Enum: Documentation for parameters

In RQuantLib: R interface to the QuantLib library

Description

Reference for parameters when constructing a bond

Arguments

DayCounter	an int value 0 Actual360 1 Actual360FixEd 2 ActualActual 3 ActualBusiness252 4 OneDayCounter 5 SimpleDayCounter anything else Thirty360
businessDayConvention	an int value 0 Following 1 ModifiedFollowing 2 Preceding 3 ModifiedPreceding anything else UNadjusted
compounding	an int value 0 Simple 1 Compounded 2 Continuous 3 SimpleThenCompounded
period or frequency	an int value -1 NoFrequency 0 Once 1 Annual 2 Semiannual 3 EveryFourthMonth 4 Quarterly 6 BiMonthtly 12 Monthly 13 EveryFourthWeek 26 BiWeekly 52 Weekly 365 Daily anything else OtherFrequency
date generation	an int value to specify date generation rule 0 Backward 1 Forward 2 Zero 3 ThirdWednesday 4 Twentieth anything else TwentiethIMM

Details

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

Value

None

Author(s)

Khanh Nguyen [e-mail]

References

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

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