Mon, 09 Aug 2010

RQuantLib 0.3.4

A fresh release 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.

This follows the 0.3.3 release from last week and has again a number of internal changes. All uses of objects from external namespaces are now explicit as I removed the remaining using namespace QuantLib;. This makes things a little more verbose, but should be much clearer to read, especially for those not yet up to speed on whether a given object comes from any one of the Boost, QuantLib or Rcpp namespaces. We also generalized an older three-dimensional plotting function used for option surfaces -- which had already been used in the demo() code -- and improved the code underlying this: arrays of option prices and analytics given two input vectors are now computed at the C++ level for a nice little gain in efficiency. This also illustrates the possible improvements from working with the new Rcpp API that is now used throughout the package,

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

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