RQuantLib (version 0.4.7)

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)

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

See example below.

Value

The Schedule function returns an object of class Schedule. It contains the list of dates in the schedule.

Details

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

References

http://quantlib.org for details on QuantLib.

See Also

FixedRateBond

Examples

# NOT RUN {
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)
# }