Feature request: Allowing for user made calendars

[petermeissner]

Moving discussion from #1 to here.
(Disclaimer: I have near to zero experience doing Cpp / Rcpp so this will all be very nooby)

[eddelbuettel]

There is always a first time for anything so no worries. Maybe start something reasonably simply and just carry one new country calendar over from QL itself. Or add one test, or ...

[petermeissner]

User made calendars can mean two things:

1. simply using a calendar and adding dates

• it seems like there is a function for that (http://cogitolearning.co.uk/?p=431) void addHoliday(const Date&);

2. generating a calendar (at runtime) from scratch

• I found the calendars in inst/include/ql/time/calendars

... both seem good starting points.

I will research further and see what digging around and trying to make something work will result in. If I get a step further I post it here.

[eddelbuettel]

The cogitolearning reference is 5 years old. Parts of QuantLib much older still, but if in doubt look at the sources here -- and also the test code here.

[eddelbuettel]

Not sure if this is still a need ... but I finally got around to overhauling the package, reducing it to only calendaring but being current with QuantLib. So we can do this now as QuantLib can do it, we just have to add a simple wrapper function or two via Rcpp.