Sat, 05 Jan 2008

RQuantLib 0.2.8

Version 0.9.0 of QuantLib was released a couple of days ago on Christmas Eve; as usual, Debian packages for QuantLib were uploaded right away following a few earlier pre-releases.

As QuantLib is approaching its 1.0 release, a few API changes requires updates to basically all of RQuantLib's C++ source files. Luckily most changes were minor. At the same time, we also generalised the Binary (aks Digital) option pricer to allow for a 'binType' argument (with values 'cash', 'asset' or 'gap' for CashOrNothing, AssetOrNothing or Gap digitals) as well as an 'excType' argument to switch between European and American exercise. Dominick made a small change to the DiscountCurve object to seamlessly pass a switch variable indicating whether we have 'flat' curves or not.

Another change was the addition of formal unit tests using the RUnit from CRAN (which we happened to have added to Debian recently in the wave of new RMetrics packages). We use the scheme initially proposed by Gregor Gojanc and extended by Martin Maechler for RMetrics that allows the unit tests to be run from both the source and the installed package which is nice. As QuantLib itself has a massive amount of unit tests in its code; I am hoping to add more and more of those into RQuantLib itself as we add more functionality.

On that front, more exciting news: RQuantLib is now hosted on R-Forge. Potential contributors are encouraged to register at R-Forge and to get in touch -- this is a great way to learn about combining C++ and R.

To wrap up, the new version 0.2.8 is currently in the queue at R's master CRAN host and should hit the CRAN mirrors shortly; likewise the Debian package has been uploaded and should also propagate to Debian mirrors in due course. As usual, source are also available locally on my site.

/computers/linux/debian/packages | permanent link