Package bizdays. March 13, 2015

Transcription

1 Title Business Days Calculations and Utilities Package bizdays March 13, 2015 Business days culations based on a list of holidays and nonworking weekdays. Quite useful for fixed income and derivatives pricing. Version Author Wilson Freitas <wilson.freitas@gmail.com> Maintainer Wilson Freitas <wilson.freitas@gmail.com> URL VignetteBuilder knitr Suggests knitr Depends R (>= 2.15) License MIT + file LICENSE LazyData true NeedsCompilation no Repository CRAN Date/Publication :47:08 R topics documented: bizdays-package adjust.date bizdays bizdays.options bizdayse bizseq bizyears bizyearse Calendar holidaysanbima is.bizday offset Index 13 1

2 2 adjust.date bizdays-package Business Days Calculations and Utilities In many countries the standard approach to price derivatives and fixed income instruments involves the use of business days. In Brazil, for example, the great majority of financial insturments are priced on business days counting rules. Given that the use of business days is somehow vital to handle many tasks. That s the reason why bizdays came up, to make these tasks easier. Excel s NETWORKDAYS is fairly at hand and once you have a list of holidays it is quite easy to put your data into a spreadsheet and make things happen. bizdays brings that ease to R. Although R s users have similar feature in packages like RQuantLib and timedate it doesn t come for free. Users have to do some stackoverflow in order to get this task accomplished. bizdays is a tiny package dramactily focused on that simple task: support culations involving business days for a given list of holidays. bizdays was designed to work with all common date types and ISO formatted character strings and all methods have support for vectorized operations and handle the recycle rule. Author(s) See Also Wilson Freitas < CRAN Task View: Empiri Finance adjust.date Adjusts the given dates to the next/previous business day If the given dates are business days it returns the given dates, but once it is not, it returns the next/previous business days. adjust.next(dates, = bizdays.options$get("default.endar")) adjust.previous(dates, = bizdays.options$get("default.endar")) dates dates to be adjusted

3 bizdays 3 Date objects adjusted accordingly. The argument dates accepts Date objects and any object that returns a valid Date object when passed through as.date, which include all POSIX* classes and character objects with ISO formatted dates. <- Calendar(holidaysANBIMA, weekdays=c("saturday", "sunday")) adjust.next(" ", ) adjust.previous(" ", ) bizdays Computes business days between two dates. Returns the amount of business days between 2 dates taking into account the provided Calendar (or bizdays.options$get("default.endar")). bizdays(from, to, = bizdays.options$get("default.endar")) from to the initial dates the final dates integer objects representing the amount of business days. The arguments from and to accept Date objects and any object that returns a valid Date object when passed through as.date, which include all POSIX* classes and character objects with ISO formatted dates. Recycle rule These arguments handle the recycle rule so vectors of dates can be provided and once those vectors differs in length the recycle rule is applied.

4 4 bizdays.options Date adjustment from and to are adjusted when nonworking dates are provided. Since bizdays function returns the amount of business days between 2 dates, it must start and end in business days. The default behavior, that is defined in Calendar s instantiation with adjust.from and adjust.to, reproduces the Excel s NETWORKDAYS. A common and useful setting is adjust.to=adjust.next which moves expiring maturities to the next business day, once it is not. See Also bizyears for business days values in years. <- Calendar(holidaysANBIMA, weekdays=c("saturday", "sunday")) bizdays(" ", " ", ) # Once you have a default endar set, does not need to be provided bizdays.options$set(default.endar=) bizdays(" ", " ") dates <- bizseq(" ", " ") bizdays(dates, " ") bizdays.options bizdays options Format Details bizdays.options defines option parameters used internally in bizdays. bizdays.options A list object with methods get and set attached to. Parameters are stored in bizdays.options using get and set bizdays.options$set(option.key=value) bizdays.options$get("option.key") bizdays supports the following parameter: default.endar: the default endar to be used with the functions: bizdays, bizdayse, adjust.next, adjust.previous, is.bizday, bizseq, offset, bizyears, bizyearse

