Wed, 04 Aug 2010

RQuantLib 0.3.3

A new release (now at version 0.3.3) of RQuantLib is now on CRAN and in Debian. RQuantLib combines (some of) the quantitative analytics of QuantLib with the R statistical computing environment and language.

Many of the changes in this new version are internal. The code was re-written using the new Rcpp API throughout, and the build system was further simplified using the LinkingTo: mechanism. The arithmetic average-price asian option pricer was added. A few other code updates were made as well.

Full changelog details, examples and more details about this package are at my RQuantLib page.

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