| Calendars {RQuantLib} | R Documentation |
Calendar functions from QuantLib
Description
The isBusinessDay function evaluates the given dates in the context
of the given calendar, and returns a vector of booleans indicating
business day status. BusinessDay is also
recognised (but may be deprecated one day).
The isHoliday function evaluates the given dates in the context
of the given calendar, and returns a vector of booleans indicating
holiday day status.
The isWeekend function evaluates the given dates in the context
of the given calendar, and returns a vector of booleans indicating
weekend status.
The isEndOfMonth function evaluates the given dates in the context
of the given calendar, and returns a vector of booleans indicating
end of month status.
The getEndOfMonth function evaluates the given dates in the context
of the given calendar, and returns a vector that corresponds to the end
of month. endOfMonth is a deprecated form for this function.
The getHolidayList function returns the holidays between the
given dates, with an option to exclude weekends. holidayList is
a deprecated form for this function. Similarly,
getBusinessDayList and, for symmetry, businessDayList
return the list of business days; this always excludes weekends.
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.
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.
This functions gets called either with both argument n and
timeUnit, or with argument period.
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.
The dayCount function returns the number of day between two dates
given a day counter, see Enum.
The yearFraction function returns year fraction between two dates
given a day counter, see Enum.
The setCalendarContext function sets three values to a singleton
instance at the C++ layer.
The setEvaluationDate function sets the evaluation date used by
the QuantLib pricing engines.
The advanceDate function advances the given date by the given
number of days in the current calendar instance.
The addHolidays and removeHolidays add (and remove)
holidays to (from) the given calendar. Note that this change is
transitory and does not persist the session as all actual calendar
information comes from the QuantLib library that this package is linked
against.
The calendars vector contains all calendar identifiers.
Usage
isBusinessDay(calendar, dates)
businessDay(calendar="TARGET", dates=Sys.Date()) # deprecated form
isHoliday(calendar, dates)
isWeekend(calendar, dates)
isEndOfMonth(calendar, dates)
getEndOfMonth(calendar, dates)
endOfMonth(calendar="TARGET", dates=Sys.Date())
getHolidayList(calendar, from, to, includeWeekends=FALSE)
holidayList(calendar="TARGET", from=Sys.Date(), to = Sys.Date() + 5,
includeWeekends=FALSE)
getBusinessDayList(calendar, from, to)
businessDayList(calendar="TARGET", from=Sys.Date(), to = Sys.Date() + 5)
adjust(calendar, dates, bdc = 0L)
advance(calendar="TARGET", dates=Sys.Date(), n, timeUnit, period, bdc = 0, emr =0)
businessDaysBetween(calendar, from, to, includeFirst = TRUE, includeLast = FALSE)
dayCount(startDates, endDates, dayCounters)
yearFraction(startDates, endDates, dayCounters)
setCalendarContext(calendar, fixingDays, settleDate)
setEvaluationDate(evalDate)
addHolidays(calendar, dates)
removeHolidays(calendar, dates)
Arguments
calendar |
A string identifying one of the supported QuantLib calendars, see Details for more |
dates |
A vector (or scalar) of |
from |
A vector (or scalar) of |
to |
A vector (or scalar) of |
includeWeekends |
boolean that indicates whether the calculation should include the weekends. Default = false |
fixingDays |
An integer for the fixing day period, defaults to 2. |
settleDate |
A date on which trades settles, defaults to two days after the current day. |
n |
an integer number |
timeUnit |
A value of 0,1,2,3 that corresponds to Days, Weeks, Months, and Year; for more detail, see the QuantLib documentation at https://www.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 is false |
includeFirst |
boolean that indicates whether the calculation should include the first day. Default = true |
includeLast |
Default = false |
startDates |
A vector of |
endDates |
A vector of |
dayCounters |
A vector of numeric type. See Enum |
evalDate |
A single date used for the pricing valuations. |
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), Argentina, Australia, Brazil, Canada and Canada/Settlement, Canada/TSX, China, CzechRepublic, Denmark, Finland, Germany and Germany/FrankfurtStockExchange, Germany/Settlement, Germany/Xetra, Germany/Eurex, HongKong, Hungary, Iceland, India, Indonesia, Italy and Italy/Settlement, Italy/Exchange, Japan, Mexico, NewZealand, Norway, Poland, Russia, SaudiArabia, Singapore, Slovakia, SouthAfrica, SouthKorea, SouthKorea/KRX, Sweden, Switzerland, Taiwan, Turkey, Ukraine, UnitedKingdom and UnitedKingdom/Settlement, UnitedKingdom/Exchange, UnitedKingdom/Metals, UnitedStates and UnitedStates/Settlement, UnitedStates/NYSE, UnitedStates/GovernmentBond, UnitedStates/NERC and WeekendsOnly.
