RQuantLib (version 0.4.9)

BondUtilities: Bond parameter conversion utilities

Description

These functions are using internally to convert from the characters at the R level to the enum types used at the C++ level. They are documented here mostly to provide a means to look up some of the possible values---the user is not expected to call these functions directly..

Usage

matchBDC(bdc = c("Following", "ModifiedFollowing", "Preceding",
                 "ModifiedPreceding", "Unadjusted",
                 "HalfMonthModifiedFollowing", "Nearest"))
matchCompounding(cp = c("Simple", "Compounded", "Continuous", "SimpleThenCompounded")) 
matchDayCounter(daycounter = c("Actual360", "ActualFixed", "ActualActual", "Business252",
                              "OneDayCounter", "SimpleDayCounter", "Thirty360",
                              "Actual365NoLeap", "ActualActual.ISMA", "ActualActual.Bond",
                              "ActualActual.ISDA", "ActualActual.Historical",
                              "ActualActual.AFB", "ActualActual.Euro"))
matchDateGen(dg = c("Backward", "Forward", "Zero", "ThirdWednesday",
                    "Twentieth", "TwentiethIMM", "OldCDS", "CDS"))
matchFrequency(freq = c("NoFrequency","Once", "Annual", "Semiannual",
                        "EveryFourthMonth", "Quarterly", "Bimonthly",
                        "Monthly", "EveryFourthWeek", "Biweekly",
                        "Weekly", "Daily"))
matchParams(params)

Arguments

bdc

A string identifying one of the possible business day convention values.

cp

A string identifying one of the possible compounding frequency values.

daycounter

A string identifying one of the possible day counter scheme values.

dg

A string identifying one of the possible date generation scheme values.

freq

A string identifying one of the possible (dividend) frequency values.

params

A named vector containing the other parameters as components.

Value

Each function converts the given character value into a corresponding numeric entry. For matchParams, an named vector of strings is converted into a named vector of numerics..

Details

The QuantLib documentation should be consulted for details.

Note that Actual365NoLeap is deprecated as of QuantLib 1.11 and no longer supported by default. It can be reinstated by defining RQUANTLIB_USE_ACTUAL365NOLEAP.

References

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