5 bizdayse 5 <- Calendar(name="Actual/365", dib=365) bizdays.options$set(default.endar=) bizdays(" ", " ") bizdayse Business days and current days equivalence bizdayse stands for business days equivalent, it returns the amount of business days equivalent to a given number of current days. bizdayse(dates, curd, = bizdays.options$get("default.endar")) dates curd the reference dates the amount of current days Details Let us suppose I have a reference date dates and I offset that date by curd current days. bizdayse returns the business days between the reference date and the new date offset by curd current days. This is equivalent to refdate <- Sys.Date() curd <- 10 newdate <- refdate + 10 # offset refdate by 10 days bizdays(refdate, newdate) # bizdayse(refdate, 10) An integer representing an amount of business days. The argument dates accepts Date objects and any object that returns a valid Date object when passed through as.date, which include all POSIX* classes and character objects with ISO formatted dates. Recycle rule These arguments handle the recycle rule so a vector of dates and a vector of numbers can be provided and once those vectors differs in length the recycle rule is applied.

6 6 bizseq See Also bizyearse for business days in years. <- Calendar(holidaysANBIMA, weekdays=c("saturday", "sunday"), dib=252) bizdayse(" ", 3, ) bizseq Create a sequence of business days Returns a sequence of dates with business days only. bizseq(from, to, = bizdays.options$get("default.endar")) from to the initial date the final date (must be greater than from) A vector of Date objects that are business days according to the provided Calendar. The arguments from and to accept Date objects and any object that returns a valid Date object when passed through as.date, which include all POSIX* classes and character objects with ISO formatted dates. <- Calendar(holidaysANBIMA, weekdays=c("saturday", "sunday")) bizseq(" ", " ", )

7 bizyears 7 bizyears Computes business days between two dates in years Returns the business days between 2 dates in years taking into account the provided Calendar (or bizdays.options$get("default.endar")). bizyears(from, to, = bizdays.options$get("default.endar")) from to the initial dates the final dates Details The business days are converted to years by a division by Calendar s dib attribute. This is equivalent to <- Calendar(holidays, weekdays=c("saturday", "sunday"), dib=252) bizdays(" ", " ", )/$dib numeric objects representing the amount of business days in years. The arguments from and to accept Date objects and any object that returns a valid Date object when passed through as.date, which include all POSIX* classes and character objects with ISO formatted dates. Recycle rule These arguments handle the recycle rule so vectors of dates can be provided and once those vectors differs in length the recycle rule is applied. Date adjustment from and to are adjusted when nonworking dates are provided. Since bizdays function returns the amount of business days between 2 dates, it must start and end in business days. The default behavior, that is defined in Calendar s instantiation with adjust.from and adjust.to, reproduces the Excel s NETWORKDAYS. A common and useful setting is adjust.to=adjust.next which moves expiring maturities to the next business day, once it is not.

8 8 bizyearse See Also bizdays for business days. <- Calendar(holidaysANBIMA, weekdays=c("saturday", "sunday"), dib=252) bizyears(" ", " ", ) bizyearse Business days and current days equivalence in years bizyearse is a counterparty of bizdayse which returns the amount of business days in years. bizyearse(dates, curd, = bizdays.options$get("default.endar")) dates curd the initial dates the amount of current days numeric objects representing the amount of business days in years. The argument dates accepts Date objects and any object that returns a valid Date object when passed through as.date, which include all POSIX* classes and character objects with ISO formatted dates. Recycle rule These arguments handle the recycle rule so a vector of dates and a vector of numbers can be provided and once those vectors differs in length the recycle rule is applied. See Also bizdayse for business days.

9 Calendar 9 <- Calendar(holidaysANBIMA, weekdays=c("saturday", "sunday"), dib=252) bizyearse(" ", 3, ) Calendar Creates a endar The Calendar stores all information necessary to compute business days. This works like a helper class for many of bizdays methods. Calendar(holidays = integer(0), start.date = NULL, end.date = NULL, name = NULL, weekdays = NULL, dib = NULL, adjust.from = adjust.next, adjust.to = adjust.previous) holidays start.date end.date name weekdays dib adjust.from adjust.to a vector of Dates which contains the holidays the date which the endar starts the date which the endar ends endar s name a character vector which defines the weekdays to be used as non-working days (defaults to NULL which represents an actual endar). It accepts: sunday, monday, thuesday, wednesday, thursday, friday, saturday. Defining the weekend as nonworking days is weekdays=c("saturday", "sunday"). a single numeric variable which indicates the amount of days within a year (dib stands for days in base). is a function to be used with the bizdays s from argument. That function adjusts the argument if it is a nonworking day according to endar. is a function to be used with the bizdays s to argument. See also adjust.from. Details The arguments start.date and end.date can be set but once they aren t and holidays is set, start.date is defined to min(holidays) and end.date to max(holidays). If holidays isn t set start.date is set to and end.date to weekdays is controversial but it is only a sequence of nonworking weekdays. In the great majority of situations it refers to the weekend but it is also possible defining it differently. weekdays accepts a character sequence with lower case weekdays ( sunday, monday, thuesday, wednesday, thursday, friday, saturday). This argument defaults to NULL because the default intended behavior for Calendar returns an actual endar, so ling Calendar(dib=365) returns a actual/365

