Enum: Documentation for parameters

In RQuantLib: R Interface to the 'QuantLib' Library

Documentation for parameters

Description

Reference for parameters when constructing a bond

Arguments

DayCounter	an int value 0 Actual360 1 Actual365Fixed 2 ActualActual (NB: soft deprecated, defaults to ActualActual.ISDA) 3 ActualBusiness252 4 OneDayCounter 5 SimpleDayCounter 6 Thirty360 (NB: soft deprecated, defaults to Thirty360.BondBasis) 7 Actual365Fixed.NoLeap (NB: Actual365NoLeap if QuantLib version < 1.16) 8 ActualActual.ISMA 9 ActualActual.Bond 10 ActualActual.ISDA 11 ActualActual.Historical 12 ActualActual.AFB 13 ActualActual.Euro 14 Thirty360.USA 15 Thirty360.BondBasis 16 Thirty360.European 17 Thirty360.EurobondBasis 18 Thirty360.Italian 19 Thirty360.German
businessDayConvention	an int value 0 Following 1 ModifiedFollowing 2 Preceding 3 ModifiedPreceding 4 Unadjusted 5 HalfMonthModifiedFollowing 6 Nearest anything else Unadjusted
compounding	an int value 0 Simple 1 Compounded 2 Continuous 3 SimpleThenCompounded
period or frequency	an int value -1 NoFrequency 0 Once 1 Annual 2 Semiannual 3 EveryFourthMonth 4 Quarterly 6 BiMonthtly 12 Monthly 13 EveryFourthWeek 26 BiWeekly 52 Weekly 365 Daily anything else OtherFrequency
date generation	an int value to specify date generation rule 0 Backward 1 Forward 2 Zero 3 ThirdWednesday 4 Twentieth 5 TwentiethIMM 6 OldCDS 7 CDS anything else TwentiethIMM
durationType	an int value to specify duration type 0 Simple 1 Macaulay 2 Modified

Details

Please see any decent Finance textbook for background reading, and the QuantLib documentation for details on the QuantLib implementation, particularly the datetime classes.

Value

None

Author(s)

Khanh Nguyen [e-mail]

References

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

RQuantLib documentation built on Nov. 27, 2023, 1:07 a.m.