knitr::opts_chunk$set( collapse = TRUE, comment = "#>" ) library(quantdates)
This package is a R library that provides the user to work with dates and days count for financial analysis. It works with business days from New York (US), London (UK) and Bogota (CO). It also implements day counting using common financial conventions such as ACT/360, ACT/365, ACT/ACT and 30/360, among others.
This part implement functions for dates manipulation such as add days (business days) to a date, transform dates between various formats and obtain business days for a given city calendar.
AddDate(date = Sys.Date(),addDays=14,addMonths=2,addYears=3) AddDate(date = '2019-10-04',addDays=14,addMonths=2,addYears=3)
AddBusinessDays(date = Sys.Date(),numDate = 15,loc = 'NY') AddBusinessDays(date = '2020-10-03',numDate = 15,loc = 'NY') AddBusinessDays(date = Sys.Date(),numDate = 15,loc = 'BOG') AddBusinessDays(date = Sys.Date(),numDate = 15,loc = 'LDN')
LastDayOfMonth(year = 2020, month = 2) LastDayOfMonth(year = 2024, month = 5) LastDayOfMonth(date = '2020-02-03')
BusinessDays(loc='BOG')[2500:2520] BusinessDays(loc='BOG', from='2020-10-10', to='2020-11-10')
NumR2DateR(as.numeric(Sys.Date())) NumExcel2DateR(as.numeric(Sys.Date()))
This section shows the usage of day count functions.
difftime_leap_year(tfinal='2023-03-05',tinitial='2019-02-28',leapDatesIn=TRUE) difftime_leap_year(tfinal=as.Date('2023-03-05'),tinitial=as.Date('2019-02-28'),leapDatesIn=TRUE) difftime_leap_year(tfinal='2023-03-05',tinitial='2019-02-28',leapDatesIn=FALSE) difftime_leap_year(tfinal='2023-03-05',tinitial=as.Date('2019-02-28'),leapDatesIn=FALSE)
difftime_business(tfinal='2023-03-08',tinitial='2019-02-28',wd=wdBOG) difftime_business(tfinal='2023-03-08',tinitial='2019-02-28',wd=wdLDN) difftime_business(tfinal='2023-03-08',tinitial='2019-02-28',wd=wdNY)
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/365') day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/360') day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='30/360') day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='NL/365') day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/ACT-ISDA') day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/ACT-AFB')
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