Package 'quantdates' reference manual

Title:	Manipulate Dates for Finance
Description:	Functions to manipulate dates and count days for quantitative finance analysis. The 'quantdates' package considers leap, holidays and business days for relevant calendars in a financial context to simplify quantitative finance calculations, consistent with International Swaps and Derivatives Association (ISDA) (2006) <https://www.isda.org/book/2006-isda-definitions/> regulations.
Authors:	Julian Chitiva [aut], Diego Jara [aut], Erick Translateur [com], Juan Pablo Bermudez [aut, cre], Quantil S.A.S [aut, cph]
Maintainer:	Juan Pablo Bermudez <[email protected]>
License:	GPL-3
Version:	2.0.4
Built:	2025-02-10 04:59:17 UTC
Source:	https://github.com/quantilma/quantdates

AddBusinessDays

Description

Function to add a number of business days to a specific date. Currently the function work for returning values between 1990 and 2100.

Usage

AddBusinessDays(date = Sys.Date(), numDate, loc = "BOG")
AddBusinessDays(date = Sys.Date(), numDate, loc = "BOG")

Arguments

`date`	Initial date, the default is set to the date returned by Sys.Date().
`numDate`	Number of dates to be add (positive or negative).
`loc`	String that determines the location for business days. See details.

Details

loc refers to the location for business days:

NY for New York Stock Exchange Market.
NYGB for New York Government Bonds Market.
LDN for London.
NYLDN for the intersection of business days in New York Stock Exchange and London.
NYGBLDN for the intersection of business days in New York Government Bond and London.
BOG for Bogota.
BOGNY for the intersection of business days in Bogota and New York Stock Exchange.
BOGNYGB for the intersection of business days in Bogota and New York Government Bond.

Value

The output is the final date after adding the number of business dates to the initial date. If the initial date is a non-working date, the result of the function for numDate equal to 0 or 1 is the same.

Author(s)

Diego Jara and Juan Pablo Bermudez

Examples

# Date input as Date object
AddBusinessDays(date = Sys.Date(),numDate = 15,loc = 'BOG')

# Date input as character object
AddBusinessDays(date = as.character(Sys.Date()),numDate = 15,loc = 'BOG')

# Date input as Date object
AddBusinessDays(date = Sys.Date(),numDate = 15,loc = 'BOG')

# Date input as character object
AddBusinessDays(date = as.character(Sys.Date()),numDate = 15,loc = 'BOG')

AddDate

Description

Function to add a number of days, months and years to a specific date.

Usage

AddDate(date = Sys.Date(), addDays = 0, addMonths = 0, addYears = 0)
AddDate(date = Sys.Date(), addDays = 0, addMonths = 0, addYears = 0)

Arguments

`date`	Initial date.
`addDays`	If specified, vector number of days to add to the initial date.
`addMonths`	If specified, vector number of months to add to the initial date.
`addYears`	If specified, vector number of years to add to the initial date.

Value

The output is a vector of final dates after adding the number of days, months and years to the initial date.

Author(s)

Julian Chitiva, Diego Jara and Juan Pablo Bermudez

Examples

# Date input as Date object
AddDate(date = Sys.Date(),addDays=14,addMonths=2,addYears=3)

# Date input as character object
AddDate(date = '2019-10-04',addDays=14,addMonths=2,addYears=3)

# Date vectors to add to initial date
AddDate(Sys.Date(), addDays = c(1,2), addMonths = c(4,5),addYears = c(5,6))

# Date input as Date object
AddDate(date = Sys.Date(),addDays=14,addMonths=2,addYears=3)

# Date input as character object
AddDate(date = '2019-10-04',addDays=14,addMonths=2,addYears=3)

# Date vectors to add to initial date
AddDate(Sys.Date(), addDays = c(1,2), addMonths = c(4,5),addYears = c(5,6))

BusinessDays

Description

Calculate business days for a given location. Currently, data availability goes from 1990 to 2100.

Usage

BusinessDays(loc = "BOG", from = NULL, to = NULL)
BusinessDays(loc = "BOG", from = NULL, to = NULL)

Arguments

`loc`	String that determines the location for business days. See details.
`from`	If provided returns available business dates after this date (inclusive).
`to`	If provided returns available business dates until this date (inclusive).

