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Business day conventions

4 messages · Phil Joubert, Dirk Eddelbuettel, Spencer Graves

Original
Phil Joubert
# 
Hi all

I'm looking for a date package which can handle business day conventions, e.g. Mod Following, etc. (http://en.wikipedia.org/wiki/Date_rolling)

Basically I want to be able to generate a sequence of dates from StartDate to EndDate with a given frequency and following a given business day convention. A stub convention would also be useful :)

Can anyone point me in the right direction?

thanks
Phil
Dirk Eddelbuettel
# 
Phil,
On 10 June 2009 at 04:49, Phil Joubert wrote:
| I'm looking for a date package which can handle business day conventions, e.g. Mod Following, etc. (http://en.wikipedia.org/wiki/Date_rolling)
| 
| Basically I want to be able to generate a sequence of dates from StartDate to EndDate with a given frequency and following a given business day convention. A stub convention would also be useful :)
| 
| Can anyone point me in the right direction?

QuantLib has all the calendar functionality at the C++ level, and we're
slowly exposing more of it. For example, I recently added a businessDay()
function as I needed one. This already understands a bunch of calendars, and
you could try to copy the logic / interface to do something similar for the
different settlement and calendar combinations.

More generally, Khan (as part of his Google Summer of Code project of
extending RQuantLib), is exposing more as he is adding a lot of Fixed Income
functionality.  So you probably want to talk to Khanh (whom I CC'ed).

You can follow this via the R-Forge infrastructure if you're able to work
from source / svn / tarballs.  There will be new packages at some point, we
just don't know when :)

Dirk
4 days later
Spencer Graves
# 
Hi, Dirk:


1. How do the RQuantLib capabilities compare on this issue with the 
capabilities available in Rmetrics, including the holiday calendars such 
as holidayNYSE and holidayZURICH as well as the timeSequence and 
seq.timeDate functions in the "timeDate" package?


2. R-Forge did not want to give me the current RQuantLib version from 
R-Forge:


 > install.packages("RQuantLib", repos="http://R-Forge.R-project.org")
Warning message:
In getDependencies(pkgs, dependencies, available, lib) :
package ?RQuantLib? is not available


I recently encountered a similar problem trying to access the latest 
version of "RBloomberg" on R-Forge. In that case, the package was "not 
compiling because there is an
out-of-date dependency."


Thanks for all your contributions to the R project.

Best Wishes,
Spencer
Dirk Eddelbuettel wrote:
Dirk Eddelbuettel
# 
Spencer,
On 14 June 2009 at 17:18, spencerg wrote:
| Hi, Dirk:
| 
| 1. How do the RQuantLib capabilities compare on this issue with the 
| capabilities available in Rmetrics, including the holiday calendars such 
| as holidayNYSE and holidayZURICH as well as the timeSequence and 
| seq.timeDate functions in the "timeDate" package?

Favourably.  Quantlib calendaring support is very complete. 

It is also orthogonal to RMetrics and provides a second source of information
/ implementation which can be a good thing.
 
| 2. R-Forge did not want to give me the current RQuantLib version from 
| R-Forge:
| 
| 
|  > install.packages("RQuantLib", repos="http://R-Forge.R-project.org")
| Warning message:
| In getDependencies(pkgs, dependencies, available, lib) :
| package ?RQuantLib? is not available
| 
| 
| I recently encountered a similar problem trying to access the latest 
| version of "RBloomberg" on R-Forge. In that case, the package was "not 
| compiling because there is an
| out-of-date dependency."

Yes, so take the source, read the README (and hence install the required
Quantlib libraries, which may require installing Boost) and install it
locally.  That is a bit of work which is why the r-forge build system does not have
it. 

The CRAN host simply uses my Debian builds of Quantlib for Linux; and I help
Uwe with a Windows build but there are only so many hours in the day so I
haven't done that for Stefan and the Windows side of R-forge. ]
 
| Thanks for all your contributions to the R project.

Always a pleasure.

Dirk

| 
| Best Wishes,
| Spencer
| 
|
| Dirk Eddelbuettel wrote:
| > Phil,
| >
| > On 10 June 2009 at 04:49, Phil Joubert wrote:
| > | I'm looking for a date package which can handle business day conventions, e.g. Mod Following, etc. (http://en.wikipedia.org/wiki/Date_rolling)
| > | 
| > | Basically I want to be able to generate a sequence of dates from StartDate to EndDate with a given frequency and following a given business day convention. A stub convention would also be useful :)
| > | 
| > | Can anyone point me in the right direction?
| >
| > QuantLib has all the calendar functionality at the C++ level, and we're
| > slowly exposing more of it. For example, I recently added a businessDay()
| > function as I needed one. This already understands a bunch of calendars, and
| > you could try to copy the logic / interface to do something similar for the
| > different settlement and calendar combinations.
| >
| > More generally, Khan (as part of his Google Summer of Code project of
| > extending RQuantLib), is exposing more as he is adding a lot of Fixed Income
| > functionality.  So you probably want to talk to Khanh (whom I CC'ed).
| >
| > You can follow this via the R-Forge infrastructure if you're able to work
| > from source / svn / tarballs.  There will be new packages at some point, we
| > just don't know when :)
| >
| > Dirk
| >
| >
| 
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