Schedule: Schedule generation
In eddelbuettel/rquantlib: R Interface to the 'QuantLib' Library

Schedule

R Documentation

Schedule generation

Description

The Schedule function generates a schedule of dates conformant to a given convention in a given calendar.

Usage

## Default S3 method:
Schedule(params)

Arguments

params

a named list, QuantLib's parameters of the schedule.

`effectiveDate`	a Date, when the schedule becomes effective.
`maturityDate`	a Date, when the schedule matures.
`period`	(Optional) a number or string, the frequency of
	the schedule. Default value is 'Semiannual'.
`calendar`	(Optional) a string, the calendar name.
	Defaults to 'TARGET'
`businessDayConvention`	(Optional) a number or string, the
	day convention to use.
	Defaults to 'Following'.
`terminationDateConvention`	(Optional) a number or string, the
	day convention to use for the terminal date.
	Defaults to 'Following'.
`dateGeneration`	(Optional) a number or string, the
	date generation rule.
	Defaults to 'Backward'.
`endOfMonth`	(Optional) 1 or 0, use End of Month rule for
	schedule dates. Defaults to 0 (false).

See example below.

Details

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

Value

The Schedule function returns an object of class Schedule. It contains the list of dates in the schedule.

Author(s)

Michele Salvadore michele.salvadore@gmail.com for the inplementation; Dirk Eddelbuettel edd@debian.org for the R interface; the QuantLib Group for QuantLib

References

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

Examples


params <- list(effectiveDate=as.Date("2004-11-30"),
               maturityDate=as.Date("2008-11-30"),
               period='Semiannual',
               calendar='UnitedStates/GovernmentBond',
               businessDayConvention='Unadjusted',
               terminationDateConvention='Unadjusted',
               dateGeneration='Forward',
               endOfMonth=1)
Schedule(params)

eddelbuettel/rquantlib documentation built on April 23, 2024, 7:13 p.m.