BondUtilities: Bond parameter conversion utilities

BondUtilitiesR Documentation

Bond parameter conversion utilities

Description

These functions are using internally to convert from the characters at the R level to the enum types used at the C++ level. They are documented here mostly to provide a means to look up some of the possible values—the user is not expected to call these functions directly..

Usage

matchBDC(bdc = c("Following", "ModifiedFollowing", "Preceding",
                 "ModifiedPreceding", "Unadjusted",
                 "HalfMonthModifiedFollowing", "Nearest"))
matchCompounding(cp = c("Simple", "Compounded", "Continuous", "SimpleThenCompounded"))
matchDayCounter(daycounter = c("Actual360", "ActualFixed", "ActualActual", "Business252",
                              "OneDayCounter", "SimpleDayCounter", "Thirty360",
                              "Actual365NoLeap", "ActualActual.ISMA", "ActualActual.Bond",
                              "ActualActual.ISDA", "ActualActual.Historical",
                              "ActualActual.AFB", "ActualActual.Euro"))
matchDateGen(dg = c("Backward", "Forward", "Zero", "ThirdWednesday",
                    "Twentieth", "TwentiethIMM", "OldCDS", "CDS"))
matchFrequency(freq = c("NoFrequency","Once", "Annual", "Semiannual",
                        "EveryFourthMonth", "Quarterly", "Bimonthly",
                        "Monthly", "EveryFourthWeek", "Biweekly",
                        "Weekly", "Daily"))
matchParams(params)

Arguments

bdc

A string identifying one of the possible business day convention values.

cp

A string identifying one of the possible compounding frequency values.

daycounter

A string identifying one of the possible day counter scheme values.

dg

A string identifying one of the possible date generation scheme values.

freq

A string identifying one of the possible (dividend) frequency values.

params

A named vector containing the other parameters as components.

Details

The QuantLib documentation should be consulted for details.

Note that Actual365NoLeap is soft deprecated as of QuantLib 1.11 and hard deprecated as of QuantLib 1.16. For users on QuantLib 1.16 or later, use of the RQuantLib daycounter enum with a value of severn will result in Actual365Fixed(Actual365Fixed::NoLeap) which is functionally equivalent to Actual365NoLeap. Previously RQuantLib allowed users to retain Actual365NoLeap via defining RQUANTLIB_USE_ACTUAL365NOLEAP, but this is no longer required.

Also note that ActualActual without explicit convention specification is hard deprecated as of QuantLib 1.23. This is only soft-deprecated in RQuantLib by explicitly passing in the same default convention. Previously RQuantLib allowed users to define RQUANTLIB_USE_ACTUALACTUAL, but this is no longer required.

Value

Each function converts the given character value into a corresponding numeric entry. For matchParams, an named vector of strings is converted into a named vector of numerics..

Note

The interface might change in future release as QuantLib stabilises its own API.

Author(s)

Khanh Nguyen knguyen@cs.umb.edu for the R interface; the QuantLib Group for QuantLib

References

https://www.quantlib.org/ for details on QuantLib.


RQuantLib documentation built on May 29, 2024, 8:11 a.m.