||Thinking inside the box|
Mon, 18 Feb 2013
New Rcpp master class scheduled for New York
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.
Feel free to contact me or Jared at our usual email addresses with questions.
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).