Details

loc refers to the location for business days:

NYGB for New York Government Bonds Market.
NY for New York Stock Exchange Market.
LDN for London.
NYLDN for the intersection of business days in New York Stock Exchange and London.
NYGBLDN for the intersection of business days in New York Government Bond and London.
BOG for Bogota.
BOGNYGB for the intersection of business days in Bogota and New York Government Bond.
BOGNY for the intersection of business days in Bogota and New York Stock Exchange.

Value

Vector of business days. Data availability from 1990 up to 2100.

Author(s)

Diego Jara, Julian Chitiva and Juan Pablo Bermudez

Examples

# Returns all business days available for the location
BusinessDays(loc='BOG')

# Returns business days within given range for the location and Dates as
# character
BusinessDays(loc='BOG', from='2020-10-10', to='2020-11-10')

# Returns business days within given range for the location and Dates as
# Dates
BusinessDays(loc='BOG', from=as.Date('2020-10-10'), to='2020-11-10')

# Returns all available business days for the location after given
# 'from' date as character
BusinessDays(loc='BOG', from='2020-10-10')

# Returns all business days available for the location
BusinessDays(loc='BOG')

# Returns business days within given range for the location and Dates as
# character
BusinessDays(loc='BOG', from='2020-10-10', to='2020-11-10')

# Returns business days within given range for the location and Dates as
# Dates
BusinessDays(loc='BOG', from=as.Date('2020-10-10'), to='2020-11-10')

# Returns all available business days for the location after given
# 'from' date as character
BusinessDays(loc='BOG', from='2020-10-10')

day_count

Description

Function to count the number of years between two dates according to the given convention.

Usage

day_count(tfinal, tinitial, convention = "ACT/365")
day_count(tfinal, tinitial, convention = "ACT/365")

Arguments

`tfinal`	Final date.
`tinitial`	Initial date.
`convention`	Character that specifies the convention. See details.

Details

The convention accepts the following values:

30/360.

$DayCount = \frac{360\times(Y_2-Y_1)+30\times (M_2-M_1) + (D_2-D_1)}{360}$

Here the dates are in the following format
- tfinal = $Y_2$ - $M_2$ - $D_2$ (YYYY-MM-DD).
- tinitial = $Y_1$ - $M_1$ - $D_1$ (YYYY-MM-DD).
It is important to note that
- $D_1=\min(D_1,30)$
- If $D_1=30$ then $D_2=\min(D_2,30)$
ACT/365 (Default).

$DayCount = \frac{Days(tintial, tfinal)}{365}$

Also known as ACT/365 Fixed.
ACT/360.

$DayCount = \frac{Days(tintial, tfinal)}{360}$
ACT/365L.

$DayCount = \frac{Days(tintial, tfinal)}{DiY}$

If February 29 is in the range from Date1 (exclusive) to Date2 (inclusive), then DiY = 366, else DiY = 365.
NL/365.

If February 29 is not in the period then actual number of days between dates is used. Else actual number of days minus 1 is used. Day count basis = 365.
ACT/ACT-ISDA.

$DayCount = \frac{Days\; not\; in\; leap\; year}{365} + \frac{Days\; in\; leap\; year}{366}$
ACT/ACT-AFB.

$DayCount = \frac{Days(tintial, tfinal)}{DiY}$

The basic rule is that if February 29 is in the range from Date1 (inclusive) to Date2 (exclusive), then DiY = 366, else DiY = 365.

If the period from Date1 to Date2 is more than one year, the calculation is split into two parts:
- The number of complete years, counted back from the last day of the period.
- The remaining initial stub, calculated using the basic rule.

Value

Number of years between the specified dates according to the convention.

Author(s)

Julian Chitiva

Source

International Swaps and Derivatives Association - ISDA.

References

International Swaps and Derivatives Association. (2006). 2006 ISDA definitions. New York, N.Y: International Swaps and Derivatives Association.

Examples

#Function accepts Dates as Dates or as characters.
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/365')
day_count(tfinal=as.Date('2023-03-08'),tinitial=as.Date('2019-02-28'),convention='ACT/360')
day_count(tfinal='2023-03-08',tinitial=as.Date('2019-02-28'),convention='30/360')
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='NL/365')
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/ACT-ISDA')
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/ACT-AFB')

#Function accepts Dates as Dates or as characters.
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/365')
day_count(tfinal=as.Date('2023-03-08'),tinitial=as.Date('2019-02-28'),convention='ACT/360')
day_count(tfinal='2023-03-08',tinitial=as.Date('2019-02-28'),convention='30/360')
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='NL/365')
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/ACT-ISDA')
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/ACT-AFB')

difftime_business

Description

difftime_business

Usage

difftime_business(tfinal, tinitial, wd = wdBOG)
difftime_business(tfinal, tinitial, wd = wdBOG)

Arguments

`tfinal`	Final date, it must be a business day.
`tinitial`	Initial date, it must be a business day.
`wd`	Vector of dates with business days. The default are the business days of Bogota. See details

Details

wd refers to the business days of a specific location:

wdNYGB for New York Government Bonds Market.
wdNY for New York Stock Exchange Market.
wdLDN for London.
wdBOG for Bogota.

