[R-SIG-Finance] Packages/functions for finance day count conventions

[Khanh Nguyen]

The codes I committed yesterday port the QuantLib's calendar interface
here http://quantlib.org/reference/class_quant_lib_1_1_calendar.html
to RQuantLib.

However, I guess Dr. Zivot need the day counter here
http://quantlib.org/reference/class_quant_lib_1_1_day_counter.html . I
ported this to R, but for my little toolbox and not in Rquantlib yet.
I will do it later tonight...It should be available in RQuantLib
tomorrow.

-k



On Wed, Jan 13, 2010 at 9:55 PM, Dirk Eddelbuettel <edd at debian.org> wrote:
>
> On 13 January 2010 at 14:48, Eric Zivot wrote:
> | I'm looking for any R packages that have functions for SIA day count
> | conventions (e.g. actual/actual, 30/360, actual/360 etc). It looks like
> | RQuantMod handles some of these details internally in C code but they are not
> | exposed at the R level. Any suggestions would be appreciated. Thanks,
>
> There is no RQuantMod we know of but yes, Khanh just yesterday committed a
> few more date functions to the SVN for RQuantLib so maybe this may be of
> help.  [1]
>
> These date conventions do exist in QuantLib --- and AFAIK are already used
> for some curve-building code --- so maybe we just need to sit down and
> expose them.
>
> Hth, Dirk
>
> [1] https://r-forge.r-project.org/plugins/scmsvn/viewcvs.php?root=rquantlib&view=rev&rev=135
>
> --
> Three out of two people have difficulties with fractions.
>
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