Mon, 12 Sep 2011

RQuantLib 0.3.8

A bug-fix release RQuantLib 0.3.8 is now on CRAN and in Debian. RQuantLib combines (some of) the quantitative analytics of QuantLib with the R statistical computing environment and language.

Thanks to Helmut Heiming who noticed a side-effec t from the DiscountCurve functions: the Quantlib-global variable determining the evaluation date was overriden; this could affect subsequent curve-related pricers. This is now fixed, and we added a new function setEvaluationDate to set this date from R too. We added this call in some of the examples in the manual pages. Otherwise two very minor build system tweaks were added, but no other changes were made

Thanks to CRANberries, there is also a diff to the previous release 0.3.7. Full changelog details, examples and more details about this package are at my RQuantLib page.

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