bizdays

bizdays makes your life less miserable when you have to deal with business days calculations. For many countries it is pretty much usual the use of business days to price financial instruments. Usually Excel's NETWORKDAYS is fairly at hand and once you have a list of holidays this is quite easy to put your data into a spreadsheet and make things happen.

Although R's users have similar feature in packages like RQuantLib and timeDate it doesn't come for free. Users have to do some stackoverflow and google in order to get this task accomplished. bizdays tries to fit your needs. It is a tiny package which is dramactically focused on that simple task: calculations involving business days for a given list of holidays. It doesn't implement specific holidays guessing algorithms, because I know that someway or another you will face a situation where that smart algorithm fails and that implementation will become useless.

Installing

It is available on CRAN to be installed through:

install.packages('bizdays')

or using devtools

devtools::install_github('R-bizdays', username='wilsonfreitas')

Using

You start by defining a Calendar object.

library(bizdays)
cal <- Calendar(holidays, weekdays=c('sunday', 'saturday'))

where holidays is a sequence of dates which represents nonworking dates and the second argument, weekdays, is a sequence with nonworking weekdays, so what Calendar does is define gaps. holidays is a sequence of Date (or POSIX*) objects and weekdays must be a sequence of weekdays in words (lowercase).

Once you have instantiated a Calendar object you simply call bizdays function to get the amount of business days between 2 dates (or set of dates).

business_days <- bizdays(from_dates, to_dates, cal)

Why define weekdays?

I am frequently asked Why do I have to define weekdays? or even Shouldn't it be weekenddays instead?.

The reason I created weekdays: I want to provide a way to compute business days accordingly to any definition or satisfying any needs. In my world, the financial industry, weekends are nonworking days, but for those who work with events, for example, mondays migth be nonworking days.

weekdays defaults to NULL because I wanted the Calendar() call returned an Actual calendar. So calling Calendar(dib=365, name='Actual/365') returns an Actual/365 calendar.

The way I use bizdays

Since I am always using holidaysANBIMA holidays I create and set the default calendar in my .Rprofile

library(bizdays)
cal <- Calendar(holidays=holidaysANBIMA, name='ANBIMA', weekdays=c('saturday', 'sunday'), dib=252)
bizdays.options$set(default.calendar=cal)

If you put these 3 lines of code at the end of your .Rprofile you don't have to instantiate the calendar every time you use bizdays. You can simply

business_days <- bizdays(from_dates, to_dates)

And it works with any bizdays functions.

Holidays

I've included a dataset called holidaysANBIMA containing the list of holidays released by ANBIMA, this is quite useful at brazilian financial market. So, if you have a specific list of holidays used at any market in the world, please share with me, I will be glad to include it in future releases.