[R] Day Count Convention

Dirk Eddelbuettel edd at debian.org
Fri Aug 31 18:50:58 CEST 2007


On 31 August 2007 at 18:16, Andreas Wittmann wrote:
| i'm working on the next version of the CreditMetrics package. So i have 
| the question, are there any functions or packages which have have the 
| functionality to calculate dates with a certain day count convention 
| like act/360 or 30/360? Intensive search in the r-help archive or in the 
| manuals did not bring any solution.

The QuantLib project contains a lot of those, see quantlib.org.  So we could
write a few more wrappers for RQuantLib to make these functions available in
R. Have a look at RQuantLib: currently, it contains mostly a few (equity)
options pricers I added and a few fixed-income / curves functions that
Dominik added.  Let us know if you're interested in extending this.

Cheers, Dirk

Three out of two people have difficulties with fractions.

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