RcppExport SEXP holidayList(SEXP calSexp, SEXP params) {
try {
boost::shared_ptr<QuantLib::Calendar> pcal( getCalendar(Rcpp::as<std::string>(calSexp)) );
Rcpp::List rparam(params);
int iw = Rcpp::as<int>(rparam["includeWeekends"]);
std::vector<QuantLib::Date>
holidays = QuantLib::Calendar::holidayList(*pcal,
QuantLib::Date(dateFromR(Rcpp::as<Rcpp::Date>( rparam["from"]))),
QuantLib::Date(dateFromR(Rcpp::as<Rcpp::Date>( rparam["to"] ))),
iw == 1 ? true : false);
if (holidays.size() > 0) {
Rcpp::DateVector dv( holidays.size() );
for (unsigned int i = 0; i< holidays.size(); i++){
dv[i] = Rcpp::Date(holidays[i].month(), holidays[i].dayOfMonth(), holidays[i].year());
}
return Rcpp::wrap(dv);
} else {
return R_NilValue;
}
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
RcppExport SEXP businessDaysBetween(SEXP calSexp, SEXP params,
SEXP from, SEXP to){
try {
boost::shared_ptr<QuantLib::Calendar> pcal( getCalendar(Rcpp::as<std::string>(calSexp)) );
Rcpp::List rparam(params);
double ifirst = Rcpp::as<double>(rparam["includeFirst"]);
double ilast = Rcpp::as<double>(rparam["includeLast"]);
Rcpp::DateVector dates1 = Rcpp::DateVector(from);
Rcpp::DateVector dates2 = Rcpp::DateVector(to);
int n = dates1.size();
std::vector<double> between(n);
for (int i=0; i<n; i++) {
QuantLib::Date day1( dateFromR(dates1[i]) );
QuantLib::Date day2( dateFromR(dates2[i]) );
between[i] = pcal->businessDaysBetween(day1, day2,
(ifirst == 1) ? true: false,
(ilast == 1) ? true: false);
}
return Rcpp::wrap(between);
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
RcppExport SEXP advance2(SEXP calSexp, SEXP param, SEXP dateSexp){
try {
boost::shared_ptr<QuantLib::Calendar> pcal( getCalendar(Rcpp::as<std::string>(calSexp)) );
Rcpp::List rparam(param);
QuantLib::BusinessDayConvention bdc = getBusinessDayConvention( Rcpp::as<double>(rparam["bdc"]) );
double emr = Rcpp::as<double>(rparam["emr"]);
double period = Rcpp::as<double>(rparam["period"]);
Rcpp::DateVector dates = Rcpp::DateVector(dateSexp);
int n = dates.size();
std::vector<QuantLib::Date> advance(n);
for (int i=0; i<n; i++) {
QuantLib::Date day( dateFromR(dates[i]) );
advance[i] = pcal->advance(day, QuantLib::Period(getFrequency(period)),
bdc, (emr == 1)?true:false );
dates[i] = Rcpp::Date(advance[i].month(),
advance[i].dayOfMonth(),
advance[i].year());
}
return Rcpp::wrap(dates);
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
RcppExport SEXP adjust(SEXP calSexp, SEXP bdcSEXP, SEXP dateSexp){
try {
boost::shared_ptr<QuantLib::Calendar> pcal( getCalendar(Rcpp::as<std::string>(calSexp)) );
QuantLib::BusinessDayConvention bdc = getBusinessDayConvention( Rcpp::as<double>(bdcSEXP) );
Rcpp::DateVector dates = Rcpp::DateVector(dateSexp);
int n = dates.size();
std::vector<QuantLib::Date> adjusted(n);
for (int i=0; i<n; i++) {
QuantLib::Date day( dateFromR(dates[i]) );
adjusted[i] = pcal->adjust(day, bdc);
dates[i] = Rcpp::Date(adjusted[i].month(),
adjusted[i].dayOfMonth(),
adjusted[i].year());
}
return Rcpp::wrap(dates);
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
RcppExport SEXP endOfMonth(SEXP calSexp, SEXP dateSexp){
try {
boost::shared_ptr<QuantLib::Calendar> pcal( getCalendar(Rcpp::as<std::string>(calSexp)) );
Rcpp::DateVector dates = Rcpp::DateVector(dateSexp);
int n = dates.size();
std::vector<QuantLib::Date> eom(n);
for (int i=0; i<n; i++) {
QuantLib::Date day( dateFromR(dates[i]) );
eom[i] = pcal->endOfMonth(day);
dates[i] = Rcpp::Date(eom[i].month(), eom[i].dayOfMonth(), eom[i].year());
}
return Rcpp::wrap(dates);
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
// [[Rcpp::export]]
std::vector<QuantLib::Date> getHolidayList(std::string calendar,
QuantLib::Date from, QuantLib::Date to,
bool includeWeekends=false) {
boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
std::vector<QuantLib::Date> holidays = QuantLib::Calendar::holidayList(*pcal, from, to, includeWeekends);
return holidays;
}
// [[Rcpp::export]]
std::vector<QuantLib::Date> getEndOfMonth(std::string calendar, std::vector<QuantLib::Date> dates) {
boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
int n = dates.size();
