[R-SIG-Finance] Business day conventions

Phil Joubert philjoubert at yahoo.com
Wed Jun 10 13:49:48 CEST 2009

Hi all

I'm looking for a date package which can handle business day conventions, e.g. Mod Following, etc. (http://en.wikipedia.org/wiki/Date_rolling)

Basically I want to be able to generate a sequence of dates from StartDate to EndDate with a given frequency and following a given business day convention. A stub convention would also be useful :)

Can anyone point me in the right direction?


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