Value

Number of days between the specified dates.

Author(s)

Diego Jara and Juan Pablo Bermudez

Function to count the number of business days between two dates.

Examples

#Function accepts Dates as Dates or as characters.
difftime_business(tfinal='2023-03-08',tinitial='2019-02-28',wd=wdBOG)
difftime_business(tfinal=as.Date('2023-03-08'),tinitial=as.Date('2019-02-28'),wd=wdBOG)
difftime_business(tfinal='2023-03-08',tinitial=as.Date('2019-02-28'),wd=wdLDN)
difftime_business(tfinal='2023-03-08',tinitial='2019-02-28',wd=wdNY)
difftime_business(tfinal='2023-03-08',tinitial='2019-02-28',wd=wdNYGB)

#Function accepts Dates as Dates or as characters.
difftime_business(tfinal='2023-03-08',tinitial='2019-02-28',wd=wdBOG)
difftime_business(tfinal=as.Date('2023-03-08'),tinitial=as.Date('2019-02-28'),wd=wdBOG)
difftime_business(tfinal='2023-03-08',tinitial=as.Date('2019-02-28'),wd=wdLDN)
difftime_business(tfinal='2023-03-08',tinitial='2019-02-28',wd=wdNY)
difftime_business(tfinal='2023-03-08',tinitial='2019-02-28',wd=wdNYGB)

difftime_leap_year

Description

Function to count the number of days between two dates. Optional parameters to count without the leap-days.

Usage

difftime_leap_year(tfinal, tinitial, leapDatesIn = TRUE)
difftime_leap_year(tfinal, tinitial, leapDatesIn = TRUE)

Arguments

`tfinal`	Final date.
`tinitial`	Initial date.
`leapDatesIn`	If TRUE count leap Dates, else exclude from counting.

Value

Number of days between the specified dates.

Author(s)

Julian Chitiva and Diego Jara

Examples

#Function accepts Dates as Dates or as characters.
difftime_leap_year(tfinal='2023-03-05',tinitial='2019-02-28',leapDatesIn=TRUE)
difftime_leap_year(tfinal=as.Date('2023-03-05'),tinitial=as.Date('2019-02-28'),leapDatesIn=TRUE)
difftime_leap_year(tfinal='2023-03-05',tinitial='2019-02-28',leapDatesIn=FALSE)
difftime_leap_year(tfinal='2023-03-05',tinitial=as.Date('2019-02-28'),leapDatesIn=FALSE)

#Function accepts Dates as Dates or as characters.
difftime_leap_year(tfinal='2023-03-05',tinitial='2019-02-28',leapDatesIn=TRUE)
difftime_leap_year(tfinal=as.Date('2023-03-05'),tinitial=as.Date('2019-02-28'),leapDatesIn=TRUE)
difftime_leap_year(tfinal='2023-03-05',tinitial='2019-02-28',leapDatesIn=FALSE)
difftime_leap_year(tfinal='2023-03-05',tinitial=as.Date('2019-02-28'),leapDatesIn=FALSE)

Bogota holidays dates.

Description

Bogota (Colombia) holidays dates. The holidays were created using the package bizdays. Dates range between 1990-01-01 and 2100-12-08.

holiDaysBOG: Vector of dates of Bogota holidays

Usage

holiDaysBOG
holiDaysBOG

Format

Vector of dates.

Author(s)

Quantil S.A.S

Source

Author Calculations

London holidays dates.

Description

London (England) holidays dates. The holidays were created using the package bizdays. Dates range between 1990-01-01 and 2100-12-28.

holiDaysLDN: Vector of dates of London holidays

Usage

holiDaysLDN
holiDaysLDN

Format

Vector of dates.

Author(s)

Quantil S.A.S

Source

Author Calculations

New York Stock Exchange holidays dates.

