Wed, 19 Apr 2017

RcppQuantuccia 0.0.1

New package! And, as it happens, a effectively a subset or variant of one my oldest packages, RQuantLib.

Fairly recently, Peter Caspers started to put together a header-only subset of QuantLib. He called this Quantuccia, and, upon me asking, said that it stands for "little sister" of QuantLib. Very nice.

One design goal is to keep Quantuccia header-only. This makes distribution and deployment much easier. In the fifteen years that we have worked with QuantLib by providing the R bindings via RQuantLib, it has always been a concern to provide current QuantLib libraries on all required operating systems. Many people helped over the years but it is still an issue, and e.g. right now we have no Windows package as there is no library build it against.

Enter RcppQuantuccia. It only depends on R, Rcpp (for seamless R and C++ integrations) and BH bringing Boost headers. This will make it much easier to have Windows and macOS binaries.

So what can it do right now? We started with calendaring, and you can compute date pertaining to different (ISDA and other) business day conventions, and compute holiday schedules. Here is one example computing inter alia under the NYSE holiday schedule common for US equity and futures markets:

R> library(RcppQuantuccia)
R> fromD <- as.Date("2017-01-01")
R> toD <- as.Date("2017-12-31")
R> getHolidays(fromD, toD)        # default calender ie TARGET
[1] "2017-04-14" "2017-04-17" "2017-05-01" "2017-12-25" "2017-12-26"
R> setCalendar("UnitedStates")
R> getHolidays(fromD, toD)        # US aka US::Settlement
[1] "2017-01-02" "2017-01-16" "2017-02-20" "2017-05-29" "2017-07-04" "2017-09-04"
[7] "2017-10-09" "2017-11-10" "2017-11-23" "2017-12-25"
R> setCalendar("UnitedStates::NYSE")
R> getHolidays(fromD, toD)        # US New York Stock Exchange
[1] "2017-01-02" "2017-01-16" "2017-02-20" "2017-04-14" "2017-05-29" "2017-07-04"
[7] "2017-09-04" "2017-11-23" "2017-12-25"

The GitHub repo already has a few more calendars, and more are expected. Help is of course welcome for both this, and for porting over actual quantitative finance calculations.

More information is on the RcppQuantuccia page. Issues and bugreports should go to the GitHub issue tracker.

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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