I’ve published the fmdates package on CRAN . It implements calendars used to define locale specific business days, date adjusters and shifters, schedule generators and year fraction calculations defined by these standards. These are pretty simple, yet fundamental aspects of modelling financial market contracts like swaps. The vignette documents some use cases .
This is different to some other packages that are available in that:
1. It focuses on one thing: handling dates in FM idiosyncratic ways
2. It is pure R (this also means its not going to be optimised for speed!)
3. It is lightweight with minimal upstream package dependencies
4. It is reasonably well documented
How can you help? You are welcome to implement new Calendars and associated `is_good()` methods and submit PRs . Please review the contribution guidelines . And of course, feel free to notify me of any bugs.