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]