businessDaysBetween {RQuantLib}R Documentation

Calendar functions from QuantLib

Description

The businessDaysBetween function evaluates two given dates in the context of the given calendar, and returns a vector that gives the number of business day between.

Usage

businessDaysBetween(calendar="TARGET", from=Sys.Date(),
to = Sys.Date() + 5, includeFirst = 1, includeLast = 0) 

Arguments

calendar A string identifying one of the supported QuantLib calendars, see Details for more
from A vector (or scalar) of Date types.
to A vector (or scalar) of Date types.
includeFirst boolean that indicates whether the calculation should include the first day. Default = true
includeLast 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 number.

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

  from <- as.Date("2009-04-07")
to<-as.Date("2009-04-14")
businessDaysBetween("UnitedStates", from, to)

[Package RQuantLib version 0.3.2 Index]