[R-SIG-Finance] Business day conventions

Dirk Eddelbuettel edd at debian.org
Wed Jun 10 15:11:08 CEST 2009


On 10 June 2009 at 04:49, Phil Joubert wrote:
| 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?

QuantLib has all the calendar functionality at the C++ level, and we're
slowly exposing more of it. For example, I recently added a businessDay()
function as I needed one. This already understands a bunch of calendars, and
you could try to copy the logic / interface to do something similar for the
different settlement and calendar combinations.

More generally, Khan (as part of his Google Summer of Code project of
extending RQuantLib), is exposing more as he is adding a lot of Fixed Income
functionality.  So you probably want to talk to Khanh (whom I CC'ed).

You can follow this via the R-Forge infrastructure if you're able to work
from source / svn / tarballs.  There will be new packages at some point, we
just don't know when :)


Three out of two people have difficulties with fractions.

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