other-calendars | R Documentation |
The packages RQuantLib and timeDate (Rmetrics) have functions to compute business days between 2 dates according to a predefined calendar. bizdays creates calendars based on these functions.
load_quantlib_calendars(ql_calendars = NULL, from, to, financial = TRUE)
load_rmetrics_calendars(year, financial = TRUE)
ql_calendars |
(QuantLib only) A character vector with the names of QuantLib's calendars. This parameter defaults to NULL, which loads all calendars. |
from |
(QuantLib only) the start date |
to |
(QuantLib only) the end date |
financial |
is a logical argument that defaults to TRUE. |
year |
(timeDate Rmetrics only) a vector with years to create the calendars. |
To load QuantLib's calendars use load_quantlib_calendars
defining
which
calendar has to be loaded by its name and the range of dates the calendar
has to handle.
All QuantLib calendars have the QuantLib
prefix.
To load Rmetrics' calendars use load_rmetrics_calendars
defining the
years the calendar has to handle.
All Rmetrics calendars have the Rmetrics
prefix.
This argument defines the calendar as a financial or a non financial
calendar.
Financial calendars don't consider the ending business day when counting
working days in bizdays
.
In QuantLib, Financial calendars are those that includeLast
is set
to FALSE
.
QuantLib Calendars:
QuantLib/TARGET
QuantLib/Argentina
QuantLib/Australia
QuantLib/Brazil
QuantLib/Canada
QuantLib/Canada/Settlement
QuantLib/Canada/TSX
QuantLib/China
QuantLib/CzechRepublic
QuantLib/Denmark
QuantLib/Finland
QuantLib/Germany
QuantLib/Germany/FrankfurtStockExchange
QuantLib/Germany/Settlement
QuantLib/Germany/Xetra
QuantLib/Germany/Eurex
QuantLib/HongKong
QuantLib/Hungary
QuantLib/Iceland
QuantLib/India
QuantLib/Indonesia
QuantLib/Italy
QuantLib/Italy/Settlement
QuantLib/Italy/Exchange
QuantLib/Japan
QuantLib/Mexico
QuantLib/NewZealand
QuantLib/Norway
QuantLib/Poland
QuantLib/Russia
QuantLib/SaudiArabia
QuantLib/Singapore
QuantLib/Slovakia
QuantLib/SouthAfrica
QuantLib/SouthKorea
QuantLib/SouthKorea/KRX
QuantLib/Sweden
QuantLib/Switzerland
QuantLib/Taiwan
QuantLib/Turkey
QuantLib/Ukraine
QuantLib/UnitedKingdom
QuantLib/UnitedKingdom/Settlement
QuantLib/UnitedKingdom/Exchange
QuantLib/UnitedKingdom/Metals
QuantLib/UnitedStates
QuantLib/UnitedStates/Settlement
QuantLib/UnitedStates/NYSE
QuantLib/UnitedStates/GovernmentBond
QuantLib/UnitedStates/NERC
Rmetrics Calendars:
Calendar Rmetrics/LONDON
Calendar Rmetrics/NERC
Calendar Rmetrics/NYSE
Calendar Rmetrics/TSX
Calendar Rmetrics/ZURICH
if (require("RQuantLib")) {
# loading Argentina calendar
load_quantlib_calendars("Argentina",
from = "2016-01-01",
to = "2016-12-31"
)
bizdays("2016-01-01", "2016-03-14", "QuantLib/Argentina")
# loading 2 calendars
load_quantlib_calendars(c("UnitedStates/NYSE", "UnitedKingdom/Settlement"),
from = "2016-01-01", to = "2016-12-31"
)
bizdays("2016-01-01", "2016-03-14", "QuantLib/UnitedStates/NYSE")
# loading all QuantLib's 50 calendars
load_quantlib_calendars(from = "2016-01-01", to = "2016-12-31")
bizdays("2016-01-01", "2016-03-14", "QuantLib/Brazil")
}
if (require("timeDate")) {
# loading all Rmetrics calendar
load_rmetrics_calendars(2016)
bizdays("2016-01-01", "2016-03-14", "Rmetrics/NERC")
bizdays("2016-01-01", "2016-03-14", "Rmetrics/NYSE")
}
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