Packages/functions for finance day count conventions
On 13 January 2010 at 14:48, Eric Zivot wrote:
| I'm looking for any R packages that have functions for SIA day count | conventions (e.g. actual/actual, 30/360, actual/360 etc). It looks like | RQuantMod handles some of these details internally in C code but they are not | exposed at the R level. Any suggestions would be appreciated. Thanks, There is no RQuantMod we know of but yes, Khanh just yesterday committed a few more date functions to the SVN for RQuantLib so maybe this may be of help. [1] These date conventions do exist in QuantLib --- and AFAIK are already used for some curve-building code --- so maybe we just need to sit down and expose them. Hth, Dirk [1] https://r-forge.r-project.org/plugins/scmsvn/viewcvs.php?root=rquantlib&view=rev&rev=135
Three out of two people have difficulties with fractions.