Dirk Eddelbuettel

Tue, 02 Dec 2014

RQuantLib 0.4.0

A new major release of RQuantLib is now on CRAN and getting to Debian.

All C++ source files have been rewritten to take advantage of newer Rcpp features. Several Fixed Income functions have been added, or refreshed, thanks to contributions by Michele Salvadore. Calendar support was greatly expanded thanks to a contribution by Danilo Dias da Silva. All key changes are listed in detail below.

Changes in RQuantLib version 0.4.0 (2014-12-01)

  • Changes in RQuantLib code:

    • All function interfaces have been rewritten using Rcpp Attributes. No SEXP remain in the function signatures. This make the code shorter, more readable and more easily extensible.

    • The header files have been reorganized so that plugin use is possible. An impl.h files is imported once for each compilation unit: for RQuantLib from the file src/dates.cpp directory, from a sourced file via a #define set by the plugin wrapper.

    • as<>() and wrap() converters have added for QuantLib Date types.

    • Plugin support has been added, allowing more ad-hoc use via Rcpp Attributes.

    • Several Fixed Income functions have been added, and/or rewritten to better match the QuantLib signatures; this was done mostly by Michele Salvadore.

    • Several Date and Calendar functions have been added.

    • Calendar support has been greatly expanded thanks to Danilo Dias da Silva.

    • Exported curve objects are now more parsimonious and advance entries in the table object roughly one business month at a time.

    • The DiscountCurve and Bond curve construction has been fixed via a corrected evaluation date and omitted the two-year swap rate, as suggested by Luigi Ballabio.

    • The NAMESPACE file has a tighter rule for export of *.default functions, as suggested by Bill Dunlap

    • Builds now use OpenMP where available.

    • The package now depends on QuantLib 1.4.0 or later.

  • Changes in RQuantLib tests:

    • New unit tests for dates have been added.

    • C++ code for the unit tests has also been converted to Rcpp Attributes use; a helper function unitTestSetup() has been added.

    • Continuous Integration via Travis is now enabled from the GitHub repo.

  • Changes in RQuantLib documentation:

    • This NEWS file has been added. Better late than never, as they say.

Courtesy of CRANberries, there is also a diffstat report for the this release. As always, more detailed information is on the RQuantLib page. Questions, comments etc should go to the rquantlib-devel mailing list off the R-Forge page. Issue tickets can be filed at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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