A new release of RcppQuantuccia arrived on CRAN earlier today. RcppQuantuccia brings the Quantuccia header-only subset / variant of QuantLib to R. At the current stage, it mostly offers date and calendaring functions.
This release is the first in two years and brings a few internal updates (such as a swift to continuous integration to the trusted r-ci setup) along with a first update of the United States calendar. Which, just like RQuantLib, now knows about two new calendars LiborUpdate and FederalReserve. So now we can for example look for holidays during June of next year under the ‘Federal Reserve’ calendar and see
> library(RcppQuantuccia)
> setCalendar("UnitedStates/FederalReserve")
> getHolidays(as.Date("2022-06-01"), as.Date("2022-06-30"))
[1] "2022-06-20"
>
that Juneteenth 2022 will be observed on (Monday) June 20th.
We should note that Quantuccia itself was a bit of a trial balloon and is not actively maintained so we may concentrate on these calendaring functions to keep them in sync with QuantLib. Being a header-only subset is good, and the removal of the (very !!) “expensive” (in terms of compiled library size) Sobol sequence-based RNG in release 0.0.3 was the right call. So time permitting, a leaner, meaner RcppQuantuccia with a calendaring focus may emerge.
The complete list changes follows.
Changes in version 0.0.4 (2021-10-12)
Allow for 'Null' calendar without weekends or holidays
Switch CI use to r-ci
Updated UnitedStates calendar to current QuantLib calendar
Small updates to DESCRIPTION and README.md
Courtesy of CRANberries, there is also a diffstat report relative to the previous release. More information is on the RcppQuantuccia page. Issues and bugreports should go to the GitHub issue tracker.
If you like this or other open-source work I do, you can now sponsor me at GitHub.
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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