BondUtilities: Bond parameter conversion utilities

Description Usage Arguments Details Value Note Author(s) References

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

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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 deprecated as of QuantLib 1.11 and no longer supported by default. It can be reinstated by defining RQUANTLIB_USE_ACTUAL365NOLEAP.

Also note that ActualActual and Thirty360 are deprecated as of QuantLib 1.23 and no longer supported by default. They can be reinstated by defining, respectively, RQUANTLIB_USE_ACTUALACTUAL and RQUANTLIB_USE_THIRTY360.

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 Oct. 6, 2021, 5:06 p.m.