Add more quantlib calendars

[wilsonfreitas]

Hi,

Quantlib has more calendar than those available in RQuantlib.

https://github.com/lballabio/QuantLib/tree/master/ql/time/calendars

For example, the French calendar

RQuantLib::businessDaysBetween(calendar="France",
                               from=as.Date("2020-01-01"),
                               to=as.Date("2020-12-31"),
                               includeFirst = TRUE, includeLast = FALSE)

raises this error

Error in RQuantLib::businessDaysBetween(calendar = "France", from = as.Date("2020-01-01"),  : 
  Calendar France not recognised 

These calendars might be added to rquantlib.

[eddelbuettel]

Yes, I would be open to careful pull requests, maybe one calendar / country at a time.

[eddelbuettel]

(As an aside there is also the somewhat-dormant-and-behind Quantuccia which I wrapped in RcppQuantuccia. While smaller, it is also header-only and hence more portable.

Maybe a few of us should look into reviving it / catching it up to QuantLib ...)

[wei-wu-nyc]

I would also like to request adding "UnitedStates/FederalReserve" calendar. Thanks.

[eddelbuettel]

I was unaware that existed, ditto for "LiborImpact". Should be simple to add. Did you try?

[eddelbuettel]

It's a two-liner. I'll push that to a new branch in a minute.

> library(RQuantLib)
> hl <- holidayList("UnitedStates/FederalReserve", from=as.Date("2021-01-01"), to=as.Date("2021-12-31"))
> hl
[1] "2021-01-01" "2021-01-18" "2021-02-15" "2021-05-31" "2021-07-05" "2021-09-06" "2021-10-11" 
[8[ "2021-11-11" "2021-11-25"
> 

[wei-wu-nyc]

Thanks. Your are quick. I downloaded source and made the change and it is still compiling. Thanks for your quick reply. Wei

…

On Sep 28, 2021, at 23:02, Dirk Eddelbuettel ***@***.***> wrote: It's a two-liner. I'll push that to a new branch in a minute. > library(RQuantLib) > hl <- holidayList("UnitedStates/FederalReserve", from=as.Date("2021-01-01"), to=as.Date("2021-12-31")) > hl [1] "2021-01-01" "2021-01-18" "2021-02-15" "2021-05-31" "2021-07-05" "2021-09-06" "2021-10-11" [8[ "2021-11-11" "2021-11-25" > — You are receiving this because you commented. Reply to this email directly, view it on GitHub <https://www.google.com/url?q=https://github.com/eddelbuettel/rquantlib/issues/155%23issuecomment-929785635&source=gmail-imap&ust=1633489337000000&usg=AOvVaw2W2bVN8aSkNBH6InrnvRjf>, or unsubscribe <https://www.google.com/url?q=https://github.com/notifications/unsubscribe-auth/ACMTOIC7CEAFS3K3DRH5YUTUEJ6TRANCNFSM43DN4MZQ&source=gmail-imap&ust=1633489337000000&usg=AOvVaw2In8u0oK_5FXtSR1TKCLML>. Triage notifications on the go with GitHub Mobile for iOS <https://www.google.com/url?q=https://apps.apple.com/app/apple-store/id1477376905?ct%3Dnotification-email%26mt%3D8%26pt%3D524675&source=gmail-imap&ust=1633489337000000&usg=AOvVaw10CqnQVfdhWcxJx3Rozkru> or Android <https://www.google.com/url?q=https://play.google.com/store/apps/details?id%3Dcom.github.android%26referrer%3Dutm_campaign%253Dnotification-email%2526utm_medium%253Demail%2526utm_source%253Dgithub&source=gmail-imap&ust=1633489337000000&usg=AOvVaw34Xc_7UGIhPULUktcg7ekW>.

[eddelbuettel]

Haha, I use ccache as a prefix to my compilers via ~/.R/Makeconf (as I explained in a few places, e.g. here. It really helps with these big packages when only one out of N files changes.

