Thu, 25 May 2023

qlcal 0.0.6 on CRAN: More updates from QuantLib

The sixth release of the still new-ish qlcal package arrivied at CRAN today.

qlcal delivers the calendaring parts 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 demanding to build). qlcal covers over sixty country / market calendars and can compute holiday lists, its complement (i.e. business day lists) and much more.

This release brings updates to a few calendars which happened since the QuantLib 1.30 release, and also updates a several of the (few) non-calendaring functions.

Changes in version 0.0.6 (2023-05-24)

  • Several calendars (India, Singapore, South Africa, South Korea) updated with post-QuantLib 1.3.0 changes (Sebastian Schmidt in #6)

  • Three now-used scheduled files were removed (Dirk in #7))

  • A number of non-calendaring files used were synchronised with the current QuantLib repo (Dirk in #8)

Last release, we also added a quick little demo using xts to column-bind calendars produced from each of the different US sub-calendars. This is a slightly updated version of the sketch we tooted a few days ago. The output now is

> print(Reduce(cbind, Map(makeHol, cals)))
           LiborImpact NYSE GovernmentBond NERC FederalReserve
2023-01-02        TRUE TRUE           TRUE TRUE           TRUE
2023-01-16        TRUE TRUE           TRUE   NA           TRUE
2023-02-20        TRUE TRUE           TRUE   NA           TRUE
2023-04-07          NA TRUE             NA   NA             NA
2023-05-29        TRUE TRUE           TRUE TRUE           TRUE
2023-06-19        TRUE TRUE           TRUE   NA           TRUE
2023-07-04        TRUE TRUE           TRUE TRUE           TRUE
2023-09-04        TRUE TRUE           TRUE TRUE           TRUE
2023-10-09        TRUE   NA           TRUE   NA           TRUE
2023-11-10        TRUE   NA             NA   NA             NA
2023-11-23        TRUE TRUE           TRUE TRUE           TRUE
2023-12-25        TRUE TRUE           TRUE TRUE           TRUE

Courtesy of my CRANberries, there is a diffstat report for this release. See the project page and package documentation for more details, and more examples.

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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