(In case of multiples entries per country, the country default is listed right after the country itself. Using the shorter form is equivalent.)
Value
A named vector of booleans each of which is true if the corresponding date is a business day (or holiday or weekend) in the given calendar. The element names are the dates (formatted as text in yyyy-mm-dd format).
For setCalendarContext, a boolean or NULL in case of error.
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;
the QuantLib Group for QuantLib
References
https://www.quantlib.org/ for details on QuantLib.
Examples
dates <- seq(from=as.Date("2009-04-07"), to=as.Date("2009-04-14"), by=1)
isBusinessDay("UnitedStates", dates)
isBusinessDay("UnitedStates/Settlement", dates) ## same as previous
isBusinessDay("UnitedStates/NYSE", dates) ## stocks
isBusinessDay("UnitedStates/GovernmentBond", dates) ## bonds
isBusinessDay("UnitedStates/NERC", dates) ## energy
isHoliday("UnitedStates", dates)
isHoliday("UnitedStates/Settlement", dates) ## same as previous
isHoliday("UnitedStates/NYSE", dates) ## stocks
isHoliday("UnitedStates/GovernmentBond", dates) ## bonds
isHoliday("UnitedStates/NERC", dates) ## energy
isWeekend("UnitedStates", dates)
isWeekend("UnitedStates/Settlement", dates) ## same as previous
isWeekend("UnitedStates/NYSE", dates) ## stocks
isWeekend("UnitedStates/GovernmentBond", dates) ## bonds
isWeekend("UnitedStates/NERC", dates) ## energy
isEndOfMonth("UnitedStates", dates)
isEndOfMonth("UnitedStates/Settlement", dates) ## same as previous
isEndOfMonth("UnitedStates/NYSE", dates) ## stocks
isEndOfMonth("UnitedStates/GovernmentBond", dates) ## bonds
isEndOfMonth("UnitedStates/NERC", dates) ## energy
getEndOfMonth("UnitedStates", dates)
getEndOfMonth("UnitedStates/Settlement", dates) ## same as previous
getEndOfMonth("UnitedStates/NYSE", dates) ## stocks
getEndOfMonth("UnitedStates/GovernmentBond", dates) ## bonds
getEndOfMonth("UnitedStates/NERC", dates) ## energy
from <- as.Date("2009-04-07")
to<-as.Date("2009-04-14")
getHolidayList("UnitedStates", from, to)
to <- as.Date("2009-10-7")
getHolidayList("UnitedStates", from, to)
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
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
from <- as.Date("2009-04-07")
to<-as.Date("2009-04-14")
businessDaysBetween("UnitedStates", from, to)
startDates <- seq(from=as.Date("2009-04-07"), to=as.Date("2009-04-14"),by=1)
endDates <- seq(from=as.Date("2009-11-07"), to=as.Date("2009-11-14"), by=1)
dayCounters <- c(0,1,2,3,4,5,6,1)
dayCount(startDates, endDates, dayCounters)
yearFraction(startDates, endDates, dayCounters)
head(calendars, 10)