Enum {RQuantLib}R Documentation

Documentation for parameters

Description

Reference for parameters when constructing a bond

Arguments

DayCounter an int value
0 Actual360
1 Actual360FixEd
2 ActualActual
3 ActualBusiness252
4 OneDayCounter
5 SimpleDayCounter
anything else Thirty360
businessDayConvention an int value
0 Following
1 ModifiedFollowing
2 Preceding
3 ModifiedPreceding
anything else UNadjusted
compounding an int value
0 Simple
1 Compounded
2 Continuous
3 SimpleThenCompounded
period or frequency an int value
0 NoFrequency
1 Once
2 Annual
3 Semiannual
4 EveryFourthMonth
5 Quarterly
6 BiMonthtly
7 EveryFourthWeek
8 Biweekly
9 Weekly
anything else Daily
date generation an int value to specify date generation rule
0 Backward
1 Forward
2 Zero
3 ThirdWednesday
4 Twentieth
anything else TwentiethIMM

Details

http://quantlib.org/reference/class_quant_lib_1_1_day_counter.html http://quantlib.org/reference/group__datetime.html

Value

None

Author(s)

Khanh Nguyen knguyen@cs.umb.edu

References

http://quantlib.org for details on QuantLib.


[Package RQuantLib version 0.3.2 Index]