[R-SIG-Finance] Add business days

[Diethelm Wuertz]

Diego Jara wrote:


use the function isBizday() and holidayNYSE()

load package timeSeries

Diethelm
> Hi. Given a date for fixing LIBOR, I am trying to generate the Value date
> and the Maturity date in R, for a NY locality. This involves calculating the
> date which is two LDN business days after the Value Date (as long as it
> falls on a NY business day), for the Value Date, and then calculating the
> next LDN and NY business day after the date which is 1 month (or 3 months,
> or the appropriate term) after the Value Date.
> I'm a beginner in R, but haven't been able to mix concepts of holidays (for
> NY and LDN), adding days or months to a date, and calculating business days.
>
> Any help that can get me jump-started is appreciated.
>
> DJ
>
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