[wei-wu-nyc]

My 2-liner changes worked as well. I will definitely check out how cache works. Again, thanks a lot for your quick response and help. Wei

…

On Sep 28, 2021, at 23:06, Dirk Eddelbuettel ***@***.***> wrote: Haha, I use ccache as a prefix to my compilers via ~/.R/Makeconf (as I explained in a few places, e.g. here <https://www.google.com/url?q=https://dirk.eddelbuettel.com/blog/2017/11/27/&source=gmail-imap&ust=1633489572000000&usg=AOvVaw2g1XTk7ju3pdRpAZ2kwLxN>. It really helps with these big packages when only one out of N files changes. — You are receiving this because you commented. Reply to this email directly, view it on GitHub <https://www.google.com/url?q=https://github.com/eddelbuettel/rquantlib/issues/155%23issuecomment-929787643&source=gmail-imap&ust=1633489572000000&usg=AOvVaw39DUKXtW6v-4gTUAlhWaJL>, or unsubscribe <https://www.google.com/url?q=https://github.com/notifications/unsubscribe-auth/ACMTOIGIYWBP4OCGVMDLQ43UEJ7CHANCNFSM43DN4MZQ&source=gmail-imap&ust=1633489572000000&usg=AOvVaw3o9XY5ZxlXqTqOSI2vr-no>. Triage notifications on the go with GitHub Mobile for iOS <https://www.google.com/url?q=https://apps.apple.com/app/apple-store/id1477376905?ct%3Dnotification-email%26mt%3D8%26pt%3D524675&source=gmail-imap&ust=1633489572000000&usg=AOvVaw12RJ0qoh6q12BegThAnPck> or Android <https://www.google.com/url?q=https://play.google.com/store/apps/details?id%3Dcom.github.android%26referrer%3Dutm_campaign%253Dnotification-email%2526utm_medium%253Demail%2526utm_source%253Dgithub&source=gmail-imap&ust=1633489572000000&usg=AOvVaw0HYJeRbVt1KzJgf0k5cS-W>.

[wei-wu-nyc]

I will check out how ccache works. Spellchecker changed it for me :-).

…

On Sep 28, 2021, at 23:13, Wei Wu ***@***.***> wrote: My 2-liner changes worked as well. I will definitely check out how cache works. Again, thanks a lot for your quick response and help. Wei > On Sep 28, 2021, at 23:06, Dirk Eddelbuettel ***@***.*** ***@***.***>> wrote: > > > Haha, I use ccache as a prefix to my compilers via ~/.R/Makeconf (as I explained in a few places, e.g. here <https://www.google.com/url?q=https://dirk.eddelbuettel.com/blog/2017/11/27/&source=gmail-imap&ust=1633489572000000&usg=AOvVaw2g1XTk7ju3pdRpAZ2kwLxN>. It really helps with these big packages when only one out of N files changes. > > — > You are receiving this because you commented. > Reply to this email directly, view it on GitHub <https://www.google.com/url?q=https://github.com/eddelbuettel/rquantlib/issues/155%23issuecomment-929787643&source=gmail-imap&ust=1633489572000000&usg=AOvVaw39DUKXtW6v-4gTUAlhWaJL>, or unsubscribe <https://www.google.com/url?q=https://github.com/notifications/unsubscribe-auth/ACMTOIGIYWBP4OCGVMDLQ43UEJ7CHANCNFSM43DN4MZQ&source=gmail-imap&ust=1633489572000000&usg=AOvVaw3o9XY5ZxlXqTqOSI2vr-no>. > Triage notifications on the go with GitHub Mobile for iOS <https://www.google.com/url?q=https://apps.apple.com/app/apple-store/id1477376905?ct%3Dnotification-email%26mt%3D8%26pt%3D524675&source=gmail-imap&ust=1633489572000000&usg=AOvVaw12RJ0qoh6q12BegThAnPck> or Android <https://www.google.com/url?q=https://play.google.com/store/apps/details?id%3Dcom.github.android%26referrer%3Dutm_campaign%253Dnotification-email%2526utm_medium%253Demail%2526utm_source%253Dgithub&source=gmail-imap&ust=1633489572000000&usg=AOvVaw0HYJeRbVt1KzJgf0k5cS-W>. >

[eddelbuettel]

ccache is pretty genius. When added via ~/.R/Makeconf as I do you must also add two more settings to its config (as I say in my blog post) as R uses changing paths and may mess ctimes of files. Then it is golden (if and when you re-run builds).

[eddelbuettel]

Added France too (per @wilsonfreitas earlier report).