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, ez **************************************************************** * Eric Zivot * * Professor and Gary Waterman Distinguished Scholar * * Department of Economics * * Adjunct Professor of Finance * * Adjunct Professor of Statistics * Box 353330 email: ezivot at u.washington.edu * * University of Washington phone: 206-543-6715 * * Seattle, WA 98195-3330 * * * www: http://faculty.washington.edu/ezivot *
Packages/functions for finance day count conventions
5 messages · Eric Zivot, Dirk Eddelbuettel, Khanh Nguyen +1 more
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.
The codes I committed yesterday port the QuantLib's calendar interface here http://quantlib.org/reference/class_quant_lib_1_1_calendar.html to RQuantLib. However, I guess Dr. Zivot need the day counter here http://quantlib.org/reference/class_quant_lib_1_1_day_counter.html . I ported this to R, but for my little toolbox and not in Rquantlib yet. I will do it later tonight...It should be available in RQuantLib tomorrow. -k
On Wed, Jan 13, 2010 at 9:55 PM, Dirk Eddelbuettel <edd at debian.org> wrote:
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.
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Hello again, The QuantLib's DayCounter functions are available in RQuantLib now. It supports the following calendars: Actual360 Actual360FixEd ActualActual ActualBusiness252 OneDayCounter SimpleDayCounter Thirty360 Please take a look and let me know if you have any problem. Thanks -k
On Wed, Jan 13, 2010 at 11:09 PM, Khanh Nguyen <knguyen at cs.umb.edu> wrote:
The codes I committed yesterday port the QuantLib's calendar interface here http://quantlib.org/reference/class_quant_lib_1_1_calendar.html to RQuantLib. However, I guess Dr. Zivot need the day counter here http://quantlib.org/reference/class_quant_lib_1_1_day_counter.html . I ported this to R, but for my little toolbox and not in Rquantlib yet. I will do it later tonight...It should be available in RQuantLib tomorrow. -k On Wed, Jan 13, 2010 at 9:55 PM, Dirk Eddelbuettel <edd at debian.org> wrote:
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.
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
14 days later
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