std::vector<QuantLib::Date> ndates(n);
for (int i=0; i<n; i++) {
ndates[i] = pcal->endOfMonth(dates[i]);
}
return ndates;
}
// [[Rcpp::export]]
std::vector<bool> isWeekend(std::string calendar, std::vector<QuantLib::Date> dates) {
boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
int n = dates.size();
std::vector<bool> weekends(n);
for (int i=0; i<n; i++) {
weekends[i] = pcal->isWeekend(dates[i].weekday());
}
return weekends;
}
// [[Rcpp::export]]
std::vector<bool> isHoliday(std::string calendar, std::vector<QuantLib::Date> dates) {
boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
int n = dates.size();
std::vector<bool> hdays(n);
for (int i=0; i<n; i++) {
hdays[i] = pcal->isHoliday(dates[i]);
}
return hdays;
}
// [[Rcpp::export]]
std::vector<QuantLib::Date> adjust(std::string calendar, std::vector<QuantLib::Date> dates, int bdc=0) {
boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
QuantLib::BusinessDayConvention bdcval = getBusinessDayConvention(bdc);
int n = dates.size();
std::vector<QuantLib::Date> adjusted(n);
for (int i=0; i<n; i++) {
adjusted[i] = pcal->adjust(dates[i], bdcval);
}
return adjusted;
}
// [[Rcpp::export]]
std::vector<double> businessDaysBetween(std::string calendar,
std::vector<QuantLib::Date> from,
std::vector<QuantLib::Date> to,
bool includeFirst=true, bool includeLast=false) {
boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
int n = from.size();
std::vector<double> between(n);
for (int i=0; i<n; i++) {
between[i] = pcal->businessDaysBetween(from[i], to[i], includeFirst, includeLast);
}
return between;
}
// [[Rcpp::export]]
std::vector<QuantLib::Date> advance1(std::string calendar,
double amount, double unit, int bdcVal, double emr,
std::vector<QuantLib::Date> dates) {
boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
QuantLib::BusinessDayConvention bdc = getBusinessDayConvention(bdcVal);
int n = dates.size();
std::vector<QuantLib::Date> advance(n);
for (int i=0; i<n; i++) {
advance[i] = pcal->advance(dates[i], amount, getTimeUnit(unit), bdc, (emr == 1) ? true : false);
}
return advance;
}
// [[Rcpp::export]]
std::vector<QuantLib::Date> advance2(std::string calendar,
double period, int bdcVal, double emr,
std::vector<QuantLib::Date> dates) {
boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
QuantLib::BusinessDayConvention bdc = getBusinessDayConvention(bdcVal);
int n = dates.size();
std::vector<QuantLib::Date> advance(n);
for (int i=0; i<n; i++) {
advance[i] = pcal->advance(dates[i], QuantLib::Period(getFrequency(period)),
bdc, (emr == 1) ? true : false);
}
return advance;
}
// [[Rcpp::export]]
bool setCalendarContext(std::string calendar, int fixingDays, QuantLib::Date settleDate) {
// Rcpp Attribute cannot reflect complicated default arguments
if (settleDate.serialNumber() == 0) {
calendar = "TARGET";
fixingDays = 2;
settleDate = QuantLib::Date::todaysDate() + 2;
}
// set fixingDays and settleDate
RQLContext::instance().fixingDays = fixingDays;
RQLContext::instance().settleDate = settleDate;
boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
RQLContext::instance().calendar = *pcal; // set calendar in global singleton
return true;
}
RcppExport SEXP setContext(SEXP parSEXP) {
try {
Rcpp::List par(parSEXP);
// set fixingDays and settleDate
RQLContext::instance().fixingDays = Rcpp::as<int>(par["fixingDays"]);
RQLContext::instance().settleDate = QuantLib::Date(dateFromR(Rcpp::as<Rcpp::Date>(par["settleDate"])));
boost::shared_ptr<QuantLib::Calendar> pcal( getCalendar(Rcpp::as<std::string>(par["calendar"])) );
RQLContext::instance().calendar = *pcal; // set calendar in global singleton
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
RcppExport SEXP isHoliday(SEXP calSexp, SEXP dateSexp){
try {
boost::shared_ptr<QuantLib::Calendar> pcal( getCalendar(Rcpp::as<std::string>(calSexp)) );
Rcpp::DateVector dates = Rcpp::DateVector(dateSexp);
int n = dates.size();
std::vector<int> hdays(n);
for (int i=0; i<n; i++) {
QuantLib::Date day( dateFromR(dates[i]) );
hdays[i] = pcal->isHoliday(day);
}
return Rcpp::wrap(hdays);
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