10 10 is.bizday endar and Calendar(dib=360) and actual/360 (for more endars see Day Count Convention) To define the weekend as the nonworking weekdays one could simply use weekdays=c("saturday", "sunday"). dib reffers to days in base and represents the amount of days within a year. That is necessary for defining Day Count Conventions and for accounting annualized periods (see bizyears). The arguments adjust.from and adjust.to are used to adjust bizdays arguments from and to, respectively. These arguments need to be adjusted when nonworking days are provided. The default behavior, setting adjust.from=adjust.previous and adjust.to=adjust.next, works like Excel s function NETWORKDAYS, since that is fairly used by a great number of practitioners. Calendar doesn t have to be named, but it helps identifying the endars once many are instantiated. You name a Calendar by setting the argument name. # holidays has iso-formated dates <- Calendar(name="ANBIMA", holidays=holidaysanbima, weekdays=c("saturday", "sunday"), dib=252) # ACTUAL endar <- Calendar(name="Actual", dib=365) # unnamed endars have NULL names <- Calendar(start.date=" ", end.date=" ") is.null($name) # TRUE holidaysanbima ANBIMA s holidays list A dataset containing the list of holidays delivered by ANBIMA ( Format a vector with Date objects that represent holidays is.bizday Checks if the given dates are business days. Returns TRUE if the given date is a business day and FALSE otherwise. is.bizday(dates, = bizdays.options$get("default.endar"))

11 offset 11 dates dates to be checked logi objects informing that given dates are or are not business days. The argument dates accepts Date objects and any object that returns a valid Date object when passed through as.date, which include all POSIX* classes and character objects with ISO formatted dates. <- Calendar(holidaysANBIMA, weekdays=c("saturday", "sunday")) is.bizday(" ", ) # Once you have a default endar set, does not need to be provided bizdays.options$set(default.endar=) dates <- seq(as.date(" "), as.date(" "), by="day") is.bizday(dates) offset Offsets the given dates by n business days Returns the given dates offset by the given amount of n business days. offset(dates, n, = bizdays.options$get("default.endar")) add.bizdays(dates, n, = bizdays.options$get("default.endar")) dates n dates to be offset the amount of business days to offset

12 12 offset Details The argument n accepts a sequence of integers and if its length differs from dates length, the recycle rule is applied to fulfill the gap. Date objects offset by the amount of days defined. The argument dates accepts Date objects and any object that returns a valid Date object when passed through as.date, which include all POSIX* classes and character objects with ISO formatted dates. Recycle rule These arguments handle the recycle rule so a vector of dates and a vector of numbers can be provided and once those vectors differs in length the recycle rule is applied. <- Calendar(holidaysANBIMA, weekdays=c("saturday", "sunday")) offset(" ", 5, ) # Once you have a default endar set, does not need to be provided bizdays.options$set(default.endar=) dates <- seq(as.date(" "), as.date(" "), by="day") offset(dates, 1)

13 Index Topic datasets bizdays.options, 4 holidaysanbima, 10 add.bizdays (offset), 11 adjust.date, 2 adjust.next (adjust.date), 2 adjust.previous (adjust.date), 2 bizdays, 3, 8 bizdays-package, 2 bizdays.options, 4 bizdayse, 5, 8 bizseq, 6 bizyears, 4, 7, 10 bizyearse, 6, 8 Calendar, 9 holidaysanbima, 10 is.bizday, 10 offset, 11 13