[R-SIG-Finance] Business day conventions

Dirk Eddelbuettel edd at debian.org
Mon Jun 15 12:49:25 CEST 2009


On 14 June 2009 at 17:18, spencerg wrote:
| Hi, Dirk:
| 1. How do the RQuantLib capabilities compare on this issue with the 
| capabilities available in Rmetrics, including the holiday calendars such 
| as holidayNYSE and holidayZURICH as well as the timeSequence and 
| seq.timeDate functions in the "timeDate" package?

Favourably.  Quantlib calendaring support is very complete. 

It is also orthogonal to RMetrics and provides a second source of information
/ implementation which can be a good thing.
| 2. R-Forge did not want to give me the current RQuantLib version from 
| R-Forge:
|  > install.packages("RQuantLib", repos="http://R-Forge.R-project.org")
| Warning message:
| In getDependencies(pkgs, dependencies, available, lib) :
| package ‘RQuantLib’ is not available
| I recently encountered a similar problem trying to access the latest 
| version of "RBloomberg" on R-Forge. In that case, the package was "not 
| compiling because there is an
| out-of-date dependency."

Yes, so take the source, read the README (and hence install the required
Quantlib libraries, which may require installing Boost) and install it
locally.  That is a bit of work which is why the r-forge build system does not have

The CRAN host simply uses my Debian builds of Quantlib for Linux; and I help
Uwe with a Windows build but there are only so many hours in the day so I
haven't done that for Stefan and the Windows side of R-forge. ]
| Thanks for all your contributions to the R project.

Always a pleasure.


| Best Wishes,
| Spencer
| Dirk Eddelbuettel wrote:
| > Phil,
| >
| > 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 :)
| >
| > Dirk
| >
| >
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Three out of two people have difficulties with fractions.

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