advance {RQuantLib}R Documentation

Calendar functions from QuantLib

Description

The advance function evaluates the given dates in the context of the given calendar, and returns a vector that advances the given dates of the given number of business days and returns the result. See note for usage below for usage.

Arguments

calendar A string identifying one of the supported QuantLib calendars, see Details for more
dates A vector (or scalar) of Date types.
n an int
timeUnit a value of 0,1,2,3 that corresponds to Days, Weeks, Months, and Year. For more detail, see QuantLib doc http://quantlib.org/reference/group__datetime.html
period See Enum
bdc business day convention. By default, this value is 0 and correspond to Following convention
emr End Of Month rule. Default = false

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 for usage

The function can be called in two ways.

advance(calendar="TARGET", dates=Sys.Date(),n, timeUnit, bdc = 0, emr =0)

advance(calendar="TARGET", dates=Sys.Date(), period, bdc = 0, emr =0)

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)
  advance("UnitedStates", dates, 10, 0)
  advance("UnitedStates/Settlement", dates, 10, 1)      ## same as previous
  advance("UnitedStates/NYSE", dates, 10, 2)            ## stocks
  advance("UnitedStates/GovernmentBond", dates,  10, 3)  ## bonds
  advance("UnitedStates/NERC", dates, period = 3)            ## energy

[Package RQuantLib version 0.3.2 Index]