R/create-calendars.R

In wilsonfreitas/R-bizdays: Business Days Calculations and Utilities

#' Calendars from other packages
#'
#' 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.
#'
#' @param ql_calendars (QuantLib only) A character vector with the names of
#' QuantLib's calendars. This parameter defaults to NULL, which loads all
#' calendars.
#' @param from (QuantLib only) the start date
#' @param to (QuantLib only) the end date
#' @param year (timeDate Rmetrics only) a vector with years to create the
#' calendars.
#' @param financial is a logical argument that defaults to TRUE.
#'
#'
#' @details
#' To load QuantLib's calendars use \code{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 \code{QuantLib} prefix.
#'
#' To load Rmetrics' calendars use \code{load_rmetrics_calendars} defining the
#' years the calendar has to handle.
#' All Rmetrics calendars have the \code{Rmetrics} prefix.
#'
#' @section Financial calendars:
#'
#' 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 \code{bizdays}.
#' In QuantLib, Financial calendars are those that \code{includeLast} is set
#' to \code{FALSE}.
#'
#' @section List of calendars:
#'
#' QuantLib Calendars:
#'
#' \itemize{
#' \item QuantLib/TARGET
#' \item QuantLib/Argentina
#' \item QuantLib/Australia
#' \item QuantLib/Brazil
#' \item QuantLib/Canada
#' \item QuantLib/Canada/Settlement
#' \item QuantLib/Canada/TSX
#' \item QuantLib/China
#' \item QuantLib/CzechRepublic
#' \item QuantLib/Denmark
#' \item QuantLib/Finland
#' \item QuantLib/Germany
#' \item QuantLib/Germany/FrankfurtStockExchange
#' \item QuantLib/Germany/Settlement
#' \item QuantLib/Germany/Xetra
#' \item QuantLib/Germany/Eurex
#' \item QuantLib/HongKong
#' \item QuantLib/Hungary
#' \item QuantLib/Iceland
#' \item QuantLib/India
#' \item QuantLib/Indonesia
#' \item QuantLib/Italy
#' \item QuantLib/Italy/Settlement
#' \item QuantLib/Italy/Exchange
#' \item QuantLib/Japan
#' \item QuantLib/Mexico
#' \item QuantLib/NewZealand
#' \item QuantLib/Norway
#' \item QuantLib/Poland
#' \item QuantLib/Russia
#' \item QuantLib/SaudiArabia
#' \item QuantLib/Singapore
#' \item QuantLib/Slovakia
#' \item QuantLib/SouthAfrica
#' \item QuantLib/SouthKorea
#' \item QuantLib/SouthKorea/KRX
#' \item QuantLib/Sweden
#' \item QuantLib/Switzerland
#' \item QuantLib/Taiwan
#' \item QuantLib/Turkey
#' \item QuantLib/Ukraine
#' \item QuantLib/UnitedKingdom
#' \item QuantLib/UnitedKingdom/Settlement
#' \item QuantLib/UnitedKingdom/Exchange
#' \item QuantLib/UnitedKingdom/Metals
#' \item QuantLib/UnitedStates
#' \item QuantLib/UnitedStates/Settlement
#' \item QuantLib/UnitedStates/NYSE
#' \item QuantLib/UnitedStates/GovernmentBond
#' \item QuantLib/UnitedStates/NERC
#' }
#'
#' Rmetrics Calendars:
#'
#' \itemize{
#' \item Calendar Rmetrics/LONDON
#' \item Calendar Rmetrics/NERC
#' \item Calendar Rmetrics/NYSE
#' \item Calendar Rmetrics/TSX
#' \item Calendar Rmetrics/ZURICH
#' }
#'
#' @name other-calendars
#' @examples
#' 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")
#' }
NULL


