Merge pull request #116 from eddelbuettel/feature/add_remove_holidays

add and remove dates (closes #115)
eddelbuettel · Aug 22, 2018 · 366201e · 366201e
2 parents 348dbfb + b04be62
commit 366201e
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diff --git a/.gitignore b/.gitignore
@@ -6,3 +6,7 @@ src/*.so
 src/*.dll
 /FIXME
 windows
+GPATH
+GRTAGS
+GTAGS
+*\.tar.gz
diff --git a/ChangeLog b/ChangeLog
@@ -1,6 +1,13 @@
+2018-08-22  Dirk Eddelbuettel  <edd@debian.org>
+
+	* DESCRIPTION (Version, Date): Roll minor version
+
+	* src/calendars.cpp (addHolidays, removeHolidays): New functions
+	* man/Calendars.Rd: Added documentation
+
 2018-08-16  Dirk Eddelbuettel  <edd@debian.org>
 
-	* .travis.yml): Prettification for Travis file
+	* .travis.yml: Prettification for Travis file
 
 2018-08-14  Dirk Eddelbuettel  <edd@debian.org>
 

diff --git a/DESCRIPTION b/DESCRIPTION
@@ -1,7 +1,7 @@
 Package: RQuantLib
 Title: R Interface to the 'QuantLib' Library
-Version: 0.4.5
-Date: 2018-08-10
+Version: 0.4.5.1
+Date: 2018-08-22
 Maintainer: Dirk Eddelbuettel <edd@debian.org>
 Author: Dirk Eddelbuettel, Khanh Nguyen (2009-2010), Terry Leitch (since 2016)
 Description: The 'RQuantLib' package makes parts of 'QuantLib' accessible from R

diff --git a/NAMESPACE b/NAMESPACE
@@ -50,6 +50,8 @@ export(
     "businessDaysBetween",
     "getHolidayList", "holidayList",
     "setCalendarContext",
+    "addHolidays",
+    "removeHolidays",
     ##--dayCounter.R
     "dayCount",
     "yearFraction",

diff --git a/R/RcppExports.R b/R/RcppExports.R
@@ -145,6 +145,14 @@ getHolidayList <- function(calendar, from, to, includeWeekends = FALSE) {
     .Call(`_RQuantLib_getHolidayList`, calendar, from, to, includeWeekends)
 }
 
+addHolidays <- function(calendar, dates) {
+    invisible(.Call(`_RQuantLib_addHolidays`, calendar, dates))
+}
+
+removeHolidays <- function(calendar, dates) {
+    invisible(.Call(`_RQuantLib_removeHolidays`, calendar, dates))
+}
+
 advanceDate <- function(issueDate, days) {
     .Call(`_RQuantLib_advanceDate`, issueDate, days)
 }

diff --git a/man/Calendars.Rd b/man/Calendars.Rd
@@ -16,6 +16,8 @@
 \alias{yearFraction}
 \alias{setEvaluationDate}
 \alias{advanceDate}
+\alias{addHolidays}
+\alias{removeHolidays}
 \title{Calendar functions from QuantLib}
 \description{
 The \code{isBusinessDay} function evaluates the given dates in the context
@@ -72,6 +74,12 @@ the QuantLib pricing engines.
 The \code{advanceDate} function advances the given date by the given
 number of days in the current calendar instance.
 
+The \code{addHolidays} and \code{removeHolidays} add (and remove)
+holidays to (from) the given calendar. Note that this change is
+transitory and does not persist the session as all actual calendar
+information comes from the QuantLib library that this package is linked
+against.
+
 }
 \usage{
 isBusinessDay(calendar, dates)
@@ -92,6 +100,8 @@ dayCount(startDates, endDates, dayCounters)
 yearFraction(startDates, endDates, dayCounters)
 setCalendarContext(calendar, fixingDays, settleDate)
 setEvaluationDate(evalDate)
+addHolidays(calendar, dates)
+removeHolidays(calendar, dates)
 }
 \arguments{
   \item{calendar}{A string identifying one of the supported QuantLib

diff --git a/src/RcppExports.cpp b/src/RcppExports.cpp
@@ -1035,6 +1035,28 @@ BEGIN_RCPP
     return rcpp_result_gen;
 END_RCPP
 }
+// addHolidays
+void addHolidays(std::string calendar, std::vector<QuantLib::Date> dates);
+RcppExport SEXP _RQuantLib_addHolidays(SEXP calendarSEXP, SEXP datesSEXP) {
+BEGIN_RCPP
+    Rcpp::RNGScope rcpp_rngScope_gen;
+    Rcpp::traits::input_parameter< std::string >::type calendar(calendarSEXP);
+    Rcpp::traits::input_parameter< std::vector<QuantLib::Date> >::type dates(datesSEXP);
+    addHolidays(calendar, dates);
+    return R_NilValue;
+END_RCPP
+}
+// removeHolidays
+void removeHolidays(std::string calendar, std::vector<QuantLib::Date> dates);
+RcppExport SEXP _RQuantLib_removeHolidays(SEXP calendarSEXP, SEXP datesSEXP) {
+BEGIN_RCPP
+    Rcpp::RNGScope rcpp_rngScope_gen;
+    Rcpp::traits::input_parameter< std::string >::type calendar(calendarSEXP);
+    Rcpp::traits::input_parameter< std::vector<QuantLib::Date> >::type dates(datesSEXP);
+    removeHolidays(calendar, dates);
+    return R_NilValue;
+END_RCPP
+}
 // advanceDate
 QuantLib::Date advanceDate(QuantLib::Date issueDate, int days);
 static SEXP _RQuantLib_advanceDate_try(SEXP issueDateSEXP, SEXP daysSEXP) {
@@ -1694,6 +1716,8 @@ static const R_CallMethodDef CallEntries[] = {
     {"_RQuantLib_advance2", (DL_FUNC) &_RQuantLib_advance2, 5},
     {"_RQuantLib_businessDaysBetween", (DL_FUNC) &_RQuantLib_businessDaysBetween, 5},
     {"_RQuantLib_getHolidayList", (DL_FUNC) &_RQuantLib_getHolidayList, 4},
+    {"_RQuantLib_addHolidays", (DL_FUNC) &_RQuantLib_addHolidays, 2},
+    {"_RQuantLib_removeHolidays", (DL_FUNC) &_RQuantLib_removeHolidays, 2},
     {"_RQuantLib_advanceDate", (DL_FUNC) &_RQuantLib_advanceDate, 2},
     {"_RQuantLib_dayCount", (DL_FUNC) &_RQuantLib_dayCount, 3},
     {"_RQuantLib_yearFraction", (DL_FUNC) &_RQuantLib_yearFraction, 3},

diff --git a/src/calendars.cpp b/src/calendars.cpp
@@ -304,3 +304,21 @@ std::vector<QuantLib::Date> getHolidayList(std::string calendar,
     std::vector<QuantLib::Date> holidays = QuantLib::Calendar::holidayList(*pcal, from, to, includeWeekends);
     return holidays;
 }
+
+// [[Rcpp::export]]
+void addHolidays(std::string calendar, std::vector<QuantLib::Date> dates) {
+    boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
+    int n = dates.size();
+    for (int i=0; i<n; i++) {
+        pcal->addHoliday(dates[i]);
+    }
+}
+
+// [[Rcpp::export]]
+void removeHolidays(std::string calendar, std::vector<QuantLib::Date> dates) {
+    boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
+    int n = dates.size();
+    for (int i=0; i<n; i++) {
+        pcal->removeHoliday(dates[i]);
+    }
+}