RQuantLib (version 0.3.4)

advance: Calendar functions from QuantLib

Description

The advance function evaluates the given dates in the context of the given calendar, and returns a vector that advances the given dates of the given number of business days and returns the result. See note for usage below for usage.

Arguments

calendar

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

dates

A vector (or scalar) of Date types.

n

an int

timeUnit

a value of 0,1,2,3 that corresponds to Days, Weeks, Months, and Year. For more detail, see QuantLib doc http://quantlib.org/reference/group__datetime.html

period

See Enum

bdc

business day convention. By default, this value is 0 and correspond to Following convention

emr

End Of Month rule. Default = false

Value

• An named vector of dates. The element names are the dates (formatted as text in yyyy-mm-dd format).

Note for usage

The function can be called in two ways. advance(calendar="TARGET", dates=Sys.Date(),n, timeUnit, bdc = 0, emr =0) advance(calendar="TARGET", dates=Sys.Date(), period, bdc = 0, emr =0)

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)
  advance("UnitedStates", dates, 10, 0)
  advance("UnitedStates/Settlement", dates, 10, 1)      ## same as previous
  advance("UnitedStates/NYSE", dates, 10, 2)            ## stocks
  advance("UnitedStates/GovernmentBond", dates,  10, 3)  ## bonds
  advance("UnitedStates/NERC", dates, period = 3)            ## energy