#' @rdname other-calendars
#' @export
load_quantlib_calendars <- function(ql_calendars = NULL, from, to,
                                    financial = TRUE) {
  if (!requireNamespace("RQuantLib", quietly = TRUE)) {
    stop("RQuantLib needed for this function to work. Please install it.",
      call. = FALSE
    )
  }
  if (is.null(ql_calendars)) {
    ql_calendars <- c(
      "TARGET", "Argentina", "Australia", "Brazil", "Canada",
      "Canada/Settlement", "Canada/TSX", "China",
      "CzechRepublic",
      "Denmark", "Finland", "Germany",
      "Germany/FrankfurtStockExchange", "Germany/Settlement",
      "Germany/Xetra", "Germany/Eurex", "HongKong", "Hungary",
      "Iceland", "India", "Indonesia", "Italy",
      "Italy/Settlement",
      "Italy/Exchange", "Japan", "Mexico", "NewZealand",
      "Norway",
      "Poland", "Russia", "SaudiArabia", "Singapore",
      "Slovakia",
      "SouthAfrica", "SouthKorea", "SouthKorea/KRX", "Sweden",
      "Switzerland", "Taiwan", "Turkey", "Ukraine",
      "UnitedKingdom",
      "UnitedKingdom/Settlement", "UnitedKingdom/Exchange",
      "UnitedKingdom/Metals", "UnitedStates",
      "UnitedStates/Settlement",
      "UnitedStates/NYSE", "UnitedStates/GovernmentBond",
      "UnitedStates/NERC"
    )
  }
  for (cal in ql_calendars) {
    cal_name <- paste0("QuantLib/", cal)
    holidays_ <- RQuantLib::getHolidayList(cal, as.Date(from), as.Date(to))
    create.calendar(holidays_,
      weekdays = c("saturday", "sunday"),
      name = cal_name,
      start.date = from, end.date = to,
      adjust.from = adjust.next, adjust.to = adjust.next,
      financial = financial
    )
    message("Calendar ", cal_name, " loaded")
  }
}

#' @rdname other-calendars
#' @export
load_rmetrics_calendars <- function(year, financial = TRUE) {
  if (!requireNamespace("timeDate", quietly = TRUE)) {
    stop("timeDate needed for this function to work. Please install it.",
      call. = FALSE
    )
  }
  # get first and last given years to create start and end dates
  fl_year <- range(year)
  start_date <- as.Date(paste0(fl_year[1], "-01-01"))
  end_date <- as.Date(paste0(fl_year[2], "-12-31"))

  holidays_ <- as.Date(timeDate::holidayLONDON(year))
  cal_name <- "Rmetrics/LONDON"
  create.calendar(holidays_,
    weekdays = c("saturday", "sunday"),
    name = cal_name,
    adjust.from = adjust.next, adjust.to = adjust.previous,
    start.date = start_date, end.date = end_date,
    financial = financial
  )
  message("Calendar ", cal_name, " loaded")

  holidays_ <- as.Date(timeDate::holidayNERC(year))
  cal_name <- "Rmetrics/NERC"
  create.calendar(holidays_,
    weekdays = c("saturday", "sunday"),
    name = cal_name,
    adjust.from = adjust.next, adjust.to = adjust.previous,
    start.date = start_date, end.date = end_date
  )
  message("Calendar ", cal_name, " loaded")

  holidays_ <- as.Date(timeDate::holidayNYSE(year))
  cal_name <- "Rmetrics/NYSE"
  create.calendar(holidays_,
    weekdays = c("saturday", "sunday"),
    name = cal_name,
    adjust.from = adjust.next, adjust.to = adjust.previous,
    start.date = start_date, end.date = end_date
  )
  message("Calendar ", cal_name, " loaded")

  holidays_ <- as.Date(timeDate::holidayTSX(year))
  cal_name <- "Rmetrics/TSX"
  create.calendar(holidays_,
    weekdays = c("saturday", "sunday"),
    name = cal_name,
    adjust.from = adjust.next, adjust.to = adjust.previous,
    start.date = start_date, end.date = end_date
  )
  message("Calendar ", cal_name, " loaded")

  holidays_ <- as.Date(timeDate::holidayZURICH(year))
  cal_name <- "Rmetrics/ZURICH"
  create.calendar(holidays_,
    weekdays = c("saturday", "sunday"),
    name = cal_name,
    adjust.from = adjust.next, adjust.to = adjust.previous,
    start.date = start_date, end.date = end_date
  )
  message("Calendar ", cal_name, " loaded")
}