[R-SIG-Finance] Easiest way to create a schedule of quarterly LIBOR dates in RQuantLib

Keith S Weintraub kw1958 at gmail.com
Wed Aug 20 14:39:23 CEST 2014


It's a convention for date schedules for interest rate swaps.

I don't remember all the details but it takes into account holidays and weekends. I think it uses a "modified following" business convention.

Payments are made using Actual/360 day counts.

My preference would be to have a function that takes a start-date/end-date and just generate the schedule.

I am not sure if the definitions are in the ISDA docs or http://www.bba.org.uk/ or somewhere else.

Thanks,
KW


--

On Aug 19, 2014, at 7:14 PM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:

> Keith,
> 
> I'm not particularly familiar with Libor schedules. Do they follow a
> particular pattern/schedule/etc.?
> 
> -Ilya
> 
> On Tue, Aug 19, 2014 at 7:09 PM, Keith S Weintraub <kw1958 at gmail.com> wrote:
>> Folks,
>> 
>> I want to create a schedule for quarterly (or other frequency) LIBOR dates. I assume it can be done in RQuantLib.
>> 
>> Note that I have read the "calendar" entry in the docs but I didn't see an EASY way to do what I want.
>> 
>> The functionality seems to be there but I would like to know the best practice for doing so.
>> 
>> A pointer to an example would be wonderful.
>> 
>> Thanks so much for your time,
>> Best,
>> KW
>> 
>> 
>> --
>> 
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