Thank you, Diethelm. This did get me started.

In case you are intereseted, I got a bit picky on details, and given NYSE
holidays are not the same as NY holidays, there is a bit of work to be done,
but the list of holidays in R can help create a list of banking business
days in London and in New York.

The next problem is one of adding months to a date, consistent with the
LIBOR convention. That did require some reengineering of the timeSequence
function (in R, Jan 31 + 1month = March 3, but in LIBOR world, it is = Feb
28 - or 29th in a leap year).
Thanks again,

Diego
On Tue, Jan 19, 2010 at 3:12 PM, Diethelm Wuertz <wuertz@itp.phys.ethz.ch>wrote:

> 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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>>
>
>

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