERC.

(In case of multiples entries per country, the country default is listed right after the country itself. Using the shorter form is equivalent.)

References

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

Examples

dates <- seq(from=as.Date("2009-04-07"), to=as.Date("2009-04-14"), by=1)
  endOfMonth("UnitedStates", dates)
  endOfMonth("UnitedStates/Settlement", dates)      ## same as previous
  endOfMonth("UnitedStates/NYSE", dates)            ## stocks
  endOfMonth("UnitedStates/GovernmentBond", dates)  ## bonds
  endOfMonth("UnitedStates/NERC", dates)            ## energy