RQuantLib (version 0.4.21)

Schedule: Schedule generation

Description

The Schedule function generates a schedule of dates conformant to a given convention in a given calendar.

Usage

# S3 method for default
Schedule(params)

Value

The Schedule function returns an object of class

Schedule. It contains the list of dates in the schedule.

Arguments

params

a named list, QuantLib's parameters of the schedule.

effectiveDate	a Date, when the schedule becomes effective.
maturityDate	a Date, when the schedule matures.
period	(Optional) a number or string, the frequency of
	the schedule. Default value is 'Semiannual'.
calendar	(Optional) a string, the calendar name.
	Defaults to 'TARGET'
businessDayConvention	(Optional) a number or string, the
	day convention to use.
	Defaults to 'Following'.
terminationDateConvention	(Optional) a number or string, the
	day convention to use for the terminal date.
	Defaults to 'Following'.
dateGeneration	(Optional) a number or string, the
	date generation rule.
	Defaults to 'Backward'.
endOfMonth	(Optional) 1 or 0, use End of Month rule for
	schedule dates. Defaults to 0 (false).

See example below.

Author

Michele Salvadore for the inplementation; Dirk Eddelbuettel for the R interface; the QuantLib Group for QuantLib

Details

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

References

https://www.quantlib.org/ for details on QuantLib.

See Also

FixedRateBond

Examples

params <- list(effectiveDate=as.Date("2004-11-30"),
               maturityDate=as.Date("2008-11-30"),
               period='Semiannual',
               calendar='UnitedStates/GovernmentBond',
               businessDayConvention='Unadjusted',
               terminationDateConvention='Unadjusted',
               dateGeneration='Forward',
               endOfMonth=1)
Schedule(params)