Thu, 09 Dec 2021

qlcal 0.0.1 on CRAN: New Package

A new package of mine arrived on CRAN yesterday in its inaugural 0.0.1 upload: qlcal.

qlcal is based on the calendaring subset of QuantLib. It is provided (for the R package) as a set of included files, so the package is self-contained and does not depend on an external QuantLib library (which can be challenging to build). The only build requirements are Rcpp for the seamless R/C++ integration, and BH for Boost headers.

qlcal covers over sixty country / market calendars and can compute holiday lists, its complement (i.e. business day lists) and much more. As a teaser see this two-liner for 2022 holiday for the Federal Reserve calendar in the United States, now including Juneteenth (on June 20 next year) as the most recently added holiday:

> library(qlcal)
> setCalendar("UnitedStates/FederalReserve")
> getHolidays(as.Date("2022-01-01"), as.Date("2022-12-31"))
 [1] "2022-01-17" "2022-02-21" "2022-05-30" "2022-06-20" "2022-07-04" "2022-09-05" "2022-10-10"
 [8] "2022-11-11" "2022-11-24" "2022-12-26"

See the project page and package documentation for more details, and more examples.

Going forward, and time permitting, it would be nice to slowly reduce the Boost dependency to make the underlying qlcal C++ library more self-sufficient.

If you like this or other open-source work I do, you can now sponsor me at GitHub.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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