BondUtilities: Bond parameter conversion utilities

In RQuantLib: R interface to the QuantLib library

Description

These functions are using internally to convert from the characters at the R level to the enum types used at the C++ level. They are documented here mostly to provide a means to look up some of the possible values—the user is not expected to call these functions directly..

Usage

matchBDC(bdc = c("Following", "ModifiedFollowing", "Preceding",
                 "ModifiedPreceding", "Unadjusted")) 
matchCompounding(cp = c("Simple", "Compounded", "Continuous", "SimpleThenCompounded")) 
matchDayCounter(daycounter = c("Actual360", "ActualFixed", "ActualActual", "Business252",
                              "OneDayCounter", "SimpleDayCounter", "Thirty360"))
matchDateGen(dg = c("Backward", "Forward", "Zero", "ThirdWednesday",
                    "Twentieth", "TwentiethIMM"))
matchFrequency(freq = c("NoFrequency","Once", "Annual", "Semiannual",
                        "EveryFourthMonth", "Quarterly", "Bimonthly",
                        "EveryFourthWeek", "Biweekly", "Weekly", "Daily"))
matchParams(params) 

Arguments

bdc	A string identifying one of the possible business day convention values.
cp	A string identifying one of the possible compounding frequency values.
daycounter	A string identifying one of the possible day counter scheme values.
dg	A string identifying one of the possible date generation scheme values.
freq	A string identifying one of the possible (dividend) frequency values.
params	A named vector containing the other parameters as components.

Details

The QuantLib documentation should be consulted for details.

Value

Each function converts the given character value into a corresponding numeric entry. For matchParams, an named vector of strings is converted into a named vector of numerics..

Note

The interface might change in future release as QuantLib stabilises its own API.

Author(s)

Khanh Nguyen [e-mail] for the R interface; the QuantLib Group for QuantLib

References

http://quantlib.org for details on QuantLib.

RQuantLib documentation built on May 2, 2019, 4:48 p.m.