R/calendars.R

In RQuantLib: R interface to the QuantLib library

## RQuantLib -- R interface to the QuantLib libraries
##
## Copyright (C) 2002 - 2009 Dirk Eddelbuettel
## Copyright (C) 2010        Dirk Eddelbuettel and Khanh Nguyen
##
## $Id: calendars.R 293 2010-08-07 15:56:13Z edd $
##
## This file is part of the RQuantLib library for GNU R.
## It is made available under the terms of the GNU General Public
## License, version 2, or at your option, any later version,
## incorporated herein by reference.
##
## This program is distributed in the hope that it will be
## useful, but WITHOUT ANY WARRANTY; without even the implied
## warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR
## PURPOSE.  See the GNU General Public License for more
## details.
##
## You should have received a copy of the GNU General Public
## License along with this program; if not, write to the Free
## Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
## MA 02111-1307, USA

isBusinessDay <- function(calendar="TARGET", dates=Sys.Date()) {
    stopifnot(is.character(calendar))
    stopifnot(class(dates)=="Date")
    val <- .Call("isBusinessDay", calendar, dates, PACKAGE="RQuantLib")
    val <- as.logical(val)
    names(val) <- dates
    val
}
businessDay <- function(calendar="TARGET", dates=Sys.Date()) {  ## may get deprecated one day
    isBusinessDay(calendar, dates)
}

isHoliday <- function(calendar="TARGET", dates=Sys.Date()) {
    stopifnot(is.character(calendar))
    stopifnot(class(dates)=="Date")
    val <- .Call("isHoliday", calendar, dates, PACKAGE="RQuantLib")
    val <- as.logical(val)
    names(val) <- dates
    val
}

isWeekend <- function(calendar="TARGET", dates=Sys.Date()) {
    stopifnot(is.character(calendar))
    stopifnot(class(dates)=="Date")
    val <- .Call("isWeekend", calendar, dates, PACKAGE="RQuantLib")
    val <- as.logical(val)
    names(val) <- dates
    val
}

isEndOfMonth <- function(calendar="TARGET", dates=Sys.Date()) {
    stopifnot(is.character(calendar))
    stopifnot(class(dates)=="Date")
    val <- .Call("isEndOfMonth", calendar, dates, PACKAGE="RQuantLib")
    val <- as.logical(val)
    names(val) <- dates
    val
}

getEndOfMonth <- function(calendar="TARGET", dates=Sys.Date()) {
    stopifnot(is.character(calendar))
    stopifnot(class(dates)=="Date")
    val <- .Call("endOfMonth", calendar, dates, PACKAGE="RQuantLib")
    names(val) <- dates
    val
}

endOfMonth <- function(calendar="TARGET", dates=Sys.Date()) {
    getEndOfMonth(calendar, dates)
}

adjust <- function(calendar="TARGET", dates=Sys.Date(), bdc = 0 ) {
    stopifnot(is.character(calendar))
    stopifnot(class(dates)=="Date")
    val <- .Call("adjust", calendar, as.double(bdc), dates, PACKAGE="RQuantLib")
    names(val) <- dates
    val
}

advance <- function(calendar="TARGET", dates=Sys.Date(),
                    n, timeUnit, # call 1
                    period,      # call 2
                    bdc = 0, emr = 0) {
    stopifnot(is.character(calendar))
    stopifnot(class(dates)=="Date")
    call1 <- missing(period) & !missing(n) & !missing(timeUnit)  ## or was it && ?
    call2 <- !missing(period) & missing(n) & missing(timeUnit)
    stopifnot(call1 | call2)
    val <- NULL
    if (call1)
        val <- .Call("advance1",
                     calendar,
                     list(amount = as.double(n),
                          unit = as.double(timeUnit),
                          bdc = as.double(bdc),
                          emr = as.double(emr)),
                     dates,
                     PACKAGE="RQuantLib")
    if (call2)
        val <- .Call("advance2",
                     calendar,
                     list(period = as.double(period),
                          bdc = as.double(bdc),
                          emr = as.double(emr)),
                     dates,
                     PACKAGE="RQuantLib")
    stopifnot( !is.null(val) )
    val
}

businessDaysBetween  <- function(calendar="TARGET",
                                 from=Sys.Date(),
                                 to = Sys.Date() + 5,
                                 includeFirst = 1,
                                 includeLast = 0
                                 ) {
    stopifnot(is.character(calendar))
    stopifnot(class(from)=="Date")
    stopifnot(class(to)=="Date")
    val <- .Call("businessDaysBetween",
                 calendar,
                 list(includeFirst = as.double(includeFirst),
                      includeLast = as.double(includeLast)),
                 from, to,
                 PACKAGE="RQuantLib")
    val <- val
    val
}

getHolidayList <- function(calendar="TARGET",
                           from=Sys.Date(),
                           to=Sys.Date() + 5,
                           includeWeekends=0) {
    stopifnot(is.character(calendar))
    stopifnot(class(from)=="Date")
    stopifnot(class(to)=="Date")
    val <- .Call("holidayList",
                 calendar,
                 list(includeWeekends=as.double(includeWeekends), from=from, to=to),
                 PACKAGE="RQuantLib")
    val
}

holidayList <- function(calendar="TARGET", from=Sys.Date(), to=Sys.Date() + 5, includeWeekends=0) {
    getHolidayList(calendar, from, to, includeWeekends)
}

setCalendarContext <- function(calendar="TARGET",
                               fixingDays = 2,
                               settleDate = Sys.Date() + 2) {
    val <- .Call("setContext",
                 list(calendar = calendar,
                      fixingDays = fixingDays,
                      settleDate = settleDate),
                 PACKAGE="RQuantLib")
}