RQuantLib (version 0.3.4)

Calendars: Calendar functions from QuantLib

Description

The isBusinessDay function evaluates the given dates in the context of the given calendar, and returns a vector of booleans indicating business day status. BusinessDay is also recognised (but may be deprecated one day).

The isHoliday function evaluates the given dates in the context of the given calendar, and returns a vector of booleans indicating holiday day status.

The isWeekend function evaluates the given dates in the context of the given calendar, and returns a vector of booleans indicating weekend status.

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.

The getEndOfMonth function evaluates the given dates in the context of the given calendar, and returns a vector that corresponds to the end of month. endOfMonth is a deprecated form for this function.

The getHolidayList function returns the holidays between the given dates, with an option to exclude weekends. holidayList is a deprecated form for this function.

The setCalendarContext function sets three values to a singleton instance at the C++ layer.

Usage

isBusinessDay(calendar="TARGET", dates=Sys.Date())
businessDay(calendar="TARGET", dates=Sys.Date())  # deprecated form
isHoliday(calendar="TARGET", dates=Sys.Date())
isWeekend(calendar="TARGET", dates=Sys.Date())
isEndOfMonth(calendar="TARGET", dates=Sys.Date())
getEndOfMonth(calendar="TARGET", dates=Sys.Date())
endOfMonth(calendar="TARGET", dates=Sys.Date())
getHolidayList(calendar="TARGET", from=Sys.Date(), to = Sys.Date() + 5, includeWeekends = 0) 
holidayList(calendar="TARGET", from=Sys.Date(), to = Sys.Date() + 5, includeWeekends = 0) 
setCalendarContext(calendar, fixingDays, settleDate)

Arguments

calendar

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

dates

A vector (or scalar) of Date types.

from

A vector (or scalar) of Date types.

to

A vector (or scalar) of Date types.

includeWeekends

boolean that indicates whether the calculation should include the weekends. Default = false

fixingDays

An integer for the fixing day period, defaults to 2.

settleDate

A date on which trades settles, defaults to two days after the current day.

Value

• A named vector of booleans each of which is true if the corresponding date is a business day (or holiday or weekend) in the given calendar. The element names are the dates (formatted as text in yyyy-mm-dd format).

  For setCalendarContext, a boolean or NULL in case of error.

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)
  isBusinessDay("UnitedStates", dates)
  isBusinessDay("UnitedStates/Settlement", dates)      ## same as previous
  isBusinessDay("UnitedStates/NYSE", dates)            ## stocks
  isBusinessDay("UnitedStates/GovernmentBond", dates)  ## bonds
  isBusinessDay("UnitedStates/NERC", dates)            ## energy

  isHoliday("UnitedStates", dates)
  isHoliday("UnitedStates/Settlement", dates)      ## same as previous
  isHoliday("UnitedStates/NYSE", dates)            ## stocks
  isHoliday("UnitedStates/GovernmentBond", dates)  ## bonds
  isHoliday("UnitedStates/NERC", dates)            ## energy

  isWeekend("UnitedStates", dates)
  isWeekend("UnitedStates/Settlement", dates)      ## same as previous
  isWeekend("UnitedStates/NYSE", dates)            ## stocks
  isWeekend("UnitedStates/GovernmentBond", dates)  ## bonds
  isWeekend("UnitedStates/NERC", dates)            ## energy

  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

  getEndOfMonth("UnitedStates", dates)
  getEndOfMonth("UnitedStates/Settlement", dates)      ## same as previous
  getEndOfMonth("UnitedStates/NYSE", dates)            ## stocks
  getEndOfMonth("UnitedStates/GovernmentBond", dates)  ## bonds
  getEndOfMonth("UnitedStates/NERC", dates)            ## energy

  from <- as.Date("2009-04-07")
  to<-as.Date("2009-04-14")
  getHolidayList("UnitedStates", from, to)
  to <- as.Date("2009-10-7")
  getHolidayList("UnitedStates", from, to)