Dear All,

a quick additional question on this topic.

Is the Act/365 convention also readily available in the dayCount function 
in the RQuantLib package? 
What are the two values OneDayCounter and SimpleDayCounter?

Thank you very much for the information and sorry in case I missed it in 
the description

Matthias



Von:
Dirk Eddelbuettel <edd@debian.org>
An:
Eric Zivot <ezivot@u.washington.edu>
Kopie:
r-sig-finance@stat.math.ethz.ch
Datum:
14.01.2010 03:57
Betreff:
Re: [R-SIG-Finance] Packages/functions for finance day count conventions
Gesendet von:
r-sig-finance-bounces@stat.math.ethz.ch




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


-- 
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