Some date generation rules are missing

eddelbuettel / rquantlib

R interface to the QuantLib library

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Closed thrasibule closed 8 years ago

thrasibule commented 8 years ago

oldCDS and CDS are missing see https://github.com/lballabio/QuantLib/blob/master/ql/time/dategenerationrule.hpp#L59. These are useful for generating cds schedules. Incidentally, this would come for free with pr #50 (modulo updating the docs).

eddelbuettel commented 8 years ago

Seems reasonable -- they probably got added QL since we first carried this over 10+ years ago.

Would be nice to also have a use case, test function, example in the help file etc pp