RQuantLib (version 0.3.2)

isEndOfMonth: Calendar functions from QuantLib

Description

The isEndOfMonth function evaluates the given dates in the context of the given calendar, and returns a vector of booleans indicating end of month status.

Usage

isEndOfMonth(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 booleans each of which is true if the corresponding date is an end of month in the given calendar. 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)
  isEndOfMonth("UnitedStates", dates)
  isEndOfMonth("UnitedStates/Settlement", dates)      ## same as previous
  isEndOfMonth("UnitedStates/NYSE", dates)            ## stocks
  isEndOfMonth("UnitedStates/GovernmentBond", dates)  ## bonds
  isEndOfMonth("UnitedStates/NERC", dates)            ## energy