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RQuantLib (version 0.4.3)

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 adjust function evaluates the given dates in the context of the given calendar, and returns a vector that adjusts each input dates to the appropriate near business day with respect to the given convention.

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. This functions gets called either with both argument n and timeUnit, or with argument period.

The businessDaysBetween function evaluates two given dates in the context of the given calendar, and returns a vector that gives the number of business day between.

The dayCount function returns the number of day between two dates given a day counter, see Enum.

The yearFraction function returns year fraction between two dates given a day counter, see Enum.

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

The setEvaluationDate function sets the evaluation date used by the QuantLib pricing engines.

The advanceDate function advances the given date by the given number of days in the current calendar instance.

Usage

isBusinessDay(calendar, dates)
businessDay(calendar="TARGET", dates=Sys.Date())  # deprecated form
isHoliday(calendar, dates)
isWeekend(calendar, dates)
isEndOfMonth(calendar, dates)
getEndOfMonth(calendar, dates)
endOfMonth(calendar="TARGET", dates=Sys.Date())
getHolidayList(calendar, from, to, includeWeekends=FALSE) 
holidayList(calendar="TARGET", from=Sys.Date(), to = Sys.Date() + 5,
includeWeekends = FALSE)
adjust(calendar, dates, bdc = 0L)
advance(calendar="TARGET", dates=Sys.Date(), n, timeUnit, period, bdc = 0, emr =0)


businessDaysBetween(calendar, from, to, includeFirst = TRUE, includeLast = FALSE) 
dayCount(startDates, endDates, dayCounters)
yearFraction(startDates, endDates, dayCounters)
setCalendarContext(calendar, fixingDays, settleDate)
setEvaluationDate(evalDate)

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.
n
an integer number
timeUnit
A value of 0,1,2,3 that corresponds to Days, Weeks, Months, and Year; for more detail, see the QuantLib documentation at 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 is false
includeFirst
boolean that indicates whether the calculation should include the first day. Default = true
includeLast
Default = false
startDates
A vector of Date type.
endDates
A vector of Date type.
dayCounters
A vector of numeric type. See Enum
evalDate
A single date used for the pricing valuations.

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), Argentina, Australia, Brazil, Canada and Canada/Settlement, Canada/TSX, China, CzechRepublic, Denmark, Finland, Germany and Germany/FrankfurtStockExchange, Germany/Settlement, Germany/Xetra, Germany/Eurex, HongKong, Hungary, Iceland, India, Indonesia, Italy and Italy/Settlement, Italy/Exchange, Japan, Mexico, NewZealand, Norway, Poland, Russia, SaudiArabia, Singapore, Slovakia, SouthAfrica, SouthKorea, SouthKorea/KRX, Sweden, Switzerland, Taiwan, Turkey, Ukraine, UnitedKingdom and UnitedKingdom/Settlement, UnitedKingdom/Exchange, UnitedKingdom/Metals, UnitedStates and UnitedStates/Settlement, UnitedStates/NYSE, UnitedStates/GovernmentBond, UnitedStates/NERC and WeekendsOnly.

(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

Run this code
  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)

  dates <- seq(from=as.Date("2009-04-07"), to=as.Date("2009-04-14"), by=1)

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

  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

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

  startDates <- seq(from=as.Date("2009-04-07"), to=as.Date("2009-04-14"),by=1)
  endDates <- seq(from=as.Date("2009-11-07"), to=as.Date("2009-11-14"), by=1)
  dayCounters <- c(0,1,2,3,4,5,6,1)
  dayCount(startDates, endDates, dayCounters)
  yearFraction(startDates, endDates, dayCounters)

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