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

[Khanh Nguyen]

Hello again,

The QuantLib's DayCounter functions are available in RQuantLib now. It
supports the
following calendars:

Actual360
Actual360FixEd
ActualActual
ActualBusiness252
OneDayCounter
SimpleDayCounter
Thirty360

Please take a look and let me know if you have any problem. Thanks

-k

On Wed, Jan 13, 2010 at 11:09 PM, Khanh Nguyen <knguyen at cs.umb.edu> wrote:
> 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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>