adjust {RQuantLib}R Documentation

Calendar functions from QuantLib

Description

The adjust function evaluates the given dates in the context of the given calendar, and returns a vector that adjusts each input dates to the appropriate near business day with respect to the given convention. .

Usage

adjust(calendar="TARGET", dates=Sys.Date(), bdc = 0)

Arguments

calendar A string identifying one of the supported QuantLib calendars, see Details for more
dates A vector (or scalar) of Date types.
bdc business day convention. By default, this value is 0 and correspond to Following convention

Details

The calendars are coming from QuantLib, and the QuantLib documentation should be consulted for details.

Currently, the following strings are recognised: TARGET (a default calendar), Canada and Canada/Settlement, Canada/TSX, Germany and Germany/FrankfurtStockExchange, Germany/Settlement, Germany/Xetra, Germany/Eurex, Italy and Italy/Settlement, Italy/Exchange, Japan, UnitedKingdom and UnitedKingdom/Settlement, UnitedKingdom/Exchange, UnitedKingdom/Metals, UnitedStates and UnitedStates/Settlement, UnitedStates/NYSE, UnitedStates/GovernmentBond, UnitedStates/NERC.

(In case of multiples entries per country, the country default is listed right after the country itself. Using the shorter form is equivalent.)

Value

An named vector of dates. The element names are the dates (formatted as text in yyyy-mm-dd format).

Note

The interface might change in future release as QuantLib stabilises its own API.

Author(s)

Dirk Eddelbuettel edd@debian.org for the R interface; Khanh Nguyen nguyen.h.khanh@gmail.com for the implementation; the QuantLib Group for QuantLib

References

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

Examples

  dates <- seq(from=as.Date("2009-04-07"), to=as.Date("2009-04-14"), by=1)
  adjust("UnitedStates", dates)
  adjust("UnitedStates/Settlement", dates)      ## same as previous
  adjust("UnitedStates/NYSE", dates)            ## stocks
  adjust("UnitedStates/GovernmentBond", dates)  ## bonds
  adjust("UnitedStates/NERC", dates)            ## energy

[Package RQuantLib version 0.3.2 Index]