The thirteenth release of the 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. Examples are in the README at the repository, the package page, and course at the CRAN package page.
This releases synchronizes qlcal with the QuantLib release 1.36 (made this week) and contains some minor updates to two calendars.
Changes in version 0.0.13 (2024-10-15)
Synchronized with QuantLib 1.36 released yesterday
Calendar updates for South Korea and Poland
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 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.
The twelveth release of the 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. Examples are in the README at the repository, the package page, and course at the CRAN package page.
This releases synchronizes qlcal with the QuantLib release 1.35 (made today) and contains more updates to 2024 calendars.
Changes in version 0.0.12 (2024-07-22)
Synchronized with QuantLib 1.35 released today
Calendar updates for Chile, India, United States, Brazil
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 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.
The eleventh release of the 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. Examples are in the README at the repository, the package page, and course at the CRAN package page.
This releases synchronizes qlcal with the QuantLib release 1.34 and contains more updates to 2024 calendars.
Changes in version 0.0.11 (2024-04-27)
Synchronized with QuantLib 1.34
Calendar updates for Brazil, India, Singapore, South Africa, Thailand, United States
Minor continuous integration update
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 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.
The tenth release of the 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. Examples are in the README at the repository, the package page, and course at the CRAN package page.
This releases synchronizes qlcal with the QuantLib release 1.33 and its updates to 2024 calendars.
Changes in version 0.0.10 (2024-01-24)
- Synchronized with QuantLib 1.33
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.
The ninth release of the 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 releases updates the code to address warning now shown under
R-devel when -Wformat -Wformat-security are enabled. This
amounted to re-generating RcppExports.cpp under an updated
Rcpp version. We also no longer set
C++14 explicitly as a compilation standard but rather determine at build
time if it is needed or not.
Changes in version 0.0.9 (2023-11-29)
configurenow uses a new helper script to only set a compilation standard when needed for R versions older than 4.2.0The file
RcppExports.cppwas regenerated to avoid a string format warning from R-devel
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.
The eighth release of the still fairly 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 1.32 version. It also
avoids a nag from R during build (“only specify C++14 if you really need
it”) but switching to a versioned depends on R 4.2.0 or later. This
implies C++14 or later as the default. If you need qlcal on an
older R, grab the sources, edit DESCRIPTION to remove this
constraint and set the standard as before in src/Makevars
(or src/Makevars.win).
Changes in version 0.0.8 (2023-10-21)
A small set of updates from QuantLib 1.32 have been applied
The explicit C++14 compilation standard has been replaced with an implicit one by relying on R (>= 4.2.0)
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.
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.
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.
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)
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.
The fifth release of the still new-ish qlcal package arrivied at CRAN just now.
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 five calendars from the QuantLib 1.30 release from this week.
Changes in version 0.0.5 (2023-04-19)
Calendars routines for Australia, Denmark, New Zealand, Turkey and the US have been updated from QuantLib 1.30.
Support for 'Australia/ASX' has been added.
Added demo showing all US holidays in current year
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
> (and we just discovered a tiny h -> hols
bug in the demo so see the git repo – sorry!).
The release was finalized uploaded yesterday morning. But because we
have to set CXX_STD=CXX14 as satisfy requirements of some
of the Boost headers, we get ourselves a NOTE and with that a manual
inspection … and a delay of 1 1/2 days. Not really all that meaningful
in the grand scheme of things but still suboptimal relative to the fully
automated passage this release should have gotten. Oh well.
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.
The fourth release of the still new-ish qlcal package arrivied at CRAN just now.
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 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 generalizes the advanceDate() function
(similar to what advanceUnits() already had), and updates
several calendars along with the upcoming QuantLib 1.29 release. This
includes updates for the UK and Australia related to changes in the
monarchy, an update for South Africa and the additional of 2023 holidays
for China.
Changes in version 0.0.4 (2023-01-11)
The
advanceDate{}function can now selects a business day convention, a time unit and an end-of-month conventionCalendars routines for Australia, China, South Africa, UK, US have been updated to current versions from QuantLib 1.29.
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.
The third release of the still pretty new qlcal package arrivied at CRAN today.
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 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 fixes a small bug affecting one function, brings calendar updates from QuantLib 1.27 and 1.28, and applies a little bit of polish to appease clang++-15.
Changes in version 0.0.3 (2022-10-19)
Correct the
isBusinessDay()functionality (Fixes #2)Update Australia and Saudi Arabia calendars from QuantLib 1.27
Update United Kingdom calendar from QuantLib 1.28
Convert one source file to utf-8 to appease
clang-15
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.
The second release of the still fairly new qlcal package arrivied at CRAN today.
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 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 a further package simplification from removing a few more files not needed for just calendaring, as well as an update 2022 calendar for China from the just-release 1.25 version of QuantLib.
Changes in version 0.0.2 (2022-01-21)
Further minimize set of files needed for calendaring
Update China calendar from QuantLib 1.25 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.
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.