Mon, 18 Feb 2013

New Rcpp master class scheduled for New York

A new Rcpp master class is scheduled for March 9 in New York. The format will an updated version of the one-day workshops I have given at the University of Rochester in 2010, in San Franciso in 2011 (organised by Revolution Analytics) and at the UseR! conference in 2012.

The style will be hands-on, with numerous concrete examples and solid coverage of most aspects of Rcpp and related packages. As before, about six hours of instruction, split into four sessions of around ninety minutes focussing (loosely) on motivation/intro, core parts, extensions and applications. This should leave ample time for informal discussions and Q+A---as well as for lunch and coffee breaks---for a total of eight hours in the classroom.

This is being put together in New York with the help of Jared Lander, and we will have some technical assistance from RStudio in order to use their EC2 farm for exercises with Rcpp.

Registrations details are available here; information about other Rcpp events is also available.

Feel free to contact me or Jared at our usual email addresses with questions.

/code/rcpp | permanent link

RQuantLib 0.3.10

A new minor release RQuantLib 0.3.10 is now on CRAN and in Debian. RQuantLib combines (some of) the quantitative analytics of QuantLib with the R statistical computing environment and language.

The discount curve building code in QuantLib has shown some overly large numerical instabilities. We have used the same example parameters (taken from the Swap example in QuantLib) for years; it currently fails to solve for a rate at some term further out the curve. So I made the decistion to disable this just in the examples in order to not upset the CRAN testing framework. The examples now use a flat curve instead. I also updated one function to silence some new warnings from R-devel about symbols from another packages's namespace (in this case rgl, and it is just for surface plots, a purely cosmetic function).

Thanks to CRANberries, there is also a diff to the previous release 0.3.9. Full changelog details, examples and more details about this package are at my RQuantLib page.

/code/rquantlib | permanent link