The seventh release of the still pretty new 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 from the just-released QuantLib 1.31 version.
Changes in version 0.0.7 (2023-07-19)
Updates, extensions and corrections to calendars from South Korea, Hong Kong, Singapore, India, Taiwan, South Africa, Denmark and Finland from QuantLib 1.31
Added support for UnitedStates/SOFR calendar
As the update comprises a number of small-but-important updates to eight different country calendars as well as a new US calendar (in a slight variation on the government bond calendar) we can also update the little demo highlighting all calendars within the US for the given year:
> ## see https://github.com/qlcal/qlcal-r/blob/master/demo/allUScalendars.R
> ## see R/calendars.R in qlcal, we prepend 'UnitedStates/' in makeHol()
> cals <- c("LiborImpact", "NYSE", "GovernmentBond", "NERC", "FederalReserve", "SOFR")
> print(Reduce(cbind, Map(makeHol, cals)))
LiborImpact NYSE GovernmentBond NERC FederalReserve SOFR
2023-01-02 TRUE TRUE TRUE TRUE TRUE TRUE
2023-01-16 TRUE TRUE TRUE NA TRUE TRUE
2023-02-20 TRUE TRUE TRUE NA TRUE TRUE
2023-04-07 NA TRUE NA NA NA TRUE
2023-05-29 TRUE TRUE TRUE TRUE TRUE TRUE
2023-06-19 TRUE TRUE TRUE NA TRUE TRUE
2023-07-04 TRUE TRUE TRUE TRUE TRUE TRUE
2023-09-04 TRUE TRUE TRUE TRUE TRUE TRUE
2023-10-09 TRUE NA TRUE NA TRUE TRUE
2023-11-10 TRUE NA NA NA NA NA
2023-11-23 TRUE TRUE TRUE TRUE TRUE TRUE
2023-12-25 TRUE 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.
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