Business days calculations based on a list of holidays and nonworking weekdays. Quite useful for fixed income and derivatives pricing.
bizdays computes business days between dates based on collections of nonworking days and nonworking weekdays (usually weekends). It also helps with other issues related to business days calculations like check whether a date is a business day, offset a date by a number of business days, adjust dates for the next or previous business day, create generators of business days sequences, and much more. All functions are vectorizable so that speed up the calculations for large collections of dates.
It is available on CRAN to be installed through:
I've included a dataset called
holidaysANBIMA containing the list of holidays released by ANBIMA, this is quite useful at brazilian financial market.
So, if you have a specific list of holidays used at any market in the world, please share with me, I will be glad to include it in future releases.
Changes in Verson 1.0.6
Import and export calendars (issue #25)
Implemented getdate function (issue #28)
Renamed functions (replaced dots with _) (issue #76)
Changes in Verson 1.0.5
Implemented bizdays optimisations (issue #70)
New vignette "Financial and non financial calendars"
Improved Calendar's print method, now it is more informative (issue #68)
Introduced the financial argument to create.calendar. It allows to create non financial calendars (issue #62)
Removed the old calendars construction: the Calendar function
Changes in Version 1.0.4
Implemented bizdiff function (issue #57).
Defined start and end dates for Rmetrics calendars (issue #60)
Implemented new Calendar methods: holidays and weekdays (issue #61)
Changes in Version 1.0.3
Changes in Version 1.0.2
Implemented the double index strategy to avoid inconsistencies in business days counting (issue #54)
Added has.calendars function to check if a calendar exists
Implemented requireNamespace check for Suggedted packages: RQuantLib and timeDate
offset function has been vectorized
bug fixes (issues #53, #54, #55)
Changes in Version 1.0.1
Changes in Version 1.0.0
Calendar's dib argument, bizyears and bizyearse were removed
Load calendars from RQuantLib and timeDate (Rmetrics) packages
create.calendar function, Calendar have been deprecated and will be removed (not exported) soon.
Updated LICENSE file
bizdays accepts from > to arguments returning negative values in such cases
new following and preceding functions equal adjust.next and adjust.previous
new modified.following and modified.preceding functions
new calendar register: calendars must be created with create.calendar and are referenced by its name in bizdays methods.
Changes in Version 0.2.2
Calendar accepts POSIX* in holidays
Calendar's start.date and end.date are set to default values only when their aren't provided
Changes in Version 0.2.1
changed print.Calendar to be more informative
new offset function create (add.bizdays alias)
offset (add.bizdays) accepts vector of numbers (n argument)
renamed default.calendar to Calendar(name='Actual/365', dib=365)
Changes in Version 0.2.0
print.Calendar returns invisible(x) and shows weekdays
Calendar raises a warning when holidays is set and weekdays is not
Calendar's dib and name defaults to NULL
default.calendar is Calendar(name='Actual', dib=365)
bizyears raises an error if dib is NULL
add.bizdays performance improved
Changes in Version 0.1.5
add function has been renamed to add.bizdays
Calendar's argument weekdays default value is NULL
Calendar has new arguments: dib, adjust.from, adjust.to
New functions: bizyears, bizyearse, bizdayse
bizdays accepts NA values in both arguments, from and to
Changes in Version 0.1.4
bizdays, adjust.previous, adjust.next and is.bizday accept POSIXct and POSIXlt objects.
bizdays, adjust.previous, adjust.next and is.bizday handle NA values without break
bizdays, adjust.next and adjust.previous are fast