Description

New York Stock Exchange -United States holidays dates. The holidays were created using the package bizdays. Dates range between 1990-01-01 and 2100-12-24.

holiDaysNY: Vector of dates of New York Stock Exchange holidays

Usage

holiDaysNY
holiDaysNY

Format

Vector of dates.

Author(s)

Quantil S.A.S

Source

Author Calculations

New York Government Bonds holidays dates.

Description

New York Government Bonds -United States holidays dates. The holidays were created using the package bizdays. Dates range between 1990-01-01 and 2100-12-24.

holiDaysNY: Vector of dates of New York Government Bonds holidays

Usage

holiDaysNYGB
holiDaysNYGB

Format

Vector of dates.

Author(s)

Quantil S.A.S

Source

Author Calculations

LastDayOfMonth

Description

Returns the last day of a month.

Usage

LastDayOfMonth(year, month, date = NULL)
LastDayOfMonth(year, month, date = NULL)

Arguments

`year`	Year as a number.
`month`	Month as a number.
`date`	If provided, uses year and month from this date. It could be date or a string format date YYYY-MM-DD.

Value

Last day of the month in the current year.

Author(s)

Diego Jara

Examples

# Return last day of the month in year
LastDayOfMonth(year = 2020, month = 2)

# Return last day of the month for the date
LastDayOfMonth(date = '2020-02-03')

# Return last day of the month in year
LastDayOfMonth(year = 2020, month = 2)

# Return last day of the month for the date
LastDayOfMonth(date = '2020-02-03')

NumExcel2DateR

Description

Takes a date represented by a number in Excel format (origin="1899-12-30") and returns a date in R format.

Usage

NumExcel2DateR(date)
NumExcel2DateR(date)

Arguments

date

numeric vector.

Value

date in R.

Author(s)

Diego Jara

Examples

NumExcel2DateR(as.numeric(Sys.Date()))

NumExcel2DateR(as.numeric(Sys.Date()))

NumR2DateR

Description

Takes a date represented by a number in R format (origin="1970-01-01") and returns a date.

Usage

NumR2DateR(date)
NumR2DateR(date)

Arguments

date

numeric vector.

Value

date in R.

Author(s)

Diego Jara

Examples

NumR2DateR(as.numeric(Sys.Date()))

NumR2DateR(as.numeric(Sys.Date()))

Bogota business dates.

Description

Bogota (Colombia) business dates. Dates range between 1990-01-02 and 2100-12-31.

wdBOG: Vector of dates of Bogota business days

Usage

wdBOG
wdBOG

Format

Vector of dates.

Author(s)

Quantil S.A.S

Source

Author Calculations

London business dates.

Description

London (England) business dates. Dates range between 1990-01-02 and 2100-12-31.

wdLDN: Vector of dates of London business days

Usage

wdLDN
wdLDN

Format

Vector of dates.

Author(s)

Quantil S.A.S

Source

Author Calculations

New York Stock Exchange business dates.

Description

New York (United States) Stock Exchange business dates. Dates range between 1990-01-02 and 2100-12-31.

wdNY: Vector of dates of New York Stock Exchange (NYSE) business days

Usage

wdNY
wdNY

Format

Vector of dates.

Author(s)

Quantil S.A.S

Source

Author Calculations

New York Government Bonds business dates.

Description

New York (United States) Government Bonds business dates. Dates range between 1990-01-02 and 2100-12-31.

wdNY: Vector of dates of New York Government Bonds (NYGB) business days

Usage

wdNYGB
wdNYGB

Format

Vector of dates.

Author(s)

Quantil S.A.S

Source

Author Calculations

Package 'quantdates'

Help Index

AddBusinessDays

Description

Usage

Arguments

Details

Value

Author(s)

Examples

AddDate

Description

Usage

Arguments

Value

Author(s)

Examples

BusinessDays

Description

Usage

Arguments

Details

Value

Author(s)

Examples

day_count

Description

Usage

Arguments

Details

Value

Author(s)

Source

References

Examples

difftime_business

Description

Usage

Arguments

Details

Value

Author(s)

Examples

difftime_leap_year

Description

Usage

Arguments

Value

Author(s)

Examples

Bogota holidays dates.

Description

Usage

Format

Author(s)

Source

London holidays dates.

Description

Usage

Format

Author(s)

Source

New York Stock Exchange holidays dates.

Description

Usage

Format

Author(s)

Source

New York Government Bonds holidays dates.

Description

Usage

Format

Author(s)

Source

LastDayOfMonth

Description

Usage

Arguments

Value

Author(s)